# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0001752724-23-014678
**Filing Date:** 2023-1
**Character Count:** 3123373
**Document Hash:** 773cecc88907509283f32d614fb84a41
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014678.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014678

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 23556523

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FIXED INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FLEXIBLE BOND FUND
- **DATE OF NAME CHANGE:** 19860904

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY CORPORATE BOND FUND INC
- **DATE OF NAME CHANGE:** 19851225

## Series and Classes Contracts Data

### Fidelity SAI Total Bond Fund (Series ID: S000062237)

| Class ID   | Class Name                   | Ticker Symbol   |
|:---|:---|:---|
| C000201533 | Fidelity SAI Total Bond Fund | FSMTX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

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

**November 30, 2022**

Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.

STB-NPRT1-0123

1.9887630.104 ---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds - 36.2%** | &nbsp;&nbsp;**Corporate Bonds - 36.2%** | &nbsp;&nbsp;**Corporate Bonds - 36.2%** | &nbsp;&nbsp;**Corporate Bonds - 36.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Convertible Bonds - 0.1%  |  |  |  |
| COMMUNICATION SERVICES - 0.1% |  |  |  |
| Media - 0.1% |  |  |  |
| DISH Network Corp.: |  |  |  |
|  2.375% 3/15/24 |  | 6936000 | 6190198 |
|  3.375% 8/15/26 |  | 13012000 | 8425270 |
|  |  |  | 14615468 |
| ENERGY - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Mesquite Energy, Inc. 15% 7/15/23 (b)(c) |  | 521057 | 3446792 |
| Mesquite Energy, Inc. 15% 7/15/23 (b)(c) |  | 899094 | 5947507 |
|  |  |  | 9394299 |
| TOTAL CONVERTIBLE BONDS |  |  | 24009767 |
| Nonconvertible Bonds - 36.1%  |  |  |  |
| COMMUNICATION SERVICES - 3.9% |  |  |  |
| Diversified Telecommunication Services - 1.1% |  |  |  |
| Altice France SA: |  |  |  |
|  5.125% 1/15/29(d) |  | 6850000 | 5394375 |
|  5.125% 7/15/29(d) |  | 4460000 | 3459756 |
|  5.5% 1/15/28(d) |  | 2440000 | 2033520 |
|  5.5% 10/15/29(d) |  | 2360000 | 1861268 |
| AT&T, Inc.: |  |  |  |
|  2.55% 12/1/33 |  | 3443000 | 2704859 |
|  3.8% 12/1/57 |  | 8798000 | 6387066 |
|  3.85% 6/1/60 |  | 20000000 | 14590766 |
|  4.3% 2/15/30 |  | 5781000 | 5492508 |
| Axtel S.A.B. de CV 6.375% 11/14/24 (d) |  | 149000 | 115848 |
| C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) |  | 17714000 | 15743318 |
| Cablevision Lightpath LLC: |  |  |  |
|  3.875% 9/15/27(d) |  | 565000 | 487132 |
|  5.625% 9/15/28(d) |  | 445000 | 338594 |
| Colombia Telecomunicaciones SA 4.95% 7/17/30 (d) |  | 300000 | 236850 |
| Consolidated Communications, Inc. 5% 10/1/28 (d) |  | 690000 | 521161 |
| Frontier Communications Holdings LLC: |  |  |  |
|  5% 5/1/28(d) |  | 4540000 | 4040600 |
|  5.875% 10/15/27(d) |  | 1449000 | 1378752 |
|  5.875% 11/1/29 |  | 1740000 | 1388877 |
|  6% 1/15/30(d) |  | 1500000 | 1227420 |
|  8.75% 5/15/30(d) |  | 1485000 | 1536233 |
| IHS Holding Ltd. 5.625% 11/29/26 (d) |  | 720000 | 565335 |
| Iliad SA: |  |  |  |
|  1.5% 10/14/24 (Reg. S) | EUR | 900000 | 890884 |
|  1.875% 2/11/28 (Reg. S) | EUR | 900000 | 784352 |
| Level 3 Financing, Inc.: |  |  |  |
|  3.625% 1/15/29(d) |  | 420000 | 310128 |
|  4.25% 7/1/28(d) |  | 6430000 | 5034621 |
|  4.625% 9/15/27(d) |  | 2000000 | 1685000 |
| Liquid Telecommunications Financing PLC 5.5% 9/4/26 (d) |  | 1205000 | 831450 |
| Lumen Technologies, Inc. 4.5% 1/15/29 (d) |  | 7015000 | 4750207 |
| Qtel International Finance Ltd.: |  |  |  |
|  2.625% 4/8/31(d) |  | 670000 | 572850 |
|  3.25% 2/21/23(d) |  | 645000 | 641775 |
|  5% 10/19/25(d) |  | 360000 | 360968 |
| Sable International Finance Ltd. 5.75% 9/7/27 (d) |  | 2080000 | 1893008 |
| Sprint Capital Corp.: |  |  |  |
|  6.875% 11/15/28 |  | 2499000 | 2647965 |
|  8.75% 3/15/32 |  | 2134000 | 2551517 |
| Telecom Italia Capital SA: |  |  |  |
|  6% 9/30/34 |  | 1165000 | 899718 |
|  7.2% 7/18/36 |  | 1334000 | 1105753 |
|  7.721% 6/4/38 |  | 300000 | 252339 |
| Telefonica Celular del Paraguay SA 5.875% 4/15/27 (d) |  | 1099000 | 1036203 |
| Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) |  | 4000000 | 3582000 |
| Turk Telekomunikasyon A/S 6.875% 2/28/25 (d) |  | 1286000 | 1144379 |
| Verizon Communications, Inc.: |  |  |  |
|  2.1% 3/22/28 |  | 11222000 | 9818434 |
|  2.355% 3/15/32 |  | 51205000 | 41103781 |
|  2.55% 3/21/31 |  | 30387000 | 25333354 |
|  2.987% 10/30/56 |  | 12327000 | 7775786 |
|  3% 3/22/27 |  | 2669000 | 2502949 |
|  4.862% 8/21/46 |  | 14509000 | 13245739 |
|  5.012% 4/15/49 |  | 324000 | 301782 |
| Windstream Escrow LLC 7.75% 8/15/28 (d) |  | 6435000 | 5630625 |
| Zayo Group Holdings, Inc.: |  |  |  |
|  4% 3/1/27(d) |  | 1370000 | 981290 |
|  6.125% 3/1/28(d) |  | 4239000 | 2299658 |
|  |  |  | 209472753 |
| Entertainment - 0.2% |  |  |  |
| Roblox Corp. 3.875% 5/1/30 (d) |  | 4985000 | 4079126 |
| The Walt Disney Co.: |  |  |  |
|  3.6% 1/13/51 |  | 20000000 | 15738100 |
|  3.8% 3/22/30 |  | 20840000 | 19576336 |
|  |  |  | 39393562 |
| Interactive Media & Services - 0.0% |  |  |  |
| Baidu, Inc.: |  |  |  |
|  1.72% 4/9/26 |  | 815000 | 723435 |
|  2.375% 10/9/30 |  | 345000 | 277014 |
| Tencent Holdings Ltd.: |  |  |  |
|  1.81% 1/26/26(d) |  | 350000 | 313863 |
|  2.39% 6/3/30(d) |  | 435000 | 351263 |
|  2.88% 4/22/31(d) |  | 285000 | 235364 |
|  3.975% 4/11/29(d) |  | 260000 | 236974 |
|  |  |  | 2137913 |
| Media - 2.1% |  |  |  |
| Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d) |  | 7015000 | 5491482 |
| Altice Financing SA: |  |  |  |
|  5% 1/15/28(d) |  | 3039000 | 2479459 |
|  5.75% 8/15/29(d) |  | 13885000 | 11354598 |
| Altice France Holding SA 6% 2/15/28 (d) |  | 6284000 | 4218135 |
| Cable Onda SA 4.5% 1/30/30 (d) |  | 1750000 | 1465625 |
| CCO Holdings LLC/CCO Holdings Capital Corp.: |  |  |  |
|  4.25% 2/1/31(d) |  | 4019000 | 3262624 |
|  4.25% 1/15/34(d) |  | 2275000 | 1772225 |
|  4.5% 8/15/30(d) |  | 6520000 | 5493100 |
|  4.5% 5/1/32 |  | 4654000 | 3840783 |
|  4.5% 6/1/33(d) |  | 7245000 | 5749704 |
|  4.75% 3/1/30(d) |  | 2400000 | 2063335 |
|  4.75% 2/1/32(d) |  | 1225000 | 1024406 |
|  5% 2/1/28(d) |  | 12475000 | 11467769 |
|  5.375% 6/1/29(d) |  | 5000000 | 4537350 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: |  |  |  |
|  3.85% 4/1/61 |  | 2000000 | 1232979 |
|  3.9% 6/1/52 |  | 22000000 | 14612398 |
|  4.4% 4/1/33 |  | 14572000 | 12772576 |
|  4.8% 3/1/50 |  | 5000000 | 3751492 |
|  4.908% 7/23/25 |  | 7411000 | 7294585 |
|  5.25% 4/1/53 |  | 30184000 | 24253230 |
|  5.375% 5/1/47 |  | 18624000 | 15407393 |
|  5.5% 4/1/63 |  | 20184000 | 16172156 |
|  6.484% 10/23/45 |  | 5093000 | 4797949 |
|  6.834% 10/23/55 |  | 2000000 | 1915148 |
| Comcast Corp. 6.45% 3/15/37  |  | 797000 | 889871 |
| CSC Holdings LLC: |  |  |  |
|  4.125% 12/1/30(d) |  | 1490000 | 1143575 |
|  4.5% 11/15/31(d) |  | 590000 | 449652 |
|  4.625% 12/1/30(d) |  | 5107000 | 3238642 |
|  5.375% 2/1/28(d) |  | 4285000 | 3835686 |
|  5.75% 1/15/30(d) |  | 2455000 | 1671855 |
|  7.5% 4/1/28(d) |  | 4239000 | 3301799 |
| Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d) |  | 8145000 | 1323839 |
| Discovery Communications LLC: |  |  |  |
|  3.625% 5/15/30 |  | 7624000 | 6422899 |
|  4.65% 5/15/50 |  | 20572000 | 14851596 |
| DISH DBS Corp. 5.75% 12/1/28 (d) |  | 3045000 | 2469647 |
| DISH Network Corp. 11.75% 11/15/27 (d) |  | 4485000 | 4609818 |
| Dolya Holdco 18 DAC 5% 7/15/28 (d) |  | 1200000 | 1028712 |
| Fox Corp.: |  |  |  |
|  4.03% 1/25/24 |  | 2489000 | 2455791 |
|  4.709% 1/25/29 |  | 3602000 | 3480994 |
|  5.476% 1/25/39 |  | 3552000 | 3270968 |
| Lagardere S.C.A.: |  |  |  |
|  1.75% 10/7/27 (Reg. S) | EUR | 1100000 | 1073371 |
|  2.125% 10/16/26 (Reg. S) | EUR | 1100000 | 1094300 |
| LCPR Senior Secured Financing DAC 5.125% 7/15/29 (d) |  | 1375000 | 1135387 |
| Magallanes, Inc.: |  |  |  |
|  3.428% 3/15/24(d) |  | 8648000 | 8396842 |
|  3.638% 3/15/25(d) |  | 4736000 | 4522127 |
|  3.755% 3/15/27(d) |  | 9262000 | 8440301 |
|  4.054% 3/15/29(d) |  | 3210000 | 2811094 |
|  4.279% 3/15/32(d) |  | 46121000 | 39156690 |
|  5.05% 3/15/42(d) |  | 7082000 | 5669482 |
|  5.141% 3/15/52(d) |  | 41680000 | 32296207 |
| News Corp. 5.125% 2/15/32 (d) |  | 1225000 | 1122958 |
| Radiate Holdco LLC/Radiate Financial Service Ltd.: |  |  |  |
|  4.5% 9/15/26(d) |  | 3895000 | 3184942 |
|  6.5% 9/15/28(d) |  | 5929000 | 3199881 |
| Sinclair Television Group, Inc. 5.5% 3/1/30 (d) |  | 1260000 | 963900 |
| Sirius XM Radio, Inc.: |  |  |  |
|  4% 7/15/28(d) |  | 6905000 | 6102777 |
|  4.125% 7/1/30(d) |  | 3055000 | 2577870 |
|  5% 8/1/27(d) |  | 1000000 | 933240 |
|  5.5% 7/1/29(d) |  | 695000 | 647115 |
| TEGNA, Inc.: |  |  |  |
|  4.625% 3/15/28 |  | 1410000 | 1329785 |
|  5% 9/15/29 |  | 545000 | 509595 |
| Time Warner Cable LLC: |  |  |  |
|  4.5% 9/15/42 |  | 10467000 | 7857282 |
|  5.5% 9/1/41 |  | 4708000 | 4007710 |
|  5.875% 11/15/40 |  | 6004000 | 5321492 |
|  6.55% 5/1/37 |  | 17014000 | 16307190 |
|  7.3% 7/1/38 |  | 14056000 | 14373579 |
| TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) (e) |  | 2133000 | 1016396 |
| Univision Communications, Inc.: |  |  |  |
|  4.5% 5/1/29(d) |  | 1600000 | 1362000 |
|  6.625% 6/1/27(d) |  | 5690000 | 5545081 |
| Virgin Media Secured Finance PLC 4.5% 8/15/30 (d) |  | 4900000 | 4092072 |
| VTR Finance BV 6.375% 7/15/28 (d) |  | 450000 | 193584 |
| Ziggo Bond Co. BV 5.125% 2/28/30 (d) |  | 2330000 | 1890259 |
| Ziggo BV 4.875% 1/15/30 (d) |  | 1265000 | 1075250 |
|  |  |  | 409085604 |
| Wireless Telecommunication Services - 0.5% |  |  |  |
| AXIAN Telecom 7.375% 2/16/27 (d) |  | 930000 | 807821 |
| Bharti Airtel International BV 5.35% 5/20/24 (d) |  | 1045000 | 1038991 |
| CT Trust 5.125% 2/3/32 (d) |  | 1265000 | 1090509 |
| Digicel Group Ltd. 6.75% 3/1/23 (d) |  | 404000 | 153520 |
| Intelsat Jackson Holdings SA 6.5% 3/15/30 (d) |  | 4428000 | 4073760 |
| Millicom International Cellular SA: |  |  |  |
|  4.5% 4/27/31(d) |  | 4625000 | 3782672 |
|  5.125% 1/15/28(d) |  | 441000 | 398003 |
| MTN (Mauritius) Investments Ltd.: |  |  |  |
|  4.755% 11/11/24(d) |  | 405000 | 393179 |
|  6.5% 10/13/26(d) |  | 456000 | 450956 |
| Rogers Communications, Inc.: |  |  |  |
|  3.2% 3/15/27(d) |  | 9947000 | 9281868 |
|  3.8% 3/15/32(d) |  | 8681000 | 7685212 |
| T-Mobile U.S.A., Inc.: |  |  |  |
|  2.25% 11/15/31 |  | 10000000 | 7960128 |
|  3.75% 4/15/27 |  | 12950000 | 12266985 |
|  3.875% 4/15/30 |  | 23000000 | 21124009 |
|  4.375% 4/15/40 |  | 2795000 | 2431089 |
|  4.5% 4/15/50 |  | 5491000 | 4638149 |
| VimpelCom Holdings BV 7.25% 4/26/23 (d) |  | 625000 | 546875 |
| Vodafone Group PLC: |  |  |  |
|  4.875% 10/3/78 (Reg. S)(f) | GBP | 2300000 | 2605751 |
|  6.25% 10/3/78 (Reg. S)(f) |  | 2515000 | 2420688 |
| VTR Comunicaciones SpA: |  |  |  |
|  4.375% 4/15/29(d) |  | 310000 | 161975 |
|  5.125% 1/15/28(d) |  | 1108000 | 628305 |
|  |  |  | 83940445 |
| TOTAL COMMUNICATION SERVICES |  |  | 744030277 |
| CONSUMER DISCRETIONARY - 1.7% |  |  |  |
| Auto Components - 0.0% |  |  |  |
| Metalsa SA de CV 3.75% 5/4/31 (d) |  | 660000 | 502136 |
| Tupy Overseas SA 4.5% 2/16/31 (d) |  | 660000 | 524618 |
| Valeo SA 1% 8/3/28 (Reg. S)  | EUR | 2100000 | 1717881 |
| ZF Europe Finance BV 2% 2/23/26 (Reg. S)  | EUR | 800000 | 737669 |
| ZF Finance GmbH 2% 5/6/27 (Reg. S)  | EUR | 1800000 | 1589777 |
|  |  |  | 5072081 |
| Automobiles - 0.1% |  |  |  |
| General Motors Financial Co., Inc.: |  |  |  |
|  4% 1/15/25 |  | 6564000 | 6387594 |
|  4.25% 5/15/23 |  | 1967000 | 1959932 |
| Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.1636% 10/15/26 (d)(f)(g) |  | 6565000 | 6335225 |
| Volkswagen Group of America Finance LLC 3.125% 5/12/23 (d) |  | 10902000 | 10800982 |
|  |  |  | 25483733 |
| Diversified Consumer Services - 0.2% |  |  |  |
| Adtalem Global Education, Inc. 5.5% 3/1/28 (d) |  | 3507000 | 3261510 |
| GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) |  | 9030000 | 8585837 |
| Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23  |  | 3073000 | 3063107 |
| Service Corp. International: |  |  |  |
|  4% 5/15/31 |  | 1850000 | 1585062 |
|  5.125% 6/1/29 |  | 2440000 | 2311131 |
| Sotheby's 7.375% 10/15/27 (d) |  | 6195000 | 6033899 |
| WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d) |  | 5690000 | 5333351 |
|  |  |  | 30173897 |
| Hotels, Restaurants & Leisure - 0.5% |  |  |  |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.: |  |  |  |
|  4% 10/15/30(d) |  | 2089000 | 1759272 |
|  5.75% 4/15/25(d) |  | 60000 | 60150 |
| Affinity Gaming LLC 6.875% 12/15/27 (d) |  | 3755000 | 3221189 |
| Aramark Services, Inc.: |  |  |  |
|  5% 2/1/28(d) |  | 1338000 | 1251257 |
|  6.375% 5/1/25(d) |  | 275000 | 274456 |
| Caesars Entertainment, Inc.: |  |  |  |
|  6.25% 7/1/25(d) |  | 2405000 | 2376867 |
|  8.125% 7/1/27(d) |  | 13552000 | 13603498 |
| Carnival Corp.: |  |  |  |
|  5.75% 3/1/27(d) |  | 5150000 | 3877725 |
|  6% 5/1/29(d) |  | 3870000 | 2740366 |
|  6.65% 1/15/28 |  | 225000 | 149063 |
|  7.625% 3/1/26(d) |  | 6645000 | 5598413 |
|  10.5% 6/1/30(d) |  | 3170000 | 2713964 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 6.75% 1/15/30 (d) |  | 4230000 | 3562929 |
| Garden SpinCo Corp. 8.625% 7/20/30 (d) |  | 580000 | 615753 |
| GENM Capital Labuan Ltd. 3.882% 4/19/31 (d) |  | 860000 | 636400 |
| Golden Entertainment, Inc. 7.625% 4/15/26 (d) |  | 3385000 | 3351150 |
| Hilton Domestic Operating Co., Inc.: |  |  |  |
|  3.625% 2/15/32(d) |  | 4875000 | 4013636 |
|  3.75% 5/1/29(d) |  | 370000 | 328342 |
|  4% 5/1/31(d) |  | 2320000 | 1951505 |
|  5.75% 5/1/28(d) |  | 230000 | 225464 |
| Hilton Grand Vacations Borrower Escrow LLC 4.875% 7/1/31 (d) |  | 795000 | 656193 |
| InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S)  | GBP | 4260000 | 4463119 |
| Jacobs Entertainment, Inc. 6.75% 2/15/29 (d) |  | 700000 | 630000 |
| MajorDrive Holdings IV LLC 6.375% 6/1/29 (d) |  | 1080000 | 842400 |
| Marriott Ownership Resorts, Inc.: |  |  |  |
|  4.5% 6/15/29(d) |  | 225000 | 189558 |
|  4.75% 1/15/28 |  | 775000 | 679854 |
|  6.125% 9/15/25(d) |  | 396000 | 391130 |
| McDonald's Corp.: |  |  |  |
|  3.5% 7/1/27 |  | 3551000 | 3396752 |
|  3.6% 7/1/30 |  | 4224000 | 3948603 |
| NagaCorp Ltd. 7.95% 7/6/24 (Reg. S)  |  | 1450000 | 1288053 |
| NCL Corp. Ltd.: |  |  |  |
|  5.875% 3/15/26(d) |  | 670000 | 549588 |
|  7.75% 2/15/29(d) |  | 1460000 | 1168000 |
| NCL Finance Ltd. 6.125% 3/15/28 (d) |  | 475000 | 366072 |
| Premier Entertainment Sub LLC: |  |  |  |
|  5.625% 9/1/29(d) |  | 4350000 | 3480000 |
|  5.875% 9/1/31(d) |  | 916000 | 697882 |
| Royal Caribbean Cruises Ltd.: |  |  |  |
|  4.25% 7/1/26(d) |  | 2850000 | 2343120 |
|  5.375% 7/15/27(d) |  | 1095000 | 907318 |
|  5.5% 8/31/26(d) |  | 3920000 | 3400600 |
|  5.5% 4/1/28(d) |  | 3635000 | 2967069 |
|  11.625% 8/15/27(d) |  | 520000 | 529100 |
| Station Casinos LLC 4.5% 2/15/28 (d) |  | 1190000 | 1049616 |
| Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (d) |  | 352000 | 331111 |
| Times Square Hotel Trust 8.528% 8/1/26 (d) |  | 397943 | 391832 |
| Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d) |  | 475000 | 380000 |
| Voc Escrow Ltd. 5% 2/15/28 (d) |  | 1115000 | 960996 |
| Whitbread PLC: |  |  |  |
|  2.375% 5/31/27 (Reg. S) | GBP | 2210000 | 2246871 |
|  3.375% 10/16/25 (Reg. S) | GBP | 3300000 | 3682367 |
| Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (d) |  | 1345000 | 1202782 |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (d) |  | 2407000 | 2205053 |
| Yum! Brands, Inc. 4.625% 1/31/32  |  | 2570000 | 2261404 |
|  |  |  | 99917842 |
| Household Durables - 0.0% |  |  |  |
| Adams Homes, Inc. 7.5% 2/15/25 (d) |  | 280000 | 233386 |
| Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 8/1/29 (d) |  | 690000 | 541145 |
| The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)  | GBP | 1950000 | 1567030 |
| TopBuild Corp. 4.125% 2/15/32 (d) |  | 2570000 | 2056767 |
|  |  |  | 4398328 |
| Internet & Direct Marketing Retail - 0.1% |  |  |  |
| Alibaba Group Holding Ltd. 2.125% 2/9/31  |  | 635000 | 504869 |
| B2W Digital Lux SARL 4.375% 12/20/30 (d) |  | 1200000 | 740700 |
| JD.com, Inc. 3.375% 1/14/30  |  | 1420000 | 1248109 |
| Match Group Holdings II LLC: |  |  |  |
|  4.125% 8/1/30(d) |  | 1575000 | 1315125 |
|  5% 12/15/27(d) |  | 1575000 | 1463603 |
| Meituan: |  |  |  |
|  2.125% 10/28/25(d) |  | 995000 | 868138 |
|  3.05% 10/28/30(d) |  | 665000 | 490354 |
| Prosus NV: |  |  |  |
|  3.257% 1/19/27(d) |  | 500000 | 437340 |
|  3.68% 1/21/30(d) |  | 840000 | 675192 |
|  4.027% 8/3/50(d) |  | 1110000 | 672799 |
| Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) |  | 1139000 | 865640 |
| Uber Technologies, Inc. 8% 11/1/26 (d) |  | 4885000 | 4940613 |
|  |  |  | 14222482 |
| Leisure Products - 0.1% |  |  |  |
| Hasbro, Inc. 3% 11/19/24  |  | 8864000 | 8481486 |
| Mattel, Inc.: |  |  |  |
|  3.375% 4/1/26(d) |  | 1935000 | 1776930 |
|  3.75% 4/1/29(d) |  | 4355000 | 3813543 |
|  5.875% 12/15/27(d) |  | 1575000 | 1540098 |
|  |  |  | 15612057 |
| Multiline Retail - 0.1% |  |  |  |
| John Lewis PLC 6.125% 1/21/25  | GBP | 5576000 | 6448134 |
| Marks & Spencer PLC: |  |  |  |
|  3.75% 5/19/26 (Reg. S) | GBP | 2645000 | 2779646 |
|  4.5% 7/10/27 (Reg. S) | GBP | 1600000 | 1661606 |
| Nordstrom, Inc.: |  |  |  |
|  4.25% 8/1/31 |  | 1160000 | 900786 |
|  4.375% 4/1/30 |  | 775000 | 622282 |
|  |  |  | 12412454 |
| Specialty Retail - 0.6% |  |  |  |
| AutoNation, Inc. 4.75% 6/1/30  |  | 1671000 | 1504743 |
| AutoZone, Inc.: |  |  |  |
|  3.625% 4/15/25 |  | 2398000 | 2332042 |
|  4% 4/15/30 |  | 11145000 | 10421837 |
|  4.75% 8/1/32 |  | 15000000 | 14710880 |
| Bath & Body Works, Inc. 6.694% 1/15/27  |  | 480000 | 466249 |
| Carvana Co.: |  |  |  |
|  4.875% 9/1/29(d) |  | 950000 | 317461 |
|  5.5% 4/15/27(d) |  | 1550000 | 556311 |
|  5.875% 10/1/28(d) |  | 390000 | 136871 |
|  10.25% 5/1/30(d) |  | 240000 | 102000 |
| Foot Locker, Inc. 4% 10/1/29 (d) |  | 2490000 | 2053154 |
| LBM Acquisition LLC 6.25% 1/15/29 (d) |  | 2695000 | 1856353 |
| Lowe's Companies, Inc.: |  |  |  |
|  3.35% 4/1/27 |  | 1437000 | 1363665 |
|  3.75% 4/1/32 |  | 27423000 | 24979923 |
|  4.25% 4/1/52 |  | 18092000 | 14767697 |
|  4.45% 4/1/62 |  | 20496000 | 16567341 |
|  4.5% 4/15/30 |  | 8031000 | 7813786 |
| Michaels Companies, Inc.: |  |  |  |
|  5.25% 5/1/28(d) |  | 1020000 | 747084 |
|  7.875% 5/1/29(d) |  | 785000 | 464131 |
| O'Reilly Automotive, Inc. 4.2% 4/1/30  |  | 2481000 | 2350954 |
| VIA Outlets 1.75% 11/15/28 (Reg. S)  | EUR | 1900000 | 1519871 |
|  |  |  | 105032353 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |  |
| Kontoor Brands, Inc. 4.125% 11/15/29 (d) |  | 410000 | 333863 |
| Levi Strauss & Co. 3.5% 3/1/31 (d) |  | 1670000 | 1370088 |
| Wolverine World Wide, Inc. 4% 8/15/29 (d) |  | 2280000 | 1687200 |
|  |  |  | 3391151 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 315716378 |
| CONSUMER STAPLES - 2.2% |  |  |  |
| Beverages - 1.1% |  |  |  |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46  |  | 30000000 | 28064498 |
| Anheuser-Busch InBev Finance, Inc.: |  |  |  |
|  4.7% 2/1/36 |  | 13110000 | 12578975 |
|  4.9% 2/1/46 |  | 16343000 | 15288603 |
| Anheuser-Busch InBev SA NV 9.75% 7/30/24  | GBP | 175000 | 227946 |
| Anheuser-Busch InBev Worldwide, Inc.: |  |  |  |
|  3.5% 6/1/30 |  | 18100000 | 16715563 |
|  4.35% 6/1/40 |  | 7470000 | 6743100 |
|  4.5% 6/1/50 |  | 20000000 | 18082308 |
|  4.75% 4/15/58 |  | 10214000 | 9334982 |
|  5.45% 1/23/39 |  | 9200000 | 9405821 |
|  5.55% 1/23/49 |  | 21036000 | 21537222 |
|  5.8% 1/23/59 (Reg. S) |  | 22287000 | 23622668 |
| Central American Bottling Corp. 5.25% 4/27/29 (d) |  | 845000 | 755219 |
| Constellation Brands, Inc. 4.75% 5/9/32  |  | 20000000 | 19336916 |
| Primo Water Holdings, Inc. 4.375% 4/30/29 (d) |  | 3720000 | 3214675 |
| The Coca-Cola Co.: |  |  |  |
|  3.375% 3/25/27 |  | 13095000 | 12675143 |
|  3.45% 3/25/30 |  | 7303000 | 6801129 |
| Triton Water Holdings, Inc. 6.25% 4/1/29 (d) |  | 7670000 | 5969446 |
|  |  |  | 210354214 |
| Food & Staples Retailing - 0.1% |  |  |  |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: |  |  |  |
|  3.5% 3/15/29(d) |  | 7345000 | 6118550 |
|  4.875% 2/15/30(d) |  | 1820000 | 1623877 |
| C&S Group Enterprises LLC 5% 12/15/28 (d) |  | 4885000 | 3627183 |
| NBM U.S. Holdings, Inc. 6.625% 8/6/29 (d) |  | 1555000 | 1490662 |
| Performance Food Group, Inc. 5.5% 10/15/27 (d) |  | 1294000 | 1248710 |
| Sysco Corp.: |  |  |  |
|  5.95% 4/1/30 |  | 4765000 | 4982573 |
|  6.6% 4/1/50 |  | 7190000 | 8021155 |
| U.S. Foods, Inc.: |  |  |  |
|  4.625% 6/1/30(d) |  | 580000 | 514698 |
|  4.75% 2/15/29(d) |  | 1635000 | 1456981 |
|  |  |  | 29084389 |
| Food Products - 0.6% |  |  |  |
| Adecoagro SA 6% 9/21/27 (d) |  | 1325000 | 1230014 |
| BRF SA 4.875% 1/24/30 (d) |  | 575000 | 476120 |
| Camposol SA 6% 2/3/27 (d) |  | 325000 | 189475 |
| Darling Ingredients, Inc. 6% 6/15/30 (d) |  | 810000 | 789904 |
| JBS U.S.A. Lux SA / JBS Food Co.: |  |  |  |
|  2.5% 1/15/27(d) |  | 18135000 | 15806829 |
|  3% 5/15/32(d) |  | 18025000 | 14127184 |
|  3.625% 1/15/32(d) |  | 27395000 | 22600875 |
|  5.125% 2/1/28(d) |  | 7390000 | 7046977 |
|  5.5% 1/15/30(d) |  | 5555000 | 5328134 |
|  5.75% 4/1/33(d) |  | 15215000 | 14739227 |
| JDE Peet's BV 2.25% 9/24/31 (d) |  | 3800000 | 2846951 |
| Kraft Heinz Foods Co. 4.875% 10/1/49  |  | 20000000 | 17926546 |
| Lamb Weston Holdings, Inc. 4.125% 1/31/30 (d) |  | 3310000 | 2927298 |
| Post Holdings, Inc.: |  |  |  |
|  4.625% 4/15/30(d) |  | 1255000 | 1101074 |
|  5.5% 12/15/29(d) |  | 1969000 | 1808458 |
| TreeHouse Foods, Inc. 4% 9/1/28  |  | 735000 | 626198 |
|  |  |  | 109571264 |
| Personal Products - 0.0% |  |  |  |
| GSK Consumer Healthcare Capital 2.125% 3/29/34 (Reg. S)  | EUR | 1800000 | 1597958 |
| Natura Cosmeticos SA 4.125% 5/3/28 (d) |  | 970000 | 764166 |
|  |  |  | 2362124 |
| Tobacco - 0.4% |  |  |  |
| Altria Group, Inc.: |  |  |  |
|  4.25% 8/9/42 |  | 10924000 | 8145194 |
|  4.5% 5/2/43 |  | 7299000 | 5507498 |
|  4.8% 2/14/29 |  | 1994000 | 1913977 |
|  5.375% 1/31/44 |  | 13161000 | 11466425 |
|  5.95% 2/14/49 |  | 2582000 | 2293268 |
| BAT International Finance PLC 2.25% 6/26/28 (Reg. S)  | GBP | 3615000 | 3557168 |
| Imperial Tobacco Finance PLC: |  |  |  |
|  3.5% 2/11/23(d) |  | 850000 | 845156 |
|  3.5% 7/26/26(d) |  | 8401000 | 7735752 |
|  4.25% 7/21/25(d) |  | 6702000 | 6397355 |
|  6.125% 7/27/27(d) |  | 7555000 | 7556694 |
| Reynolds American, Inc.: |  |  |  |
|  4.45% 6/12/25 |  | 5354000 | 5257638 |
|  5.7% 8/15/35 |  | 1538000 | 1419860 |
|  5.85% 8/15/45 |  | 12953000 | 11327253 |
|  6.15% 9/15/43 |  | 1637000 | 1470610 |
|  7.25% 6/15/37 |  | 1835000 | 1885787 |
|  |  |  | 76779635 |
| TOTAL CONSUMER STAPLES |  |  | 428151626 |
| ENERGY - 4.6% |  |  |  |
| Energy Equipment & Services - 0.1% |  |  |  |
| CGG SA 8.75% 4/1/27 (d) |  | 1750000 | 1471846 |
| Guara Norte SARL 5.198% 6/15/34 (d) |  | 884662 | 727247 |
| Halliburton Co.: |  |  |  |
|  3.8% 11/15/25 |  | 86000 | 84175 |
|  4.85% 11/15/35 |  | 3103000 | 2908190 |
| Oleoducto Central SA 4% 7/14/27 (d) |  | 1590000 | 1369388 |
| Southern Gas Corridor CJSC 6.875% 3/24/26 (d) |  | 2024000 | 2068781 |
| State Oil Co. of Azerbaijan Republic: |  |  |  |
|  4.75% 3/13/23 (Reg. S) |  | 235000 | 233135 |
|  6.95% 3/18/30 (Reg. S) |  | 400000 | 405500 |
| Technip Energies NV 1.125% 5/28/28  | EUR | 2905000 | 2447399 |
| The Oil and Gas Holding Co.: |  |  |  |
|  7.5% 10/25/27(d) |  | 903000 | 905709 |
|  7.625% 11/7/24(d) |  | 1750000 | 1766188 |
|  8.375% 11/7/28(d) |  | 260000 | 263868 |
| Transocean Guardian Ltd. 5.875% 1/15/24 (d) |  | 2030051 | 1977453 |
| Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (d) |  | 152000 | 149937 |
| Transocean Pontus Ltd. 6.125% 8/1/25 (d) |  | 425600 | 412832 |
| Transocean Poseidon Ltd. 6.875% 2/1/27 (d) |  | 997500 | 970069 |
| Transocean Proteus Ltd. 6.25% 12/1/24 (d) |  | 189000 | 185220 |
| Transocean Sentry Ltd. 5.375% 5/15/23 (d) |  | 1706753 | 1690216 |
|  |  |  | 20037153 |
| Oil, Gas & Consumable Fuels - 4.5% |  |  |  |
| Apache Corp. 4.25% 1/15/30  |  | 555000 | 498756 |
| Canacol Energy Ltd. 5.75% 11/24/28 (d) |  | 530000 | 446293 |
| Canadian Natural Resources Ltd.: |  |  |  |
|  2.95% 7/15/30 |  | 12000000 | 10251901 |
|  3.9% 2/1/25 |  | 9072000 | 8878309 |
|  5.85% 2/1/35 |  | 3955000 | 3863831 |
| Cenovus Energy, Inc.: |  |  |  |
|  3.75% 2/15/52 |  | 12540000 | 9034908 |
|  5.4% 6/15/47 |  | 2296000 | 2120824 |
|  6.75% 11/15/39 |  | 1902000 | 2001105 |
| Cheniere Energy Partners LP 3.25% 1/31/32  |  | 2435000 | 1981481 |
| Citgo Holding, Inc. 9.25% 8/1/24 (d) |  | 675000 | 676688 |
| Citgo Petroleum Corp.: |  |  |  |
|  6.375% 6/15/26(d) |  | 3825000 | 3738735 |
|  7% 6/15/25(d) |  | 3645000 | 3591473 |
| CNX Resources Corp.: |  |  |  |
|  7.25% 3/14/27(d) |  | 140000 | 139475 |
|  7.375% 1/15/31(d) |  | 1330000 | 1330718 |
| Colgate Energy Partners III LLC: |  |  |  |
|  5.875% 7/1/29(d) |  | 2965000 | 2727800 |
|  7.75% 2/15/26(d) |  | 910000 | 902103 |
| Columbia Pipeline Group, Inc. 4.5% 6/1/25  |  | 1708000 | 1682080 |
| Comstock Resources, Inc.: |  |  |  |
|  5.875% 1/15/30(d) |  | 2405000 | 2215847 |
|  6.75% 3/1/29(d) |  | 4025000 | 3931016 |
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: |  |  |  |
|  5.625% 5/1/27(d) |  | 8202000 | 7717822 |
|  5.75% 4/1/25 |  | 1941000 | 1892234 |
|  6% 2/1/29(d) |  | 4880000 | 4501800 |
| CrownRock LP/CrownRock Finance, Inc.: |  |  |  |
|  5% 5/1/29(d) |  | 940000 | 865411 |
|  5.625% 10/15/25(d) |  | 180000 | 175725 |
| CVR Energy, Inc.: |  |  |  |
|  5.25% 2/15/25(d) |  | 3680000 | 3527354 |
|  5.75% 2/15/28(d) |  | 4828000 | 4343462 |
| DCP Midstream Operating LP: |  |  |  |
|  3.875% 3/15/23 |  | 2008000 | 1997558 |
|  5.85% 5/21/43(d)(f) |  | 9176000 | 8976901 |
|  6.45% 11/3/36(d) |  | 4987000 | 4956763 |
| Delek Logistics Partners LP 7.125% 6/1/28 (d) |  | 3517000 | 3258078 |
| Delek Overriding Royalty Levia 7.494% 12/30/23 (Reg. S) (d) |  | 1780000 | 1771990 |
| DT Midstream, Inc. 4.125% 6/15/29 (d) |  | 1165000 | 1026482 |
| EG Global Finance PLC: |  |  |  |
|  6.75% 2/7/25(d) |  | 2905000 | 2643550 |
|  8.5% 10/30/25(d) |  | 4855000 | 4633273 |
| EIG Pearl Holdings SARL 3.545% 8/31/36 (d) |  | 2185000 | 1819013 |
| Empresa Nacional de Petroleo 4.375% 10/30/24 (d) |  | 3283000 | 3181022 |
| Enbridge, Inc.: |  |  |  |
|  4% 10/1/23 |  | 5655000 | 5591237 |
|  4.25% 12/1/26 |  | 2805000 | 2719649 |
| Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (d) |  | 2199000 | 2164256 |
| Energean Israel Finance Ltd. 4.875% 3/30/26 (Reg. S) (d) |  | 1095000 | 1015613 |
| Energean PLC 6.5% 4/30/27 (d) |  | 770000 | 708400 |
| Energy Transfer LP: |  |  |  |
|  3.75% 5/15/30 |  | 24728000 | 21918593 |
|  3.9% 5/15/24(f) |  | 1542000 | 1507465 |
|  4.2% 9/15/23 |  | 2098000 | 2082677 |
|  4.25% 3/15/23 |  | 2044000 | 2037495 |
|  4.5% 4/15/24 |  | 2483000 | 2451832 |
|  4.95% 6/15/28 |  | 7159000 | 6925163 |
|  5% 5/15/50 |  | 21347000 | 17593128 |
|  5.25% 4/15/29 |  | 4040000 | 3930234 |
|  5.4% 10/1/47 |  | 19219000 | 16574033 |
|  5.8% 6/15/38 |  | 3992000 | 3701562 |
|  6% 6/15/48 |  | 3699000 | 3397465 |
|  6.125% 12/15/45 |  | 900000 | 852391 |
|  6.25% 4/15/49 |  | 2774000 | 2623299 |
| EnLink Midstream LLC 5.625% 1/15/28 (d) |  | 4500000 | 4387500 |
| EQM Midstream Partners LP: |  |  |  |
|  4% 8/1/24 |  | 1375000 | 1313125 |
|  6% 7/1/25(d) |  | 145000 | 142100 |
|  6.5% 7/1/27(d) |  | 2790000 | 2706300 |
|  7.5% 6/1/27(d) |  | 650000 | 656897 |
|  7.5% 6/1/30(d) |  | 2650000 | 2673148 |
| Exxon Mobil Corp. 3.482% 3/19/30  |  | 31960000 | 30078855 |
| FEL Energy VI SARL 5.75% 12/1/40 (d) |  | 390884 | 318570 |
| Galaxy Pipeline Assets BidCo Ltd.: |  |  |  |
|  2.16% 3/31/34(d) |  | 499316 | 420674 |
|  2.625% 3/31/36(d) |  | 1890000 | 1496998 |
| GeoPark Ltd. 5.5% 1/17/27 (d) |  | 835000 | 721231 |
| Global Partners LP/GLP Finance Corp.: |  |  |  |
|  6.875% 1/15/29 |  | 1595000 | 1448260 |
|  7% 8/1/27 |  | 3737000 | 3540808 |
| Golar LNG Ltd. 7% 10/20/25 (d) |  | 1365000 | 1288475 |
| Harvest Midstream I LP 7.5% 9/1/28 (d) |  | 765000 | 732488 |
| Hess Corp.: |  |  |  |
|  4.3% 4/1/27 |  | 11010000 | 10582973 |
|  5.6% 2/15/41 |  | 10536000 | 10153952 |
|  5.8% 4/1/47 |  | 13479000 | 13093186 |
|  7.125% 3/15/33 |  | 2041000 | 2232091 |
|  7.3% 8/15/31 |  | 4951000 | 5441066 |
|  7.875% 10/1/29 |  | 8500000 | 9516004 |
| Hess Midstream Partners LP: |  |  |  |
|  4.25% 2/15/30(d) |  | 780000 | 666900 |
|  5.125% 6/15/28(d) |  | 2915000 | 2744356 |
| Hilcorp Energy I LP/Hilcorp Finance Co.: |  |  |  |
|  5.75% 2/1/29(d) |  | 555000 | 508412 |
|  6.25% 11/1/28(d) |  | 555000 | 528533 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) |  | 4150000 | 3781323 |
| Indika Energy Capital IV Pte Ltd. 8.25% 10/22/25 (d) |  | 510000 | 495975 |
| KazMunaiGaz National Co.: |  |  |  |
|  3.5% 4/14/33(d) |  | 495000 | 365558 |
|  4.75% 4/24/25(d) |  | 152000 | 146044 |
|  5.75% 4/19/47(d) |  | 250000 | 187719 |
| Kinder Morgan Energy Partners LP: |  |  |  |
|  3.45% 2/15/23 |  | 3804000 | 3790294 |
|  5.5% 3/1/44 |  | 15589000 | 14454926 |
|  6.55% 9/15/40 |  | 686000 | 692622 |
| Kinder Morgan, Inc.: |  |  |  |
|  5.05% 2/15/46 |  | 1762000 | 1523893 |
|  5.55% 6/1/45 |  | 4783000 | 4463611 |
| Kosmos Energy Ltd. 7.125% 4/4/26 (d) |  | 2695000 | 2397371 |
| Leviathan Bond Ltd.: |  |  |  |
|  5.75% 6/30/23 (Reg. S)(d) |  | 535000 | 533944 |
|  6.125% 6/30/25 (Reg. S)(d) |  | 1085000 | 1064661 |
| MC Brazil Downstream Trading SARL 7.25% 6/30/31 (d) |  | 1120000 | 924000 |
| Medco Laurel Tree PTE Ltd. 6.95% 11/12/28 (d) |  | 890000 | 779473 |
| Medco Oak Tree Pte Ltd. 7.375% 5/14/26 (d) |  | 405000 | 384264 |
| Medco Platinum Road Pte Ltd. 6.75% 1/30/25 (d) |  | 700000 | 678913 |
| Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(e) |  | 4592000 | 0 |
| MPLX LP: |  |  |  |
|  4.5% 7/15/23 |  | 3588000 | 3566378 |
|  4.8% 2/15/29 |  | 2198000 | 2115432 |
|  4.875% 12/1/24 |  | 4860000 | 4818064 |
|  4.95% 9/1/32 |  | 14675000 | 13890345 |
|  5.5% 2/15/49 |  | 6593000 | 5923340 |
| Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d) |  | 505000 | 413171 |
| NAK Naftogaz Ukraine: |  |  |  |
|  7.375% 7/19/24 (Reg. S)(e) |  | 955000 | 191000 |
|  7.625% 11/8/26(d) |  | 305000 | 54900 |
| New Fortress Energy, Inc.: |  |  |  |
|  6.5% 9/30/26(d) |  | 16065000 | 15526100 |
|  6.75% 9/15/25(d) |  | 13499000 | 13184878 |
| NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d) |  | 3370000 | 3043841 |
| Nostrum Oil & Gas Finance BV 8% 12/31/49 (d)(e) |  | 4009000 | 1044304 |
| Occidental Petroleum Corp.: |  |  |  |
|  5.55% 3/15/26 |  | 9211000 | 9211000 |
|  6.45% 9/15/36 |  | 8786000 | 8807965 |
|  6.6% 3/15/46 |  | 10444000 | 10652880 |
|  7.5% 5/1/31 |  | 14524000 | 15758540 |
|  7.875% 9/15/31 |  | 465000 | 509175 |
|  8.875% 7/15/30 |  | 1595000 | 1828269 |
| Petrobras Global Finance BV: |  |  |  |
|  6.75% 6/3/50 |  | 860000 | 732333 |
|  6.875% 1/20/40 |  | 485000 | 449171 |
| Petroleos de Venezuela SA: |  |  |  |
|  5.375% 4/12/27(e) |  | 353900 | 15926 |
|  6% 5/16/24(d)(e) |  | 1847331 | 83130 |
|  6% 11/15/26(d)(e) |  | 1619833 | 85851 |
|  12.75% 12/31/49(d)(e) |  | 98000 | 4411 |
| Petroleos Mexicanos: |  |  |  |
|  4.5% 1/23/26 |  | 13054000 | 11748600 |
|  4.875% 1/18/24 |  | 2709000 | 2656175 |
|  5.95% 1/28/31 |  | 38105000 | 28494919 |
|  6.35% 2/12/48 |  | 31726000 | 19194230 |
|  6.49% 1/23/27 |  | 14935000 | 13513188 |
|  6.5% 3/13/27 |  | 42674000 | 38474878 |
|  6.5% 6/2/41 |  | 255000 | 163200 |
|  6.625% 6/15/35 |  | 3392000 | 2384915 |
|  6.7% 2/16/32 |  | 11667000 | 8993507 |
|  6.75% 9/21/47 |  | 18053000 | 11486221 |
|  6.84% 1/23/30 |  | 33047000 | 27131587 |
|  6.875% 10/16/25 |  | 575000 | 557923 |
|  6.875% 8/4/26 |  | 1070000 | 1011150 |
|  6.95% 1/28/60 |  | 16303000 | 10275781 |
|  7.69% 1/23/50 |  | 31233000 | 21260303 |
| Petronas Capital Ltd.: |  |  |  |
|  3.404% 4/28/61(d) |  | 415000 | 292260 |
|  3.5% 4/21/30(d) |  | 335000 | 307634 |
| Phillips 66 Co.: |  |  |  |
|  3.7% 4/6/23 |  | 1014000 | 1011535 |
|  3.85% 4/9/25 |  | 1307000 | 1278077 |
| Plains All American Pipeline LP/PAA Finance Corp.: |  |  |  |
|  3.55% 12/15/29 |  | 2689000 | 2343344 |
|  3.6% 11/1/24 |  | 2794000 | 2695221 |
| PT Adaro Indonesia 4.25% 10/31/24 (d) |  | 1565000 | 1504650 |
| PT Pertamina Persero 4.175% 1/21/50 (d) |  | 405000 | 313920 |
| Qatar Petroleum: |  |  |  |
|  1.375% 9/12/26(d) |  | 2205000 | 1951337 |
|  2.25% 7/12/31(d) |  | 1865000 | 1550281 |
|  3.125% 7/12/41(d) |  | 1850000 | 1399409 |
|  3.3% 7/12/51(d) |  | 1545000 | 1120415 |
| Rockies Express Pipeline LLC: |  |  |  |
|  4.8% 5/15/30(d) |  | 110000 | 93558 |
|  4.95% 7/15/29(d) |  | 1290000 | 1159985 |
|  6.875% 4/15/40(d) |  | 490000 | 406700 |
| SA Global Sukuk Ltd. 1.602% 6/17/26 (d) |  | 2215000 | 1982425 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/30  |  | 17428000 | 16467325 |
| Saudi Arabian Oil Co.: |  |  |  |
|  1.625% 11/24/25(d) |  | 1725000 | 1574063 |
|  3.5% 4/16/29(d) |  | 2590000 | 2395750 |
|  3.5% 11/24/70(d) |  | 645000 | 445856 |
|  4.25% 4/16/39(d) |  | 2995000 | 2696249 |
|  4.375% 4/16/49(d) |  | 555000 | 482850 |
| Sibur Securities DAC 2.95% 7/8/25 (c)(d)(e) |  | 330000 | 214500 |
| Sinopec Group Overseas Development Ltd.: |  |  |  |
|  1.45% 1/8/26(d) |  | 530000 | 481860 |
|  2.7% 5/13/30(d) |  | 325000 | 284629 |
| SM Energy Co. 5.625% 6/1/25  |  | 1430000 | 1391157 |
| Southwestern Energy Co. 4.75% 2/1/32  |  | 1170000 | 1022907 |
| Sunoco LP/Sunoco Finance Corp.: |  |  |  |
|  4.5% 5/15/29 |  | 1440000 | 1246878 |
|  5.875% 3/15/28 |  | 1270000 | 1209606 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: |  |  |  |
|  5.5% 1/15/28(d) |  | 2843000 | 2580023 |
|  6% 3/1/27(d) |  | 11965000 | 11374348 |
|  6% 12/31/30(d) |  | 4330000 | 3918607 |
|  6% 9/1/31(d) |  | 2615000 | 2330619 |
|  7.5% 10/1/25(d) |  | 1170000 | 1184625 |
| Tengizchevroil Finance Co. International Ltd. 3.25% 8/15/30 (d) |  | 955000 | 670888 |
| The Williams Companies, Inc.: |  |  |  |
|  3.5% 11/15/30 |  | 18443000 | 16320512 |
|  3.9% 1/15/25 |  | 9678000 | 9452695 |
|  4% 9/15/25 |  | 1089000 | 1061718 |
|  4.3% 3/4/24 |  | 14855000 | 14680003 |
|  4.5% 11/15/23 |  | 2658000 | 2636946 |
|  4.55% 6/24/24 |  | 12340000 | 12212380 |
|  4.65% 8/15/32 |  | 34934000 | 33090887 |
|  5.3% 8/15/52 |  | 3368000 | 3093706 |
|  5.75% 6/24/44 |  | 6964000 | 6781488 |
| Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30  |  | 2221000 | 1950881 |
| Tullow Oil PLC: |  |  |  |
|  7% 3/1/25(d) |  | 455000 | 311675 |
|  10.25% 5/15/26(d) |  | 1300000 | 1118000 |
| Uzbekneftegaz JSC 4.75% 11/16/28 (d) |  | 200000 | 156500 |
| Venture Global Calcasieu Pass LLC: |  |  |  |
|  3.875% 8/15/29(d) |  | 1500000 | 1295625 |
|  4.125% 8/15/31(d) |  | 1485000 | 1280813 |
| Western Gas Partners LP: |  |  |  |
|  3.95% 6/1/25 |  | 1764000 | 1689030 |
|  4.65% 7/1/26 |  | 2834000 | 2756164 |
|  4.75% 8/15/28 |  | 2108000 | 1949900 |
| YPF SA: |  |  |  |
|  8.5% 3/23/25(d) |  | 532500 | 463275 |
|  8.75% 4/4/24(d) |  | 1999200 | 1850260 |
|  |  |  | 853946696 |
| TOTAL ENERGY |  |  | 873983849 |
| FINANCIALS - 14.3% |  |  |  |
| Banks - 6.1% |  |  |  |
| Access Bank PLC 6.125% 9/21/26 (d) |  | 1070000 | 830119 |
| AIB Group PLC: |  |  |  |
|  1.875% 11/19/29 (Reg. S)(f) | EUR | 4000000 | 3790281 |
|  2.25% 4/4/28 (Reg. S)(f) | EUR | 5000000 | 4663158 |
|  2.875% 5/30/31 (Reg. S)(f) | EUR | 3285000 | 3052400 |
|  3.625% 7/4/26 (Reg. S)(f) | EUR | 1800000 | 1822125 |
| Alpha Bank SA 4.25% 2/13/30 (Reg. S) (f) | EUR | 1750000 | 1479280 |
| Banco de Reservas de La Republica Dominicana 7% 2/1/23 (d) |  | 118000 | 117336 |
| Bank of America Corp.: |  |  |  |
|  2.299% 7/21/32(f) |  | 18130000 | 14205302 |
|  3.3% 1/11/23 |  | 327000 | 326457 |
|  3.419% 12/20/28(f) |  | 8456000 | 7710631 |
|  3.5% 4/19/26 |  | 7461000 | 7153841 |
|  3.705% 4/24/28(f) |  | 11813000 | 11003850 |
|  3.864% 7/23/24(f) |  | 24740000 | 24484267 |
|  3.95% 4/21/25 |  | 6226000 | 6084773 |
|  4.1% 7/24/23 |  | 4167000 | 4150189 |
|  4.2% 8/26/24 |  | 14710000 | 14503870 |
|  4.25% 10/22/26 |  | 5344000 | 5232587 |
|  4.376% 4/27/28(f) |  | 20000000 | 19202676 |
|  4.45% 3/3/26 |  | 3050000 | 2999845 |
|  4.571% 4/27/33(f) |  | 10000000 | 9319755 |
|  5.015% 7/22/33(f) |  | 121493000 | 117291606 |
| Bank of Ireland Group PLC: |  |  |  |
|  1.375% 8/11/31 (Reg. S)(f) | EUR | 5545000 | 4854431 |
|  2.029% 9/30/27(d)(f) |  | 4565000 | 3785618 |
|  2.375% 10/14/29 (Reg. S)(f) | EUR | 2960000 | 2858674 |
| Barclays PLC: |  |  |  |
|  2% 2/7/28 (Reg. S)(f) | EUR | 1865000 | 1915657 |
|  2.852% 5/7/26(f) |  | 17739000 | 16355617 |
|  4.375% 1/12/26 |  | 9104000 | 8755840 |
|  5.088% 6/20/30(f) |  | 14797000 | 13327775 |
|  5.2% 5/12/26 |  | 6970000 | 6758041 |
|  5.262% 1/29/34 (Reg. S)(f) | EUR | 940000 | 991432 |
|  5.746% 8/9/33(f) |  | 1073000 | 1027775 |
|  7.437% 11/2/33(f) |  | 950000 | 1006328 |
|  8.407% 11/14/32 (Reg. S)(f) | GBP | 1350000 | 1683739 |
| BNP Paribas SA: |  |  |  |
|  2.159% 9/15/29(d)(f) |  | 5025000 | 4076282 |
|  2.219% 6/9/26(d)(f) |  | 15515000 | 14248495 |
|  2.5% 3/31/32 (Reg. S)(f) | EUR | 3800000 | 3542916 |
| BPCE SA 1.5% 1/13/42 (Reg. S) (f) | EUR | 3400000 | 3023609 |
| Citigroup, Inc.: |  |  |  |
|  3.352% 4/24/25(f) |  | 9970000 | 9641239 |
|  4.3% 11/20/26 |  | 3067000 | 2991874 |
|  4.4% 6/10/25 |  | 18137000 | 17837261 |
|  4.412% 3/31/31(f) |  | 22342000 | 20767042 |
|  4.45% 9/29/27 |  | 10486000 | 10099493 |
|  4.6% 3/9/26 |  | 4812000 | 4744148 |
|  4.91% 5/24/33(f) |  | 54777000 | 52153945 |
|  5.5% 9/13/25 |  | 8473000 | 8599303 |
| Citizens Financial Group, Inc. 2.638% 9/30/32  |  | 5802000 | 4336299 |
| Commerzbank AG 8.625% 2/28/33 (Reg. S) (f) | GBP | 400000 | 486734 |
| Commonwealth Bank of Australia 3.61% 9/12/34 (d)(f) |  | 5339000 | 4385053 |
| Credit Agricole SA 1.25% 10/2/24 (Reg. S)  | GBP | 900000 | 1017027 |
| Danske Bank A/S: |  |  |  |
|  2.25% 1/14/28 (Reg. S)(f) | GBP | 2290000 | 2358517 |
|  5.375% 1/12/24 (Reg. S) |  | 5350000 | 5321205 |
| Development Bank of Mongolia 7.25% 10/23/23 (d) |  | 159000 | 138330 |
| Discover Bank 4.2% 8/8/23  |  | 6479000 | 6433366 |
| First Citizens Bank & Trust Co. 3.929% 6/19/24 (f) |  | 2695000 | 2659836 |
| HSBC Holdings PLC: |  |  |  |
|  4.25% 3/14/24 |  | 2247000 | 2209779 |
|  4.95% 3/31/30 |  | 3002000 | 2877055 |
|  5.402% 8/11/33(f) |  | 540000 | 505590 |
|  7.39% 11/3/28(f) |  | 1700000 | 1782861 |
|  8.201% 11/16/34 (Reg. S)(f) | GBP | 1900000 | 2382055 |
| Intesa Sanpaolo SpA: |  |  |  |
|  3.875% 7/14/27(d) |  | 3181000 | 2851249 |
|  4.198% 6/1/32(d)(f) |  | 2306000 | 1700827 |
|  5.017% 6/26/24(d) |  | 9000000 | 8665952 |
|  5.71% 1/15/26(d) |  | 32489000 | 31389161 |
| JPMorgan Chase & Co.: |  |  |  |
|  2.956% 5/13/31(f) |  | 9435000 | 7867730 |
|  3.797% 7/23/24(f) |  | 25215000 | 24948674 |
|  3.875% 9/10/24 |  | 12990000 | 12766954 |
|  4.125% 12/15/26 |  | 11765000 | 11492003 |
|  4.323% 4/26/28(f) |  | 25000000 | 23959656 |
|  4.452% 12/5/29(f) |  | 20700000 | 19674743 |
|  4.493% 3/24/31(f) |  | 30800000 | 29201937 |
|  4.586% 4/26/33(f) |  | 73217000 | 68775912 |
|  4.912% 7/25/33(f) |  | 53314000 | 51411471 |
|  5.717% 9/14/33(f) |  | 22300000 | 22060602 |
| Lloyds Bank Corporate Markets PLC: |  |  |  |
|  1.5% 6/23/23 (Reg. S) | GBP | 880000 | 1041136 |
|  1.75% 7/11/24 (Reg. S) | GBP | 910000 | 1041697 |
| Lloyds Banking Group PLC: |  |  |  |
|  1.985% 12/15/31(f) | GBP | 1840000 | 1850069 |
|  4.976% 8/11/33(f) |  | 540000 | 496983 |
| National Bank of Uzbekistan 4.85% 10/21/25 (Reg. S)  |  | 525000 | 468989 |
| NatWest Group PLC: |  |  |  |
|  2.105% 11/28/31 (Reg. S)(f) | GBP | 3085000 | 3062827 |
|  3.073% 5/22/28(f) |  | 9805000 | 8680221 |
|  3.619% 3/29/29 (Reg. S)(f) | GBP | 2830000 | 2970980 |
|  3.622% 8/14/30 (Reg. S)(f) | GBP | 1055000 | 1165347 |
|  4.8% 4/5/26 |  | 9111000 | 8879676 |
|  5.125% 5/28/24 |  | 25230000 | 24926464 |
|  7.416% 6/6/33 (Reg. S)(f) | GBP | 1550000 | 1872005 |
| NatWest Markets PLC 2.375% 5/21/23 (d) |  | 18955000 | 18636874 |
| Oschadbank Via SSB #1 PLC 9.375% 3/10/23 (d) |  | 61000 | 42845 |
| Rabobank Nederland 4.375% 8/4/25  |  | 9413000 | 9147490 |
| Societe Generale: |  |  |  |
|  1.038% 6/18/25(d)(f) |  | 36500000 | 33304242 |
|  1.488% 12/14/26(d)(f) |  | 18670000 | 16145315 |
|  4.25% 4/14/25(d) |  | 1800000 | 1719701 |
|  4.75% 11/24/25(d) |  | 400000 | 380995 |
| Synchrony Bank: |  |  |  |
|  5.4% 8/22/25 |  | 14157000 | 13866578 |
|  5.625% 8/23/27 |  | 12818000 | 12409099 |
| UniCredit SpA: |  |  |  |
|  2.731% 1/15/32 (Reg. S)(f) | EUR | 3350000 | 2962607 |
|  5.861% 6/19/32(d)(f) |  | 1500000 | 1306142 |
| Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (f) | GBP | 1840000 | 2046794 |
| Wells Fargo & Co.: |  |  |  |
|  2.125% 12/20/23 (Reg. S) | GBP | 880000 | 1027635 |
|  2.406% 10/30/25(f) |  | 9442000 | 8898310 |
|  3.526% 3/24/28(f) |  | 19749000 | 18344768 |
|  4.478% 4/4/31(f) |  | 30867000 | 29174513 |
|  4.897% 7/25/33(f) |  | 70571000 | 67999649 |
|  5.013% 4/4/51(f) |  | 34319000 | 32236004 |
| Wells Fargo Bank NA 5.25% 8/1/23 (Reg. S)  | GBP | 850000 | 1024934 |
| Westpac Banking Corp. 4.11% 7/24/34 (f) |  | 7550000 | 6441275 |
|  |  |  | 1161703624 |
| Capital Markets - 3.4% |  |  |  |
| Affiliated Managers Group, Inc.: |  |  |  |
|  3.5% 8/1/25 |  | 7624000 | 7339671 |
|  4.25% 2/15/24 |  | 5321000 | 5262358 |
| Ares Capital Corp.: |  |  |  |
|  3.875% 1/15/26 |  | 25763000 | 23690487 |
|  4.2% 6/10/24 |  | 17909000 | 17361231 |
| AssuredPartners, Inc. 5.625% 1/15/29 (d) |  | 1015000 | 862750 |
| Coinbase Global, Inc.: |  |  |  |
|  3.375% 10/1/28(d) |  | 3175000 | 1855724 |
|  3.625% 10/1/31(d) |  | 4355000 | 2351700 |
| Credit Suisse Group AG: |  |  |  |
|  2.125% 11/15/29 (Reg. S)(f) | GBP | 2000000 | 1719333 |
|  2.593% 9/11/25(d)(f) |  | 21556000 | 19096218 |
|  3.75% 3/26/25 |  | 7059000 | 6257305 |
|  3.8% 6/9/23 |  | 13301000 | 12735161 |
|  3.869% 1/12/29(d)(f) |  | 6719000 | 5366674 |
|  4.194% 4/1/31(d)(f) |  | 21526000 | 16319101 |
|  4.207% 6/12/24(d)(f) |  | 10289000 | 9983827 |
|  4.282% 1/9/28(d) |  | 3350000 | 2729621 |
|  6.5% 8/8/23 (Reg. S) |  | 3255000 | 3043425 |
|  6.537% 8/12/33(d)(f) |  | 30530000 | 26745596 |
|  7.375% 9/7/33 (Reg. S)(f) | GBP | 1100000 | 1229805 |
|  7.75% 3/1/29 (Reg. S)(f) | EUR | 2600000 | 2666324 |
| Deutsche Bank AG: |  |  |  |
|  3.25% 5/24/28 (Reg. S)(f) | EUR | 1900000 | 1832413 |
|  4% 6/24/32 (Reg. S)(f) | EUR | 4200000 | 3946143 |
|  4.1% 1/13/26 |  | 3085000 | 2960065 |
|  4.5% 4/1/25 |  | 43904000 | 41628808 |
| Deutsche Bank AG New York Branch: |  |  |  |
|  3.729% 1/14/32(f) |  | 29675000 | 21816781 |
|  5.882% 7/8/31(f) |  | 4150000 | 3577852 |
| Goldman Sachs Group, Inc.: |  |  |  |
|  2.383% 7/21/32(f) |  | 18352000 | 14495999 |
|  3.102% 2/24/33(f) |  | 39245000 | 32593519 |
|  3.2% 2/23/23 |  | 6170000 | 6147788 |
|  3.691% 6/5/28(f) |  | 72922000 | 68199302 |
|  3.75% 5/22/25 |  | 7259000 | 7051849 |
|  3.8% 3/15/30 |  | 36810000 | 33456889 |
|  6.75% 10/1/37 |  | 3974000 | 4259082 |
| Hightower Holding LLC 6.75% 4/15/29 (d) |  | 2885000 | 2392978 |
| Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d) |  | 680000 | 596992 |
| Moody's Corp.: |  |  |  |
|  3.25% 1/15/28 |  | 4181000 | 3863229 |
|  3.75% 3/24/25 |  | 10682000 | 10408942 |
|  4.875% 2/15/24 |  | 3926000 | 3916636 |
| Morgan Stanley: |  |  |  |
|  3.125% 1/23/23 |  | 4718000 | 4708949 |
|  3.125% 7/27/26 |  | 39505000 | 37054890 |
|  3.622% 4/1/31(f) |  | 21065000 | 18772243 |
|  3.737% 4/24/24(f) |  | 45366000 | 45052727 |
|  4.21% 4/20/28(f) |  | 20000000 | 19052009 |
|  4.431% 1/23/30(f) |  | 8668000 | 8197788 |
|  4.889% 7/20/33(f) |  | 44206000 | 42168036 |
|  5% 11/24/25 |  | 15462000 | 15498116 |
| MSCI, Inc.: |  |  |  |
|  3.25% 8/15/33(d) |  | 1220000 | 958470 |
|  3.625% 9/1/30(d) |  | 2440000 | 2048688 |
|  4% 11/15/29(d) |  | 3000000 | 2649090 |
| UBS Group AG: |  |  |  |
|  1.494% 8/10/27(d)(f) |  | 11454000 | 9842249 |
|  4.125% 9/24/25(d) |  | 6852000 | 6647008 |
|  4.988% 8/5/33 (Reg. S)(f) |  | 500000 | 465835 |
|  |  |  | 642877676 |
| Consumer Finance - 2.7% |  |  |  |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: |  |  |  |
|  1.65% 10/29/24 |  | 21930000 | 20179234 |
|  2.45% 10/29/26 |  | 8002000 | 7036122 |
|  2.875% 8/14/24 |  | 12392000 | 11728835 |
|  3% 10/29/28 |  | 8382000 | 7081863 |
|  3.3% 1/30/32 |  | 18966000 | 15115327 |
|  4.125% 7/3/23 |  | 7415000 | 7348370 |
|  4.45% 4/3/26 |  | 6213000 | 5960828 |
|  4.875% 1/16/24 |  | 9923000 | 9782685 |
|  6.5% 7/15/25 |  | 7728000 | 7807290 |
| Ally Financial, Inc.: |  |  |  |
|  1.45% 10/2/23 |  | 4483000 | 4329120 |
|  3.05% 6/5/23 |  | 20571000 | 20295717 |
|  4.75% 6/9/27 |  | 25000000 | 23538347 |
|  5.125% 9/30/24 |  | 4357000 | 4322588 |
|  5.75% 11/20/25 |  | 10400000 | 10261331 |
|  5.8% 5/1/25 |  | 11179000 | 11225142 |
|  7.1% 11/15/27 |  | 21840000 | 22460177 |
|  8% 11/1/31 |  | 5892000 | 6320727 |
| Capital One Financial Corp.: |  |  |  |
|  2.6% 5/11/23 |  | 16326000 | 16148950 |
|  2.636% 3/3/26(f) |  | 10020000 | 9344104 |
|  3.273% 3/1/30(f) |  | 12815000 | 10972368 |
|  3.65% 5/11/27 |  | 29451000 | 27738281 |
|  3.8% 1/31/28 |  | 13624000 | 12729274 |
|  4.927% 5/10/28(f) |  | 27617000 | 26493250 |
|  4.985% 7/24/26(f) |  | 14379000 | 14253439 |
|  5.247% 7/26/30(f) |  | 22350000 | 21303210 |
|  5.268% 5/10/33(f) |  | 10000000 | 9417435 |
| Discover Financial Services: |  |  |  |
|  3.95% 11/6/24 |  | 5349000 | 5202789 |
|  4.1% 2/9/27 |  | 6829000 | 6416414 |
|  4.5% 1/30/26 |  | 9265000 | 8918861 |
|  6.7% 11/29/32 |  | 3827000 | 3893212 |
| Ford Motor Credit Co. LLC: |  |  |  |
|  2.9% 2/10/29 |  | 2940000 | 2408771 |
|  3.625% 6/17/31 |  | 1225000 | 1005474 |
|  3.815% 11/2/27 |  | 1170000 | 1048086 |
|  4% 11/13/30 |  | 610000 | 515969 |
|  4.063% 11/1/24 |  | 42632000 | 41154618 |
|  4.95% 5/28/27 |  | 12435000 | 11768111 |
|  5.584% 3/18/24 |  | 12456000 | 12315870 |
| OneMain Finance Corp.: |  |  |  |
|  3.5% 1/15/27 |  | 2320000 | 1899928 |
|  3.875% 9/15/28 |  | 5190000 | 4117746 |
|  5.375% 11/15/29 |  | 2000000 | 1670400 |
|  6.875% 3/15/25 |  | 2805000 | 2724482 |
|  7.125% 3/15/26 |  | 3560000 | 3448910 |
| Shriram Transport Finance Co. Ltd.: |  |  |  |
|  4.15% 7/18/25(d) |  | 695000 | 628454 |
|  5.1% 7/16/23(d) |  | 390000 | 386100 |
| Synchrony Financial: |  |  |  |
|  3.95% 12/1/27 |  | 14204000 | 12699294 |
|  4.25% 8/15/24 |  | 11783000 | 11493085 |
|  4.375% 3/19/24 |  | 11497000 | 11291459 |
|  5.15% 3/19/29 |  | 21450000 | 20447052 |
| Toyota Motor Credit Corp. 2.9% 3/30/23  |  | 16253000 | 16158387 |
|  |  |  | 524807486 |
| Diversified Financial Services - 1.3% |  |  |  |
| 1MDB Global Investments Ltd. 4.4% 3/9/23  |  | 5200000 | 5087225 |
| Altus Midstream LP 5.875% 6/15/30 (d) |  | 3365000 | 3162124 |
| Blackstone Private Credit Fund: |  |  |  |
|  4.7% 3/24/25 |  | 38436000 | 37564536 |
|  4.875% 4/14/26 | GBP | 3960000 | 4304446 |
|  7.05% 9/29/25(d) |  | 18929000 | 18966723 |
| Brixmor Operating Partnership LP: |  |  |  |
|  3.85% 2/1/25 |  | 5199000 | 4987232 |
|  4.05% 7/1/30 |  | 10439000 | 9122997 |
|  4.125% 6/15/26 |  | 8538000 | 8020296 |
|  4.125% 5/15/29 |  | 10374000 | 9271788 |
| Corebridge Financial, Inc.: |  |  |  |
|  3.5% 4/4/25(d) |  | 4316000 | 4133086 |
|  3.65% 4/5/27(d) |  | 15270000 | 14293572 |
|  3.85% 4/5/29(d) |  | 6037000 | 5495585 |
|  3.9% 4/5/32(d) |  | 7187000 | 6337541 |
|  4.35% 4/5/42(d) |  | 1635000 | 1338621 |
|  4.4% 4/5/52(d) |  | 4834000 | 3885422 |
| Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d) |  | 435000 | 414729 |
| Equitable Holdings, Inc. 3.9% 4/20/23  |  | 1202000 | 1196959 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |  |  |  |
|  4.375% 2/1/29 |  | 4930000 | 4147363 |
|  5.25% 5/15/27 |  | 10219000 | 9375933 |
|  6.25% 5/15/26 |  | 8660000 | 8478660 |
| Intercement Financial Operatio 5.75% 7/17/24 (d) |  | 398000 | 267655 |
| Jackson Financial, Inc.: |  |  |  |
|  5.17% 6/8/27 |  | 6781000 | 6645195 |
|  5.67% 6/8/32 |  | 46562000 | 44236370 |
| Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S)  | EUR | 3255000 | 2603975 |
| M&G PLC: |  |  |  |
|  5.625% 10/20/51 (Reg. S)(f) | GBP | 2650000 | 2936068 |
|  6.5% 10/20/48 (Reg. S)(f) |  | 2405000 | 2301883 |
| MDGH GMTN RSC Ltd.: |  |  |  |
|  2.875% 11/7/29(d) |  | 740000 | 660358 |
|  5.5% 4/28/33(d) |  | 510000 | 534863 |
| OEC Finance Ltd. 4.375% 10/25/29 pay-in-kind (d) |  | 17096 | 397 |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (d) |  | 12849000 | 12660005 |
| Pine Street Trust I 4.572% 2/15/29 (d) |  | 11350000 | 10549522 |
| Pine Street Trust II 5.568% 2/15/49 (d) |  | 11300000 | 10122411 |
| PTT Treasury Center Co. Ltd. 3.7% 7/16/70 (d) |  | 335000 | 211050 |
| VMED O2 UK Financing I PLC 4.25% 1/31/31 (d) |  | 2770000 | 2223618 |
|  |  |  | 255538208 |
| Insurance - 0.8% |  |  |  |
| AIA Group Ltd.: |  |  |  |
|  0.88% 9/9/33 (Reg. S)(f) | EUR | 1160000 | 935290 |
|  3.375% 4/7/30(d) |  | 15590000 | 13762928 |
| Alliant Holdings Intermediate LLC 4.25% 10/15/27 (d) |  | 3470000 | 3123000 |
| American International Group, Inc. 2.5% 6/30/25  |  | 20400000 | 19262118 |
| AmWINS Group, Inc. 4.875% 6/30/29 (d) |  | 4995000 | 4316339 |
| Cloverie PLC 4.5% 9/11/44 (Reg. S) (f) |  | 13795000 | 12957781 |
| Credit Agricole Assurances SA 4.75% 9/27/48 (f) | EUR | 1700000 | 1709316 |
| Demeter Investments BV: |  |  |  |
|  5.625% 8/15/52 (Reg. S)(f) |  | 2769000 | 2499078 |
|  5.75% 8/15/50 (Reg. S)(f) |  | 7415000 | 6971375 |
| Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (f) | EUR | 1500000 | 1263798 |
| Five Corners Funding Trust II 2.85% 5/15/30 (d) |  | 24197000 | 20529414 |
| Liberty Mutual Group, Inc. 4.569% 2/1/29 (d) |  | 4589000 | 4265025 |
| Marsh & McLennan Companies, Inc. 4.375% 3/15/29  |  | 7831000 | 7621737 |
| Metropolitan Life Global Funding I 3% 1/10/23 (d) |  | 2866000 | 2860315 |
| Pacific LifeCorp 5.125% 1/30/43 (d) |  | 12258000 | 11179180 |
| Pricoa Global Funding I 5.375% 5/15/45 (f) |  | 6348000 | 5951885 |
| Prudential PLC 2.95% 11/3/33 (Reg. S) (f) |  | 6730000 | 5324076 |
| QBE Insurance Group Ltd.: |  |  |  |
|  2.5% 9/13/38 (Reg. S)(f) | GBP | 2970000 | 2723247 |
|  6.75% 12/2/44 (Reg. S)(f) |  | 3395000 | 3204031 |
| Sagicor Financial Co. Ltd. 5.3% 5/13/28 (d) |  | 485000 | 433445 |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (d)(f) |  | 4600000 | 4083880 |
| TIAA Asset Management Finance LLC 4.125% 11/1/24 (d) |  | 2195000 | 2134410 |
| Unum Group: |  |  |  |
|  3.875% 11/5/25 |  | 7835000 | 7517950 |
|  4% 6/15/29 |  | 8872000 | 8048633 |
|  5.75% 8/15/42 |  | 9271000 | 8272469 |
| Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (f) |  | 2500000 | 1912500 |
|  |  |  | 162863220 |
| Thrifts & Mortgage Finance - 0.0% |  |  |  |
| Nationwide Building Society 6.178% 12/7/27 (Reg. S) (f) | GBP | 1300000 | 1571478 |
| TOTAL FINANCIALS |  |  | 2749361692 |
| HEALTH CARE - 1.9% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Emergent BioSolutions, Inc. 3.875% 8/15/28 (d) |  | 6310000 | 2839500 |
| Grifols Escrow Issuer SA 4.75% 10/15/28 (d) |  | 2130000 | 1790009 |
|  |  |  | 4629509 |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Avantor Funding, Inc.: |  |  |  |
|  3.875% 11/1/29(d) |  | 2915000 | 2499613 |
|  4.625% 7/15/28(d) |  | 1280000 | 1177600 |
| Embecta Corp. 5% 2/15/30 (d) |  | 800000 | 686000 |
| Hologic, Inc.: |  |  |  |
|  3.25% 2/15/29(d) |  | 2520000 | 2214097 |
|  4.625% 2/1/28(d) |  | 252000 | 241260 |
| Teleflex, Inc. 4.25% 6/1/28 (d) |  | 680000 | 631380 |
|  |  |  | 7449950 |
| Health Care Providers & Services - 1.4% |  |  |  |
| 180 Medical, Inc. 3.875% 10/15/29 (d) |  | 1805000 | 1534084 |
| AMN Healthcare 4% 4/15/29 (d) |  | 2270000 | 1991585 |
| Cano Health, Inc. 6.25% 10/1/28 (d) |  | 2365000 | 1194325 |
| Centene Corp.: |  |  |  |
|  2.45% 7/15/28 |  | 25480000 | 21428125 |
|  2.5% 3/1/31 |  | 2000000 | 1574632 |
|  2.625% 8/1/31 |  | 7320000 | 5755130 |
|  3% 10/15/30 |  | 1575000 | 1290854 |
|  3.375% 2/15/30 |  | 7780000 | 6627106 |
|  4.25% 12/15/27 |  | 10435000 | 9793039 |
|  4.625% 12/15/29 |  | 16005000 | 14882009 |
| Cigna Corp.: |  |  |  |
|  2.375% 3/15/31 |  | 20000000 | 16575182 |
|  3.05% 10/15/27 |  | 5900000 | 5446270 |
|  4.375% 10/15/28 |  | 11163000 | 10879729 |
|  4.8% 8/15/38 |  | 6950000 | 6557251 |
| Community Health Systems, Inc.: |  |  |  |
|  4.75% 2/15/31(d) |  | 3245000 | 2377579 |
|  5.25% 5/15/30(d) |  | 7060000 | 5383956 |
|  5.625% 3/15/27(d) |  | 4150000 | 3522479 |
|  6% 1/15/29(d) |  | 1790000 | 1493469 |
|  6.125% 4/1/30(d) |  | 2120000 | 1081200 |
|  6.875% 4/15/29(d) |  | 2610000 | 1396350 |
|  8% 3/15/26(d) |  | 3000000 | 2768670 |
|  8% 12/15/27(d) |  | 2000000 | 1771410 |
| CVS Health Corp.: |  |  |  |
|  3% 8/15/26 |  | 1290000 | 1212632 |
|  3.625% 4/1/27 |  | 3769000 | 3614626 |
|  4.78% 3/25/38 |  | 10528000 | 9729882 |
| DaVita HealthCare Partners, Inc.: |  |  |  |
|  3.75% 2/15/31(d) |  | 845000 | 621075 |
|  4.625% 6/1/30(d) |  | 7540000 | 6103479 |
| Elevance Health, Inc. 3.3% 1/15/23  |  | 2338000 | 2333368 |
| HCA Holdings, Inc.: |  |  |  |
|  3.5% 9/1/30 |  | 20318000 | 17462711 |
|  3.625% 3/15/32(d) |  | 1921000 | 1642157 |
|  5.625% 9/1/28 |  | 10497000 | 10463985 |
|  5.875% 2/1/29 |  | 9711000 | 9776769 |
| HealthEquity, Inc. 4.5% 10/1/29 (d) |  | 3725000 | 3263473 |
| Humana, Inc. 3.7% 3/23/29  |  | 5638000 | 5191875 |
| ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d) |  | 550000 | 462495 |
| Molina Healthcare, Inc. 3.875% 11/15/30 (d) |  | 1095000 | 941700 |
| Option Care Health, Inc. 4.375% 10/31/29 (d) |  | 2320000 | 1975022 |
| Owens & Minor, Inc. 4.5% 3/31/29 (d) |  | 750000 | 615443 |
| Pediatrix Medical Group, Inc. 5.375% 2/15/30 (d) |  | 3525000 | 2974430 |
| RP Escrow Issuer LLC 5.25% 12/15/25 (d) |  | 3430000 | 2872059 |
| Sabra Health Care LP: |  |  |  |
|  3.2% 12/1/31 |  | 24037000 | 18023924 |
|  3.9% 10/15/29 |  | 4785000 | 3952133 |
| Tenet Healthcare Corp.: |  |  |  |
|  4.25% 6/1/29(d) |  | 2965000 | 2572671 |
|  4.375% 1/15/30(d) |  | 3880000 | 3379752 |
|  4.625% 7/15/24 |  | 449000 | 439344 |
|  4.625% 6/15/28(d) |  | 2985000 | 2671632 |
|  4.875% 1/1/26(d) |  | 1500000 | 1423470 |
|  6.125% 10/1/28(d) |  | 12455000 | 10991538 |
|  6.125% 6/15/30(d) |  | 3505000 | 3321268 |
|  6.25% 2/1/27(d) |  | 1129000 | 1081526 |
| Toledo Hospital 5.325% 11/15/28  |  | 3971000 | 3087453 |
|  |  |  | 257526326 |
| Health Care Technology - 0.0% |  |  |  |
| Athenahealth Group, Inc. 6.5% 2/15/30 (d) |  | 695000 | 520487 |
| Life Sciences Tools & Services - 0.0% |  |  |  |
| Charles River Laboratories International, Inc.: |  |  |  |
|  3.75% 3/15/29(d) |  | 850000 | 739603 |
|  4.25% 5/1/28(d) |  | 280000 | 255500 |
|  |  |  | 995103 |
| Pharmaceuticals - 0.5% |  |  |  |
| 1375209 BC Ltd. 9% 1/30/28 (d) |  | 953000 | 936323 |
| Bausch Health Companies, Inc.: |  |  |  |
|  11% 9/30/28(d) |  | 1690000 | 1297075 |
|  14% 10/15/30(d) |  | 336000 | 186413 |
| Bayer AG 3.75% 7/1/74 (Reg. S) (f) | EUR | 2200000 | 2212811 |
| Bayer U.S. Finance II LLC 4.25% 12/15/25 (d) |  | 8579000 | 8319557 |
| Catalent Pharma Solutions 3.5% 4/1/30 (d) |  | 2980000 | 2428700 |
| Elanco Animal Health, Inc.: |  |  |  |
|  5.772% 8/28/23 |  | 5786000 | 5762441 |
|  6.4% 8/28/28(f) |  | 2437000 | 2250643 |
| Jazz Securities DAC 4.375% 1/15/29 (d) |  | 3880000 | 3521178 |
| Mylan NV 4.55% 4/15/28  |  | 7694000 | 7245702 |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV: |  |  |  |
|  4.125% 4/30/28(d) |  | 6710000 | 6038866 |
|  5.125% 4/30/31(d) |  | 1595000 | 1415419 |
| Teva Pharmaceutical Finance Co. BV 2.95% 12/18/22  |  | 381000 | 379958 |
| Teva Pharmaceutical Finance Netherlands III BV 4.75% 5/9/27  |  | 385000 | 349834 |
| Utah Acquisition Sub, Inc. 3.95% 6/15/26  |  | 4038000 | 3784347 |
| Viatris, Inc.: |  |  |  |
|  1.65% 6/22/25 |  | 2070000 | 1873850 |
|  2.7% 6/22/30 |  | 40521000 | 32321508 |
|  3.85% 6/22/40 |  | 4583000 | 3156944 |
| Zoetis, Inc. 3.25% 2/1/23  |  | 1775000 | 1769868 |
|  |  |  | 85251437 |
| TOTAL HEALTH CARE |  |  | 356372812 |
| INDUSTRIALS - 1.5% |  |  |  |
| Aerospace & Defense - 0.5% |  |  |  |
| BAE Systems Holdings, Inc. 3.8% 10/7/24 (d) |  | 3311000 | 3227698 |
| Bombardier, Inc. 7.875% 4/15/27 (d) |  | 3880000 | 3791070 |
| BWX Technologies, Inc.: |  |  |  |
|  4.125% 6/30/28(d) |  | 4355000 | 3875950 |
|  4.125% 4/15/29(d) |  | 1935000 | 1702800 |
| DAE Funding LLC: |  |  |  |
|  1.55% 8/1/24(d) |  | 905000 | 839170 |
|  1.625% 2/15/24(d) |  | 440000 | 418138 |
| Embraer Netherlands Finance BV 5.05% 6/15/25  |  | 1285000 | 1240411 |
| Rolls-Royce PLC 3.375% 6/18/26  | GBP | 3505000 | 3601302 |
| The Boeing Co.: |  |  |  |
|  5.04% 5/1/27 |  | 7640000 | 7565874 |
|  5.15% 5/1/30 |  | 7640000 | 7453821 |
|  5.705% 5/1/40 |  | 7640000 | 7279926 |
|  5.805% 5/1/50 |  | 23600000 | 22265517 |
|  5.93% 5/1/60 |  | 7640000 | 7091006 |
| TransDigm, Inc.: |  |  |  |
|  4.625% 1/15/29 |  | 5080000 | 4469740 |
|  5.5% 11/15/27 |  | 8759000 | 8255358 |
|  6.25% 3/15/26(d) |  | 6360000 | 6329090 |
|  7.5% 3/15/27 |  | 959000 | 961398 |
|  8% 12/15/25(d) |  | 2515000 | 2559013 |
|  |  |  | 92927282 |
| Air Freight & Logistics - 0.0% |  |  |  |
| Aeropuerto Internacional de Tocumen SA: |  |  |  |
|  4% 8/11/41(d) |  | 400000 | 309825 |
|  5.125% 8/11/61(d) |  | 295000 | 223333 |
|  |  |  | 533158 |
| Airlines - 0.0% |  |  |  |
| American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (d) |  | 2550000 | 2473036 |
| Azul Investments LLP: |  |  |  |
|  5.875% 10/26/24(d) |  | 1107000 | 897915 |
|  7.25% 6/15/26(d) |  | 375000 | 255000 |
| Delta Air Lines, Inc. / SkyMiles IP Ltd. 4.5% 10/20/25 (d) |  | 380000 | 370197 |
|  |  |  | 3996148 |
| Building Products - 0.0% |  |  |  |
| Advanced Drain Systems, Inc. 5% 9/30/27 (d) |  | 4020000 | 3746942 |
| Builders FirstSource, Inc. 4.25% 2/1/32 (d) |  | 1585000 | 1284897 |
|  |  |  | 5031839 |
| Commercial Services & Supplies - 0.2% |  |  |  |
| ADT Corp. 4.125% 8/1/29 (d) |  | 1310000 | 1143381 |
| APX Group, Inc. 6.75% 2/15/27 (d) |  | 1165000 | 1141700 |
| Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d) |  | 6554000 | 5185721 |
| CoreCivic, Inc.: |  |  |  |
|  4.75% 10/15/27 |  | 4913000 | 4124066 |
|  8.25% 4/15/26 |  | 6570000 | 6711574 |
| Covanta Holding Corp. 4.875% 12/1/29 (d) |  | 3410000 | 2881450 |
| Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d) |  | 3875000 | 3390180 |
| Madison IAQ LLC: |  |  |  |
|  4.125% 6/30/28(d) |  | 2825000 | 2443032 |
|  5.875% 6/30/29(d) |  | 10350000 | 7656206 |
| Neptune BidCo U.S., Inc. 9.29% 4/15/29 (d) |  | 2440000 | 2349793 |
| PowerTeam Services LLC 9.033% 12/4/25 (d) |  | 630000 | 524122 |
| Rentokil Initial PLC 5% 6/27/32 (Reg. S)  | GBP | 1400000 | 1633962 |
| Stericycle, Inc.: |  |  |  |
|  3.875% 1/15/29(d) |  | 2080000 | 1809600 |
|  5.375% 7/15/24(d) |  | 2455000 | 2426522 |
| The Bidvest Group UK PLC 3.625% 9/23/26 (d) |  | 475000 | 421948 |
| The GEO Group, Inc. 9.5% 12/31/28 (d) |  | 1220000 | 1155362 |
|  |  |  | 44998619 |
| Construction & Engineering - 0.1% |  |  |  |
| Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d) |  | 750000 | 604423 |
| Pike Corp. 5.5% 9/1/28 (d) |  | 7505000 | 6704517 |
| Railworks Holdings LP 8.25% 11/15/28 (d) |  | 2020000 | 1873550 |
| SRS Distribution, Inc.: |  |  |  |
|  4.625% 7/1/28(d) |  | 985000 | 880295 |
|  6% 12/1/29(d) |  | 870000 | 712647 |
|  |  |  | 10775432 |
| Electrical Equipment - 0.0% |  |  |  |
| Sensata Technologies BV 4% 4/15/29 (d) |  | 1290000 | 1121823 |
| Industrial Conglomerates - 0.0% |  |  |  |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.75% 6/15/29 (d) |  | 975000 | 797154 |
| Turk Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 (d) |  | 645000 | 620933 |
|  |  |  | 1418087 |
| Machinery - 0.0% |  |  |  |
| Mueller Water Products, Inc. 4% 6/15/29 (d) |  | 1405000 | 1208533 |
| Vertical Holdco GmbH 7.625% 7/15/28 (d) |  | 2910000 | 2415300 |
| Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d) |  | 7310000 | 6633971 |
|  |  |  | 10257804 |
| Marine - 0.0% |  |  |  |
| MISC Capital Two (Labuan) Ltd.: |  |  |  |
|  3.625% 4/6/25(d) |  | 495000 | 469879 |
|  3.75% 4/6/27(d) |  | 1040000 | 947570 |
| Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 10.75% 7/1/25 (d) |  | 310000 | 289269 |
| Seaspan Corp. 5.5% 8/1/29 (d) |  | 3930000 | 3025550 |
|  |  |  | 4732268 |
| Professional Services - 0.1% |  |  |  |
| ASGN, Inc. 4.625% 5/15/28 (d) |  | 3290000 | 2936325 |
| Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d) |  | 7030000 | 6335717 |
| Thomson Reuters Corp. 3.85% 9/29/24  |  | 1266000 | 1227110 |
| TriNet Group, Inc. 3.5% 3/1/29 (d) |  | 2865000 | 2381531 |
|  |  |  | 12880683 |
| Road & Rail - 0.0% |  |  |  |
| Alpha Trains Finance SA 2.064% 6/30/30  | EUR | 2765000 | 2726750 |
| JSC Georgian Railway 4% 6/17/28 (d) |  | 325000 | 268897 |
|  |  |  | 2995647 |
| Trading Companies & Distributors - 0.2% |  |  |  |
| Air Lease Corp.: |  |  |  |
|  2.25% 1/15/23 |  | 2669000 | 2656558 |
|  3% 9/15/23 |  | 1163000 | 1140116 |
|  3.375% 7/1/25 |  | 13572000 | 12807618 |
|  4.25% 2/1/24 |  | 11266000 | 11066385 |
|  4.25% 9/15/24 |  | 4366000 | 4288718 |
| Travis Perkins PLC: |  |  |  |
|  3.75% 2/17/26 (Reg. S) | GBP | 860000 | 912133 |
|  4.5% 9/7/23 (Reg. S) | GBP | 1329000 | 1572785 |
|  |  |  | 34444313 |
| Transportation Infrastructure - 0.4% |  |  |  |
| Aeroporti di Roma SPA: |  |  |  |
|  1.625% 2/2/29 (Reg. S) | EUR | 1015000 | 880042 |
|  1.75% 7/30/31 (Reg. S) | EUR | 750000 | 598925 |
| Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S)  | EUR | 1500000 | 1225775 |
| Avolon Holdings Funding Ltd.: |  |  |  |
|  2.875% 2/15/25(d) |  | 12030000 | 11043827 |
|  3.95% 7/1/24(d) |  | 4160000 | 3961758 |
|  4.25% 4/15/26(d) |  | 3220000 | 2921541 |
|  4.375% 5/1/26(d) |  | 21312000 | 19372831 |
|  5.25% 5/15/24(d) |  | 7670000 | 7482330 |
|  5.5% 1/15/26(d) |  | 7243000 | 6860602 |
| DP World Crescent Ltd.: |  |  |  |
|  3.7495% 1/30/30(d) |  | 1415000 | 1293222 |
|  3.875% 7/18/29 (Reg. S) |  | 800000 | 736200 |
| DP World Ltd. 5.625% 9/25/48 (d) |  | 785000 | 712044 |
| First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d) |  | 3645000 | 3025350 |
| Heathrow Funding Ltd.: |  |  |  |
|  2.625% 3/16/28 (Reg. S) | GBP | 2800000 | 2729997 |
|  7.125% 2/14/24 | GBP | 3705000 | 4472486 |
| Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S)  | EUR | 1000000 | 832272 |
|  |  |  | 68149202 |
| TOTAL INDUSTRIALS |  |  | 294262305 |
| INFORMATION TECHNOLOGY - 1.3% |  |  |  |
| Communications Equipment - 0.1% |  |  |  |
| Cellnex Finance Co. SA 1% 9/15/27 (Reg. S)  | EUR | 4000000 | 3525020 |
| CommScope, Inc.: |  |  |  |
|  4.75% 9/1/29(d) |  | 1006000 | 847213 |
|  6% 3/1/26(d) |  | 2125000 | 2055853 |
|  7.125% 7/1/28(d) |  | 1780000 | 1379500 |
|  8.25% 3/1/27(d) |  | 545000 | 467831 |
| HTA Group Ltd. 7% 12/18/25 (d) |  | 1085000 | 998265 |
|  |  |  | 9273682 |
| Electronic Equipment & Components - 0.1% |  |  |  |
| Coherent Corp. 5% 12/15/29 (d) |  | 4115000 | 3631488 |
| Dell International LLC/EMC Corp.: |  |  |  |
|  5.45% 6/15/23 |  | 2400000 | 2401405 |
|  5.85% 7/15/25 |  | 2748000 | 2791183 |
|  6.02% 6/15/26 |  | 3119000 | 3185295 |
|  6.1% 7/15/27 |  | 5045000 | 5183477 |
|  6.2% 7/15/30 |  | 4367000 | 4490694 |
| TTM Technologies, Inc. 4% 3/1/29 (d) |  | 5530000 | 4691334 |
|  |  |  | 26374876 |
| IT Services - 0.1% |  |  |  |
| Acuris Finance U.S. 5% 5/1/28 (d) |  | 4475000 | 3635938 |
| CA Magnum Holdings 5.375% 10/31/26 (d) |  | 1145000 | 1007600 |
| Gartner, Inc.: |  |  |  |
|  3.625% 6/15/29(d) |  | 685000 | 599982 |
|  3.75% 10/1/30(d) |  | 1185000 | 1025025 |
|  4.5% 7/1/28(d) |  | 1835000 | 1727506 |
| Go Daddy Operating Co. LLC / GD Finance Co., Inc.: |  |  |  |
|  3.5% 3/1/29(d) |  | 2650000 | 2239458 |
|  5.25% 12/1/27(d) |  | 1695000 | 1606398 |
| Rackspace Hosting, Inc.: |  |  |  |
|  3.5% 2/15/28(d) |  | 2245000 | 1538611 |
|  5.375% 12/1/28(d) |  | 15649000 | 7135459 |
| Twilio, Inc. 3.875% 3/15/31  |  | 940000 | 762660 |
|  |  |  | 21278637 |
| Semiconductors & Semiconductor Equipment - 0.6% |  |  |  |
| Broadcom, Inc.: |  |  |  |
|  1.95% 2/15/28(d) |  | 3204000 | 2708037 |
|  2.45% 2/15/31(d) |  | 71927000 | 56747842 |
|  2.6% 2/15/33(d) |  | 29461000 | 22261047 |
|  3.5% 2/15/41(d) |  | 22019000 | 15927167 |
|  3.75% 2/15/51(d) |  | 10333000 | 7292084 |
| Entegris Escrow Corp.: |  |  |  |
|  4.75% 4/15/29(d) |  | 4285000 | 3878288 |
|  5.95% 6/15/30(d) |  | 4030000 | 3764218 |
| Entegris, Inc. 3.625% 5/1/29 (d) |  | 1095000 | 908850 |
| onsemi 3.875% 9/1/28 (d) |  | 1385000 | 1228066 |
|  |  |  | 114715599 |
| Software - 0.4% |  |  |  |
| Black Knight InfoServ LLC 3.625% 9/1/28 (d) |  | 3125000 | 2808594 |
| Clarivate Science Holdings Corp.: |  |  |  |
|  3.875% 7/1/28(d) |  | 695000 | 624652 |
|  4.875% 7/1/29(d) |  | 705000 | 603656 |
| Elastic NV 4.125% 7/15/29 (d) |  | 2820000 | 2292467 |
| Fair Isaac Corp. 4% 6/15/28 (d) |  | 1455000 | 1331325 |
| ION Trading Technologies Ltd. 5.75% 5/15/28 (d) |  | 4195000 | 3420897 |
| MicroStrategy, Inc. 6.125% 6/15/28 (d) |  | 3910000 | 2892032 |
| Open Text Corp. 3.875% 12/1/29 (d) |  | 3095000 | 2470843 |
| Open Text Holdings, Inc.: |  |  |  |
|  4.125% 2/15/30(d) |  | 1470000 | 1190391 |
|  4.125% 12/1/31(d) |  | 2375000 | 1843238 |
| Oracle Corp.: |  |  |  |
|  1.65% 3/25/26 |  | 12241000 | 10987377 |
|  2.3% 3/25/28 |  | 19340000 | 16757196 |
|  2.8% 4/1/27 |  | 14371000 | 13113730 |
|  2.875% 3/25/31 |  | 24420000 | 20425818 |
|  |  |  | 80762216 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Lenovo Group Ltd.: |  |  |  |
|  3.421% 11/2/30(d) |  | 930000 | 731743 |
|  5.875% 4/24/25 (Reg. S) |  | 200000 | 194970 |
|  |  |  | 926713 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 253331723 |
| MATERIALS - 0.7% |  |  |  |
| Chemicals - 0.4% |  |  |  |
| Braskem Idesa SAPI 7.45% 11/15/29 (d) |  | 180000 | 140963 |
| Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 5.125% 4/1/25 (d) |  | 12132000 | 12169996 |
| CVR Partners LP 6.125% 6/15/28 (d) |  | 1470000 | 1327307 |
| Element Solutions, Inc. 3.875% 9/1/28 (d) |  | 1770000 | 1512748 |
| ENN Clean Energy International Investment Ltd. 3.375% 5/12/26 (d) |  | 1290000 | 1111013 |
| Equate Petrochemical BV: |  |  |  |
|  2.625% 4/28/28(d) |  | 595000 | 507684 |
|  4.25% 11/3/26(d) |  | 325000 | 308100 |
| Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.: |  |  |  |
|  5% 12/31/26(d) |  | 3255000 | 2967388 |
|  7% 12/31/27(d) |  | 330000 | 273900 |
| LSB Industries, Inc. 6.25% 10/15/28 (d) |  | 2910000 | 2717707 |
| MEGlobal Canada, Inc. 5% 5/18/25 (d) |  | 825000 | 804788 |
| Methanex Corp.: |  |  |  |
|  5.125% 10/15/27 |  | 4719000 | 4329683 |
|  5.65% 12/1/44 |  | 1749000 | 1311750 |
| NOVA Chemicals Corp.: |  |  |  |
|  4.25% 5/15/29(d) |  | 1435000 | 1196431 |
|  4.875% 6/1/24(d) |  | 3625000 | 3527578 |
|  5% 5/1/25(d) |  | 3382000 | 3183105 |
|  5.25% 6/1/27(d) |  | 3959000 | 3553507 |
| Nufarm Australia Ltd. 5% 1/27/30 (d) |  | 1850000 | 1584063 |
| OCP SA: |  |  |  |
|  3.75% 6/23/31(d) |  | 745000 | 605164 |
|  4.5% 10/22/25(d) |  | 165000 | 161218 |
|  5.625% 4/25/24(d) |  | 925000 | 926156 |
|  6.875% 4/25/44(d) |  | 150000 | 135638 |
| Olympus Water U.S. Holding Corp.: |  |  |  |
|  4.25% 10/1/28(d) |  | 3410000 | 2762816 |
|  6.25% 10/1/29(d) |  | 1635000 | 1179718 |
| Orbia Advance Corp. S.A.B. de CV: |  |  |  |
|  1.875% 5/11/26(d) |  | 890000 | 765400 |
|  2.875% 5/11/31(d) |  | 725000 | 572587 |
| Sabic Capital I BV 2.15% 9/14/30 (Reg. S)  |  | 490000 | 409150 |
| SABIC Capital II BV 4% 10/10/23 (d) |  | 902000 | 893431 |
| Sasol Financing U.S.A. LLC: |  |  |  |
|  4.375% 9/18/26 |  | 1115000 | 1008239 |
|  5.875% 3/27/24 |  | 1170000 | 1158359 |
| SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d) |  | 1100000 | 921514 |
| The Chemours Co. LLC: |  |  |  |
|  4.625% 11/15/29(d) |  | 2555000 | 2056775 |
|  5.375% 5/15/27 |  | 4251000 | 3847155 |
|  5.75% 11/15/28(d) |  | 7240000 | 6358639 |
| Valvoline, Inc. 4.25% 2/15/30 (d) |  | 1255000 | 1219746 |
| W.R. Grace Holding LLC 5.625% 8/15/29 (d) |  | 4425000 | 3648147 |
|  |  |  | 71157563 |
| Containers & Packaging - 0.1% |  |  |  |
| Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: |  |  |  |
|  3.25% 9/1/28(d) |  | 445000 | 375418 |
|  4% 9/1/29(d) |  | 865000 | 692000 |
|  6% 6/15/27(d) |  | 1760000 | 1718130 |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (d) |  | 1370000 | 1205600 |
| Berry Global, Inc.: |  |  |  |
|  4.875% 7/15/26(d) |  | 1615000 | 1549576 |
|  5.625% 7/15/27(d) |  | 1000000 | 980000 |
| Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (d) |  | 640000 | 616614 |
| Graphic Packaging International, Inc. 3.75% 2/1/30 (d) |  | 610000 | 517841 |
| Sealed Air Corp. 5% 4/15/29 (d) |  | 1790000 | 1664700 |
| Trivium Packaging Finance BV: |  |  |  |
|  5.5% 8/15/26(d) |  | 4023000 | 3761353 |
|  8.5% 8/15/27(d) |  | 4905000 | 4592180 |
|  |  |  | 17673412 |
| Metals & Mining - 0.2% |  |  |  |
| Antofagasta PLC: |  |  |  |
|  2.375% 10/14/30(d) |  | 1255000 | 963213 |
|  5.625% 5/13/32(d) |  | 360000 | 345492 |
| ATI, Inc.: |  |  |  |
|  4.875% 10/1/29 |  | 1030000 | 878002 |
|  5.875% 12/1/27 |  | 8755000 | 8159923 |
| Celtic Resources Holdings DAC 4.125% 10/9/24 (c)(d)(e) |  | 650000 | 87750 |
| Commercial Metals Co. 4.125% 1/15/30  |  | 1175000 | 1011143 |
| Compania de Minas Buenaventura SAA 5.5% 7/23/26 (d) |  | 425000 | 366775 |
| Corporacion Nacional del Cobre de Chile (Codelco): |  |  |  |
|  3% 9/30/29(d) |  | 155000 | 136138 |
|  3.15% 1/14/30(d) |  | 405000 | 359438 |
|  3.7% 1/30/50(d) |  | 1195000 | 877130 |
| Eldorado Gold Corp. 6.25% 9/1/29 (d) |  | 2805000 | 2331656 |
| Endeavour Mining PLC 5% 10/14/26 (d) |  | 485000 | 397791 |
| ERO Copper Corp. 6.5% 2/15/30 (d) |  | 4530000 | 3490931 |
| First Quantum Minerals Ltd.: |  |  |  |
|  6.875% 3/1/26(d) |  | 900000 | 868077 |
|  6.875% 10/15/27(d) |  | 2855000 | 2708196 |
|  7.5% 4/1/25(d) |  | 1280000 | 1261440 |
| Fresnillo PLC 4.25% 10/2/50 (d) |  | 505000 | 380265 |
| Gcm Mining Corp. 6.875% 8/9/26 (d) |  | 930000 | 692664 |
| Gold Fields Orogen Holding BVI Ltd. 5.125% 5/15/24 (d) |  | 225000 | 221808 |
| HudBay Minerals, Inc. 4.5% 4/1/26 (d) |  | 640000 | 579613 |
| JSW Steel Ltd. 3.95% 4/5/27 (d) |  | 645000 | 538575 |
| Kaiser Aluminum Corp.: |  |  |  |
|  4.5% 6/1/31(d) |  | 615000 | 519288 |
|  4.625% 3/1/28(d) |  | 3124000 | 2747277 |
| Metinvest BV: |  |  |  |
|  7.75% 4/23/23(d) |  | 927000 | 764775 |
|  8.5% 4/23/26 (Reg. S) |  | 235000 | 126900 |
| Mineral Resources Ltd. 8.5% 5/1/30 (d) |  | 3790000 | 3840842 |
| PMHC II, Inc. 9% 2/15/30 (d) |  | 1545000 | 1158750 |
| PT Freeport Indonesia: |  |  |  |
|  4.763% 4/14/27(d) |  | 315000 | 301647 |
|  5.315% 4/14/32(d) |  | 530000 | 486275 |
|  6.2% 4/14/52(d) |  | 365000 | 314813 |
| PT Indonesia Asahan Aluminium Tbk 5.45% 5/15/30 (d) |  | 1145000 | 1072579 |
| Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d) |  | 2085000 | 1825939 |
| Stillwater Mining Co. 4% 11/16/26 (d) |  | 1340000 | 1165465 |
| TMK Capital SA 4.3% 2/12/27 (Reg. S) (c)(e) |  | 600000 | 120000 |
| Usiminas International SARL 5.875% 7/18/26 (d) |  | 1025000 | 983872 |
| VM Holding SA 6.5% 1/18/28 (d) |  | 965000 | 932431 |
| Volcan Compania Minera SAA 4.375% 2/11/26 (d) |  | 275000 | 234403 |
|  |  |  | 43251276 |
| Paper & Forest Products - 0.0% |  |  |  |
| Glatfelter Corp. 4.75% 11/15/29 (d) |  | 980000 | 639450 |
| SPA Holdings 3 OY 4.875% 2/4/28 (d) |  | 3275000 | 2668371 |
|  |  |  | 3307821 |
| TOTAL MATERIALS |  |  | 135390072 |
| REAL ESTATE - 2.4% |  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 2.0% |  |  |  |
| Alexandria Real Estate Equities, Inc. 4.9% 12/15/30  |  | 8767000 | 8529781 |
| American Finance Trust, Inc./American Finance Operating Partnership LP 4.5% 9/30/28 (d) |  | 795000 | 608175 |
| American Homes 4 Rent LP: |  |  |  |
|  2.375% 7/15/31 |  | 1451000 | 1127853 |
|  3.625% 4/15/32 |  | 6608000 | 5598937 |
| American Tower Corp. 4.05% 3/15/32  |  | 714000 | 649220 |
| Boston Properties, Inc.: |  |  |  |
|  3.25% 1/30/31 |  | 8522000 | 7123371 |
|  4.5% 12/1/28 |  | 7625000 | 7100587 |
|  6.75% 12/1/27 |  | 11623000 | 12154842 |
| Corporate Office Properties LP: |  |  |  |
|  2.25% 3/15/26 |  | 3379000 | 2967756 |
|  2.75% 4/15/31 |  | 6606000 | 4991357 |
| CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (d) |  | 3950000 | 3374485 |
| Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (d) |  | 625000 | 517070 |
| Healthcare Trust of America Holdings LP: |  |  |  |
|  3.1% 2/15/30 |  | 2678000 | 2247487 |
|  3.5% 8/1/26 |  | 2790000 | 2611889 |
| Healthpeak Properties, Inc.: |  |  |  |
|  3.25% 7/15/26 |  | 1156000 | 1092307 |
|  3.5% 7/15/29 |  | 1322000 | 1185796 |
| Hudson Pacific Properties LP 4.65% 4/1/29  |  | 15534000 | 13527261 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/32  |  | 9940000 | 8714094 |
| iStar Financial, Inc.: |  |  |  |
|  4.25% 8/1/25 |  | 560000 | 546364 |
|  4.75% 10/1/24 |  | 680000 | 668698 |
| Kite Realty Group Trust 4.75% 9/15/30  |  | 764000 | 678178 |
| LXP Industrial Trust (REIT): |  |  |  |
|  2.7% 9/15/30 |  | 3649000 | 2919866 |
|  4.4% 6/15/24 |  | 1672000 | 1625205 |
| MPT Operating Partnership LP/MPT Finance Corp.: |  |  |  |
|  2.5% 3/24/26 | GBP | 1665000 | 1603386 |
|  3.5% 3/15/31 |  | 4610000 | 3250050 |
|  4.625% 8/1/29 |  | 3770000 | 2965030 |
|  5% 10/15/27 |  | 16030000 | 13686414 |
| Omega Healthcare Investors, Inc.: |  |  |  |
|  3.25% 4/15/33 |  | 19138000 | 14032767 |
|  3.375% 2/1/31 |  | 6759000 | 5282923 |
|  3.625% 10/1/29 |  | 11904000 | 9863194 |
|  4.375% 8/1/23 |  | 3145000 | 3103882 |
|  4.5% 1/15/25 |  | 3878000 | 3771527 |
|  4.5% 4/1/27 |  | 18502000 | 17245900 |
|  4.75% 1/15/28 |  | 10700000 | 9876645 |
|  4.95% 4/1/24 |  | 9727000 | 9591551 |
|  5.25% 1/15/26 |  | 10610000 | 10357082 |
| Park Intermediate Holdings LLC 7.5% 6/1/25 (d) |  | 560000 | 564200 |
| Piedmont Operating Partnership LP 2.75% 4/1/32  |  | 2906000 | 2075886 |
| Realty Income Corp.: |  |  |  |
|  2.2% 6/15/28 |  | 1564000 | 1341322 |
|  2.85% 12/15/32 |  | 1925000 | 1579495 |
|  3.25% 1/15/31 |  | 2129000 | 1859729 |
|  3.4% 1/15/28 |  | 3355000 | 3103036 |
| Retail Opportunity Investments Partnership LP: |  |  |  |
|  4% 12/15/24 |  | 1225000 | 1169185 |
|  5% 12/15/23 |  | 737000 | 727388 |
| RLJ Lodging Trust LP 3.75% 7/1/26 (d) |  | 370000 | 336552 |
| SBA Communications Corp. 3.125% 2/1/29  |  | 3720000 | 3105667 |
| Senior Housing Properties Trust 9.75% 6/15/25  |  | 193000 | 185994 |
| Service Properties Trust 7.5% 9/15/25  |  | 285000 | 275738 |
| Simon Property Group LP 2.45% 9/13/29  |  | 3576000 | 3006370 |
| SITE Centers Corp.: |  |  |  |
|  3.625% 2/1/25 |  | 3106000 | 2930939 |
|  4.25% 2/1/26 |  | 10537000 | 10018158 |
| Store Capital Corp.: |  |  |  |
|  2.75% 11/18/30 |  | 3880000 | 3025641 |
|  4.625% 3/15/29 |  | 3549000 | 3250085 |
| Sun Communities Operating LP: |  |  |  |
|  2.3% 11/1/28 |  | 3294000 | 2709893 |
|  2.7% 7/15/31 |  | 8306000 | 6462539 |
| Uniti Group LP / Uniti Group Finance, Inc.: |  |  |  |
|  4.75% 4/15/28(d) |  | 6225000 | 5199182 |
|  6.5% 2/15/29(d) |  | 18695000 | 13694088 |
| Uniti Group, Inc.: |  |  |  |
|  6% 1/15/30(d) |  | 5485000 | 3957647 |
|  7.875% 2/15/25(d) |  | 4129000 | 4146354 |
| Ventas Realty LP: |  |  |  |
|  3% 1/15/30 |  | 15631000 | 13278727 |
|  3.5% 2/1/25 |  | 2163000 | 2075300 |
|  3.75% 5/1/24 |  | 9073000 | 8844650 |
|  4% 3/1/28 |  | 3986000 | 3716441 |
|  4.125% 1/15/26 |  | 2017000 | 1950068 |
|  4.75% 11/15/30 |  | 21238000 | 20028390 |
| VICI Properties LP: |  |  |  |
|  4.375% 5/15/25 |  | 1727000 | 1662080 |
|  4.75% 2/15/28 |  | 13710000 | 12923869 |
|  4.95% 2/15/30 |  | 20675000 | 19545175 |
|  5.125% 5/15/32 |  | 4986000 | 4676918 |
| VICI Properties LP / VICI Note Co.: |  |  |  |
|  3.5% 2/15/25(d) |  | 90000 | 84705 |
|  4.25% 12/1/26(d) |  | 130000 | 120923 |
|  4.625% 12/1/29(d) |  | 270000 | 244991 |
| Vornado Realty LP 2.15% 6/1/26  |  | 3551000 | 3001291 |
| WP Carey, Inc.: |  |  |  |
|  3.85% 7/15/29 |  | 2566000 | 2303387 |
|  4% 2/1/25 |  | 12346000 | 12008823 |
|  |  |  | 376381756 |
| Real Estate Management & Development - 0.4% |  |  |  |
| ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S)  | EUR | 2635000 | 1250343 |
| ADLER Group SA: |  |  |  |
|  1.875% 1/14/26 (Reg. S) | EUR | 10200000 | 4574686 |
|  2.25% 4/27/27 (Reg. S) | EUR | 900000 | 379299 |
| Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (f) | EUR | 1238000 | 1235145 |
| Blackstone Property Partners Europe LP: |  |  |  |
|  1% 5/4/28 (Reg. S) | EUR | 5365000 | 4341814 |
|  1.75% 3/12/29 (Reg. S) | EUR | 2480000 | 2013979 |
|  2.625% 10/20/28 (Reg. S) | GBP | 950000 | 886122 |
| Brandywine Operating Partnership LP: |  |  |  |
|  3.95% 2/15/23 |  | 10562000 | 10502948 |
|  3.95% 11/15/27 |  | 8220000 | 7194745 |
|  4.1% 10/1/24 |  | 7423000 | 7143673 |
|  4.55% 10/1/29 |  | 8895000 | 7859621 |
| CBRE Group, Inc. 2.5% 4/1/31  |  | 10439000 | 8200880 |
| Deutsche Annington Finance BV 5% 10/2/23 (d) |  | 2105000 | 2072772 |
| DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) |  | 175000 | 167141 |
| Essex Portfolio LP 3.875% 5/1/24  |  | 3195000 | 3126486 |
| Greystar Real Estate Partners 5.75% 12/1/25 (d) |  | 261000 | 253525 |
| GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S)  | EUR | 2405000 | 1823175 |
| Heimstaden AB 4.375% 3/6/27 (Reg. S)  | EUR | 2400000 | 1721735 |
| Howard Hughes Corp.: |  |  |  |
|  4.125% 2/1/29(d) |  | 2990000 | 2465645 |
|  4.375% 2/1/31(d) |  | 990000 | 813038 |
| Kennedy-Wilson, Inc.: |  |  |  |
|  4.75% 3/1/29 |  | 580000 | 470815 |
|  4.75% 2/1/30 |  | 4175000 | 3308688 |
| Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (d) |  | 105000 | 80194 |
| Samhallsbyggnadsbolaget I Norden AB: |  |  |  |
|  1% 8/12/27 (Reg. S) | EUR | 950000 | 664631 |
|  1.75% 1/14/25 (Reg. S) | EUR | 1271000 | 1107455 |
| Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S)  | EUR | 1300000 | 1039630 |
| Tanger Properties LP: |  |  |  |
|  2.75% 9/1/31 |  | 8621000 | 6165842 |
|  3.125% 9/1/26 |  | 4970000 | 4486061 |
| Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S)  | EUR | 840000 | 716181 |
| Vonovia SE 5% 11/23/30 (Reg. S)  | EUR | 400000 | 424388 |
|  |  |  | 86490657 |
| TOTAL REAL ESTATE |  |  | 462872413 |
| UTILITIES - 1.6% |  |  |  |
| Electric Utilities - 0.7% |  |  |  |
| Adani Electricity Mumbai Ltd. 3.867% 7/22/31 (d) |  | 470000 | 331759 |
| Alabama Power Co. 3.05% 3/15/32  |  | 13712000 | 11933703 |
| American Electric Power Co., Inc. 2.95% 12/15/22  |  | 1791000 | 1789861 |
| AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (f) | EUR | 650000 | 554383 |
| CEZ A/S 2.375% 4/6/27 (Reg. S)  | EUR | 750000 | 715548 |
| Clearway Energy Operating LLC: |  |  |  |
|  3.75% 2/15/31(d) |  | 1290000 | 1092875 |
|  4.75% 3/15/28(d) |  | 560000 | 517308 |
| Cleco Corporate Holdings LLC 3.375% 9/15/29  |  | 6938000 | 5922747 |
| Comision Federal de Electricid: |  |  |  |
|  3.348% 2/9/31(d) |  | 175000 | 134783 |
|  4.688% 5/15/29(d) |  | 785000 | 683343 |
| Duke Energy Corp.: |  |  |  |
|  2.45% 6/1/30 |  | 6067000 | 5098391 |
|  3.85% 6/15/34 | EUR | 2650000 | 2646018 |
| Duquesne Light Holdings, Inc.: |  |  |  |
|  2.532% 10/1/30(d) |  | 2680000 | 2119508 |
|  2.775% 1/7/32(d) |  | 8750000 | 6862604 |
| EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (f) | EUR | 1900000 | 1446737 |
| Enel SpA 3.375% (Reg. S) (f)(h) | EUR | 2010000 | 1900747 |
| Entergy Corp. 2.8% 6/15/30  |  | 6226000 | 5258666 |
| Eskom Holdings SOC Ltd.: |  |  |  |
|  6.35% 8/10/28(d) |  | 1080000 | 1009800 |
|  6.75% 8/6/23(d) |  | 1395000 | 1360125 |
|  7.125% 2/11/25(d) |  | 725000 | 678328 |
|  8.45% 8/10/28(d) |  | 205000 | 188088 |
| Eversource Energy 2.8% 5/1/23  |  | 5482000 | 5433825 |
| Exelon Corp.: |  |  |  |
|  2.75% 3/15/27(d) |  | 3035000 | 2797475 |
|  3.35% 3/15/32(d) |  | 8005000 | 7033107 |
|  4.05% 4/15/30 |  | 3689000 | 3480376 |
|  4.1% 3/15/52(d) |  | 2730000 | 2228043 |
| FirstEnergy Corp. 7.375% 11/15/31  |  | 13527000 | 15231554 |
| Iberdrola Finanzas SAU 7.375% 1/29/24  | GBP | 800000 | 989406 |
| InterGen NV 7% 6/30/23 (d) |  | 4030000 | 3942400 |
| IPALCO Enterprises, Inc. 3.7% 9/1/24  |  | 3797000 | 3677199 |
| Israel Electric Corp. Ltd. 3.75% 2/22/32 (Reg. S) (d) |  | 1085000 | 944788 |
| Lamar Funding Ltd. 3.958% 5/7/25 (d) |  | 1085000 | 1029597 |
| Mong Duong Finance Holdings BV 5.125% 5/7/29 (d) |  | 1300000 | 1105000 |
| Monongahela Power Co. 4.1% 4/15/24 (d) |  | 1445000 | 1417105 |
| NGG Finance PLC 2.125% 9/5/82 (Reg. S) (f) | EUR | 4745000 | 4086890 |
| NRG Energy, Inc.: |  |  |  |
|  3.375% 2/15/29(d) |  | 1830000 | 1520463 |
|  5.25% 6/15/29(d) |  | 1975000 | 1820269 |
| ORSTED A/S 5.125% 9/13/34 (Reg. S)  | GBP | 1350000 | 1677560 |
| PG&E Corp.: |  |  |  |
|  5% 7/1/28 |  | 4340000 | 4004127 |
|  5.25% 7/1/30 |  | 5870000 | 5315197 |
| Southern Co. 1.875% 9/15/81 (f) | EUR | 5105000 | 4123644 |
| Vistra Operations Co. LLC: |  |  |  |
|  5% 7/31/27(d) |  | 1875000 | 1760014 |
|  5.625% 2/15/27(d) |  | 2730000 | 2641147 |
| Western Power Distribution PLC 3.625% 11/6/23 (Reg. S)  | GBP | 850000 | 1009579 |
|  |  |  | 129514087 |
| Gas Utilities - 0.0% |  |  |  |
| ENN Energy Holdings Ltd. 4.625% 5/17/27 (d) |  | 890000 | 855014 |
| Nakilat, Inc. 6.067% 12/31/33 (d) |  | 659697 | 675283 |
| Promigas SA ESP/Gases del Pacifico SAC 3.75% 10/16/29 (d) |  | 485000 | 383393 |
| Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (d) |  | 860000 | 734398 |
|  |  |  | 2648088 |
| Independent Power and Renewable Electricity Producers - 0.4% |  |  |  |
| Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d) |  | 1828000 | 1611428 |
| Aydem Yenilenebilir Enerji A/S 7.75% 2/2/27 (d) |  | 345000 | 268884 |
| Emera U.S. Finance LP 3.55% 6/15/26  |  | 2935000 | 2753001 |
| Energo-Pro A/S 8.5% 2/4/27 (d) |  | 340000 | 309145 |
| EnfraGen Energia Sur SA 5.375% 12/30/30 (d) |  | 1715000 | 1127505 |
| Investment Energy Resources Ltd. 6.25% 4/26/29 (d) |  | 705000 | 634192 |
| RWE AG 2.75% 5/24/30 (Reg. S)  | EUR | 6100000 | 5953432 |
| Termocandelaria Power Ltd. 7.875% 1/30/29 (d) |  | 1100750 | 993372 |
| The AES Corp.: |  |  |  |
|  3.3% 7/15/25(d) |  | 36313000 | 33986258 |
|  3.95% 7/15/30(d) |  | 37328000 | 32680664 |
|  |  |  | 80317881 |
| Multi-Utilities - 0.5% |  |  |  |
| Abu Dhabi National Energy Co. PJSC: |  |  |  |
|  4% 10/3/49(d) |  | 795000 | 667452 |
|  4.875% 4/23/30(d) |  | 305000 | 311348 |
| Berkshire Hathaway Energy Co. 4.05% 4/15/25  |  | 26164000 | 25912690 |
| Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30  |  | 1658000 | 1497586 |
| NiSource, Inc.: |  |  |  |
|  2.95% 9/1/29 |  | 17668000 | 15490583 |
|  5.25% 2/15/43 |  | 4623000 | 4360311 |
|  5.8% 2/1/42 |  | 2300000 | 2182863 |
|  5.95% 6/15/41 |  | 3281000 | 3314531 |
| Puget Energy, Inc.: |  |  |  |
|  4.1% 6/15/30 |  | 12516000 | 11244479 |
|  4.224% 3/15/32 |  | 23786000 | 21222092 |
| Sempra Energy 6% 10/15/39  |  | 5447000 | 5499923 |
| WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 6.7186% 5/15/67 (f)(g) |  | 1401000 | 1148905 |
|  |  |  | 92852763 |
| Water Utilities - 0.0% |  |  |  |
| Anglian Water (Osprey) Financing PLC 2% 7/31/28 (Reg. S)  | GBP | 830000 | 770429 |
| Severn Trent Utilities Finance PLC: |  |  |  |
|  4.625% 11/30/34 (Reg. S) | GBP | 700000 | 825080 |
|  6.125% 2/26/24 | GBP | 442000 | 539241 |
| Southern Water Services Finance Ltd. 1.625% 3/30/27 (Reg. S)  | GBP | 1013000 | 1049457 |
| Thames Water Utility Finance PLC 1.875% 1/24/24 (Reg. S)  | GBP | 890000 | 1033806 |
|  |  |  | 4218013 |
| TOTAL UTILITIES |  |  | 309550832 |
| TOTAL NONCONVERTIBLE BONDS |  |  | 6923023979 |
| <br> **TOTAL CORPORATE BONDS**<br> (Cost $7,635,736,584) |  |  | <br> **6947033746** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 27.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 27.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 27.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Treasury Bonds: |  |  |
|  1.125% 5/15/40  | 86364000 | 55266213 |
|  1.75% 8/15/41  | 111477000 | 77772626 |
|  1.875% 11/15/51  | 339566000 | 223304439 |
|  2% 11/15/41 (i)(j) | 219450000 | 159829892 |
|  2% 8/15/51  | 710798000 | 483064988 |
|  2.25% 2/15/52  | 329570000 | 237998461 |
|  2.875% 5/15/52  | 114784000 | 95414200 |
|  3% 2/15/47  | 245214000 | 205989338 |
|  3% 8/15/52  | 85740000 | 73414875 |
|  3.25% 5/15/42 (i)(j)(k) | 112951000 | 101461765 |
| U.S. Treasury Notes: |  |  |
|  0.75% 3/31/26 (i) | 3010000 | 2706766 |
|  1.125% 8/31/28  | 395338000 | 340901812 |
|  1.25% 5/31/28  | 31141000 | 27205799 |
|  1.25% 9/30/28  | 158340000 | 137285728 |
|  1.5% 11/30/28  | 75000000 | 65774414 |
|  1.625% 9/30/26  | 355668000 | 326533790 |
|  1.75% 1/31/29  | 146464000 | 130055455 |
|  1.875% 2/28/27  | 175000000 | 161164063 |
|  2.25% 3/31/24 (i) | 5100000 | 4945008 |
|  2.375% 4/30/26  | 84892000 | 80458383 |
|  2.5% 3/31/27  | 80000000 | 75546875 |
|  2.625% 7/31/29  | 200000000 | 186593750 |
|  2.75% 7/31/27  | 450000000 | 428765625 |
|  2.75% 2/15/28  | 54737100 | 51908304 |
|  2.75% 8/15/32  | 683541000 | 633129764 |
|  2.875% 8/15/28  | 78639600 | 74790560 |
|  2.875% 5/15/32  | 197316000 | 184952919 |
|  3.125% 8/31/29  | 225160000 | 216584570 |
|  4% 10/31/29  | 75000000 | 76136719 |
|  4.125% 10/31/27  | 243059000 | 246154206 |
|  4.375% 10/31/24  | 15300000 | 15296414 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $6,115,089,303) |  | **5180407721** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.2%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.2%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Fannie Mae - 3.7%  |  |  |
| 12 month U.S. LIBOR + 1.440% 1.945% 4/1/37 (f)(g) | 6628 | 6600 |
| 12 month U.S. LIBOR + 1.460% 3.148% 1/1/35 (f)(g) | 6955 | 6937 |
| 12 month U.S. LIBOR + 1.480% 3.787% 7/1/34 (f)(g) | 2270 | 2279 |
| 12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (f)(g) | 5232 | 5287 |
| 12 month U.S. LIBOR + 1.560% 2.065% 3/1/37 (f)(g) | 7322 | 7322 |
| 12 month U.S. LIBOR + 1.620% 3.212% 3/1/33 (f)(g) | 6996 | 6976 |
| 12 month U.S. LIBOR + 1.620% 3.871% 5/1/35 (f)(g) | 13561 | 13619 |
| 12 month U.S. LIBOR + 1.630% 2.987% 11/1/36 (f)(g) | 3983 | 4003 |
| 12 month U.S. LIBOR + 1.630% 3.815% 9/1/36 (f)(g) | 4599 | 4621 |
| 12 month U.S. LIBOR + 1.640% 1.895% 6/1/47 (f)(g) | 10034 | 10152 |
| 12 month U.S. LIBOR + 1.640% 3.274% 5/1/36 (f)(g) | 11672 | 11764 |
| 12 month U.S. LIBOR + 1.700% 3.185% 6/1/42 (f)(g) | 13541 | 13700 |
| 12 month U.S. LIBOR + 1.730% 2.354% 3/1/40 (f)(g) | 14214 | 14305 |
| 12 month U.S. LIBOR + 1.730% 3.442% 5/1/36 (f)(g) | 11184 | 11313 |
| 12 month U.S. LIBOR + 1.750% 2.607% 7/1/35 (f)(g) | 4491 | 4498 |
| 12 month U.S. LIBOR + 1.750% 4% 8/1/41 (f)(g) | 20164 | 20367 |
| 12 month U.S. LIBOR + 1.780% 2.163% 2/1/36 (f)(g) | 6166 | 6178 |
| 12 month U.S. LIBOR + 1.800% 2.055% 1/1/42 (f)(g) | 49239 | 49569 |
| 12 month U.S. LIBOR + 1.800% 3.724% 12/1/40 (f)(g) | 485951 | 490526 |
| 12 month U.S. LIBOR + 1.800% 4.05% 7/1/41 (f)(g) | 6297 | 6371 |
| 12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (f)(g) | 11333 | 11400 |
| 12 month U.S. LIBOR + 1.810% 2.304% 2/1/42 (f)(g) | 21993 | 22122 |
| 12 month U.S. LIBOR + 1.810% 4% 7/1/41 (f)(g) | 9721 | 9865 |
| 12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (f)(g) | 4526 | 4572 |
| 12 month U.S. LIBOR + 1.820% 2.195% 12/1/35 (f)(g) | 8736 | 8804 |
| 12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (f)(g) | 4324 | 4287 |
| 12 month U.S. LIBOR + 1.950% 3.771% 7/1/37 (f)(g) | 9929 | 10096 |
| 6 month U.S. LIBOR + 1.500% 2.735% 1/1/35 (f)(g) | 20691 | 20707 |
| 6 month U.S. LIBOR + 1.530% 2.785% 12/1/34 (f)(g) | 2810 | 2804 |
| 6 month U.S. LIBOR + 1.530% 2.835% 3/1/35 (f)(g) | 4089 | 4083 |
| 6 month U.S. LIBOR + 1.550% 4.011% 10/1/33 (f)(g) | 1265 | 1282 |
| 6 month U.S. LIBOR + 1.560% 3.64% 7/1/35 (f)(g) | 2190 | 2234 |
| 6 month U.S. LIBOR + 1.740% 2.865% 12/1/34 (f)(g) | 401 | 404 |
| 6 month U.S. LIBOR + 1.960% 3.434% 9/1/35 (f)(g) | 2948 | 2969 |
| U.S. TREASURY 1 YEAR INDEX + 1.940% 3.87% 10/1/33 (f)(g) | 20124 | 20405 |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 2.583% 3/1/35 (f)(g) | 4099 | 4163 |
| U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (f)(g) | 16220 | 16546 |
| U.S. TREASURY 1 YEAR INDEX + 2.280% 4.408% 10/1/33 (f)(g) | 8001 | 8151 |
| U.S. TREASURY 1 YEAR INDEX + 2.460% 3.871% 7/1/34 (f)(g) | 15002 | 15298 |
| 1.5% 1/1/36 to 6/1/51  | 27097794 | 22794106 |
| 2% 10/1/35 to 3/1/52  | 164169756 | 136666421 |
| 2.5% 5/1/31 to 2/1/52  | 213423873 | 186340565 |
| 3% 1/1/32 to 2/1/52  | 147847232 | 134359405 |
| 3.5% 9/1/37 to 3/1/52 (i)(j) | 59028468 | 54984405 |
| 4% 3/1/36 to 6/1/52  | 52321953 | 50539157 |
| 4.5% to 4.5% 6/1/33 to 7/1/52  | 49073462 | 48685568 |
| 5% 3/1/23 to 11/1/52  | 37983126 | 38332902 |
| 5.264% 8/1/41 (f) | 353337 | 355498 |
| 5.5% 12/1/23 to 11/1/52  | 28923099 | 29308976 |
| 6% to 6% 9/1/29 to 1/1/42  | 1470381 | 1536093 |
| 6% 11/1/52  | 5025930 | 5128804 |
| 6.5% 7/1/23 to 4/1/37  | 592820 | 619383 |
| 6.666% 2/1/39 (f) | 191320 | 195888 |
| 7% to 7% 4/1/23 to 7/1/37  | 117655 | 123066 |
| 7.5% to 7.5% 6/1/25 to 11/1/31  | 57258 | 59577 |
| 8% 3/1/37  | 3659 | 4033 |
| TOTAL FANNIE MAE |  | 710900426 |
| Freddie Mac - 2.3%  |  |  |
| 12 month U.S. LIBOR + 1.320% 1.575% 1/1/36 (f)(g) | 6038 | 5954 |
| 12 month U.S. LIBOR + 1.370% 2.517% 3/1/36 (f)(g) | 26266 | 26046 |
| 12 month U.S. LIBOR + 1.500% 2.636% 3/1/36 (f)(g) | 15299 | 15206 |
| 12 month U.S. LIBOR + 1.750% 2.958% 12/1/40 (f)(g) | 208390 | 208594 |
| 12 month U.S. LIBOR + 1.750% 4% 7/1/41 (f)(g) | 40028 | 40319 |
| 12 month U.S. LIBOR + 1.750% 4% 9/1/41 (f)(g) | 69972 | 70224 |
| 12 month U.S. LIBOR + 1.860% 3.239% 4/1/36 (f)(g) | 10312 | 10388 |
| 12 month U.S. LIBOR + 1.880% 3.255% 4/1/41 (f)(g) | 1698 | 1710 |
| 12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (f)(g) | 6788 | 6812 |
| 12 month U.S. LIBOR + 1.900% 3.709% 10/1/42 (f)(g) | 49098 | 49394 |
| 12 month U.S. LIBOR + 1.910% 3.22% 5/1/41 (f)(g) | 13513 | 13614 |
| 12 month U.S. LIBOR + 1.910% 3.568% 5/1/41 (f)(g) | 14008 | 14143 |
| 12 month U.S. LIBOR + 1.910% 3.774% 6/1/41 (f)(g) | 17646 | 17830 |
| 12 month U.S. LIBOR + 1.910% 4.16% 6/1/41 (f)(g) | 4464 | 4521 |
| 12 month U.S. LIBOR + 2.020% 2.93% 4/1/38 (f)(g) | 8890 | 8917 |
| 12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (f)(g) | 192 | 192 |
| 12 month U.S. LIBOR + 2.040% 4.265% 7/1/36 (f)(g) | 13601 | 13764 |
| 12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (f)(g) | 17543 | 17774 |
| 6 month U.S. LIBOR + 1.120% 2.424% 8/1/37 (f)(g) | 9876 | 9706 |
| 6 month U.S. LIBOR + 1.580% 3.08% 12/1/35 (f)(g) | 394 | 401 |
| 6 month U.S. LIBOR + 1.880% 3.369% 10/1/36 (f)(g) | 25599 | 25586 |
| 6 month U.S. LIBOR + 1.990% 3.437% 10/1/35 (f)(g) | 12456 | 12486 |
| 6 month U.S. LIBOR + 2.020% 3.51% 6/1/37 (f)(g) | 5886 | 6045 |
| 6 month U.S. LIBOR + 2.680% 4.983% 10/1/35 (f)(g) | 4796 | 4935 |
| U.S. TREASURY 1 YEAR INDEX + 2.030% 2.947% 6/1/33 (f)(g) | 18604 | 18738 |
| U.S. TREASURY 1 YEAR INDEX + 2.260% 3.228% 6/1/33 (f)(g) | 38034 | 38420 |
| U.S. TREASURY 1 YEAR INDEX + 2.430% 3.824% 3/1/35 (f)(g) | 73663 | 75041 |
| 1.5% 7/1/35 to 6/1/51  | 20943222 | 17055115 |
| 2% 8/1/35 to 2/1/52  | 112752375 | 93574429 |
| 2.5% 2/1/30 to 3/1/52 (i) | 108061168 | 93898967 |
| 3% 4/1/32 to 4/1/52  | 71325894 | 64375351 |
| 3.5% 1/1/32 to 4/1/52  | 89846203 | 84630475 |
| 4% 5/1/37 to 5/1/48  | 56309407 | 54575510 |
| 4% 4/1/48  | 21898 | 21164 |
| 4.5% 6/1/25 to 12/1/48  | 11710501 | 11651472 |
| 5% 8/1/33 to 12/1/52  | 26538444 | 26779277 |
| 6% 1/1/23 to 12/1/37  | 270051 | 281180 |
| 6.5% 5/1/26 to 9/1/39  | 302696 | 320842 |
| 7% 3/1/26 to 9/1/36  | 130563 | 137710 |
| 7.5% 1/1/27 to 11/1/31  | 874 | 922 |
| 8% 7/1/24 to 4/1/32  | 2844 | 3017 |
| 8.5% 1/1/25 to 1/1/28  | 1987 | 2070 |
| TOTAL FREDDIE MAC |  | 448024261 |
| Ginnie Mae - 5.1%  |  |  |
| 3.5% 9/20/40 to 5/20/50 (i) | 32249055 | 30424004 |
| 4% 5/20/33 to 5/20/49  | 26558359 | 25761698 |
| 4.5% 6/20/33 to 8/15/41  | 5845404 | 5796948 |
| 5% 12/15/32 to 4/20/48  | 6277949 | 6388481 |
| 5.5% 7/15/33 to 9/15/39  | 189283 | 195850 |
| 6% to 6% 10/15/30 to 11/15/39  | 73898 | 76904 |
| 7% to 7% 12/15/23 to 11/15/32  | 137797 | 143694 |
| 7.5% to 7.5% 2/15/23 to 9/15/31  | 28707 | 29575 |
| 8% 12/15/23 to 11/15/29  | 5701 | 5869 |
| 8.5% 11/15/27 to 1/15/31  | 2297 | 2449 |
| 2% 1/20/51 to 4/20/51  | 16167166 | 13811115 |
| 2% 12/1/52 (l) | 18850000 | 16005680 |
| 2% 12/1/52 (l) | 31350000 | 26619526 |
| 2% 12/1/52 (l) | 12800000 | 10868579 |
| 2% 12/1/52 (l) | 30900000 | 26237428 |
| 2% 12/1/52 (l) | 61600000 | 52305034 |
| 2% 12/1/52 (l) | 33650000 | 28572474 |
| 2% 12/1/52 (l) | 14850000 | 12609249 |
| 2% 1/1/53 (l) | 15600000 | 13258267 |
| 2% 1/1/53 (l) | 31050000 | 26389050 |
| 2% 1/1/53 (l) | 22700000 | 19292478 |
| 2% 1/1/53 (l) | 19250000 | 16360361 |
| 2% 1/1/53 (l) | 46700000 | 39689812 |
| 2% 1/1/53 (l) | 15550000 | 13215772 |
| 2% 1/1/53 (l) | 15400000 | 13088289 |
| 2.5% 7/20/51 to 12/20/51  | 20347633 | 17943462 |
| 2.5% 12/1/52 (l) | 15300000 | 13423862 |
| 2.5% 12/1/52 (l) | 30800000 | 27023199 |
| 2.5% 12/1/52 (l) | 30900000 | 27110937 |
| 2.5% 12/1/52 (l) | 61600000 | 54046399 |
| 2.5% 12/1/52 (l) | 12800000 | 11230420 |
| 2.5% 12/1/52 (l) | 15100000 | 13248387 |
| 2.5% 1/1/53 (l) | 15075000 | 13237641 |
| 2.5% 1/1/53 (l) | 15300000 | 13435218 |
| 2.5% 1/1/53 (l) | 30800000 | 27046059 |
| 2.5% 1/1/53 (l) | 19200000 | 16859881 |
| 2.5% 1/1/53 (l) | 19400000 | 17035505 |
| 2.5% 1/1/53 (l) | 30900000 | 27133871 |
| 3% 5/20/42 to 10/20/51  | 39123055 | 35598131 |
| 3% 12/1/52 (l) | 25375000 | 22886616 |
| 3% 12/1/52 (l) | 17500000 | 15783873 |
| 3% 12/1/52 (l) | 16850000 | 15197615 |
| 3% 12/1/52 (l) | 23600000 | 21285680 |
| 3% 1/1/53 (l) | 34050000 | 30732188 |
| 3% 1/1/53 (l) | 20350000 | 18367108 |
| 3.5% 12/1/52 (l) | 23850000 | 22125996 |
| 3.5% 12/1/52 (l) | 49450000 | 45875492 |
| 3.5% 1/1/53 (l) | 46700000 | 43346169 |
| 4% 12/1/52 (l) | 29000000 | 27678612 |
| 4.5% 12/1/52 (l) | 12200000 | 11950756 |
| 6.5% 3/20/31 to 6/15/37  | 50615 | 53252 |
| TOTAL GINNIE MAE |  | 986804915 |
| Uniform Mortgage Backed Securities - 12.1%  |  |  |
| 1.5% 12/1/37 (l) | 18250000 | 15950277 |
| 1.5% 12/1/37 (l) | 9100000 | 7953289 |
| 1.5% 12/1/37 (l) | 6850000 | 5986816 |
| 1.5% 12/1/37 (l) | 6150000 | 5375025 |
| 1.5% 12/1/37 (l) | 22550000 | 19708425 |
| 1.5% 1/1/38 (l) | 9100000 | 7965730 |
| 1.5% 1/1/38 (l) | 36300000 | 31775383 |
| 1.5% 12/1/52 (l) | 24150000 | 18759749 |
| 1.5% 12/1/52 (l) | 47800000 | 37131097 |
| 1.5% 1/1/53 (l) | 45050000 | 34802885 |
| 2% 12/1/37 (l) | 10100000 | 9072957 |
| 2% 12/1/37 (l) | 8225000 | 7388621 |
| 2% 12/1/37 (l) | 35000000 | 31440941 |
| 2% 12/1/37 (l) | 75600000 | 67912433 |
| 2% 12/1/37 (l) | 25200000 | 22637478 |
| 2% 1/1/38 (l) | 30900000 | 27792863 |
| 2% 1/1/38 (l) | 51500000 | 46321438 |
| 2% 1/1/38 (l) | 15450000 | 13896431 |
| 2% 12/1/52 (l) | 23650000 | 19450647 |
| 2% 12/1/52 (l) | 23650000 | 19450647 |
| 2% 12/1/52 (l) | 17625000 | 14495461 |
| 2% 12/1/52 (l) | 95700000 | 78707269 |
| 2% 12/1/52 (l) | 77475000 | 63718345 |
| 2% 12/1/52 (l) | 10775000 | 8861764 |
| 2% 12/1/52 (l) | 95250000 | 78337172 |
| 2% 12/1/52 (l) | 95250000 | 78337172 |
| 2% 12/1/52 (l) | 47500000 | 39065781 |
| 2% 12/1/52 (l) | 47050000 | 38695684 |
| 2% 12/1/52 (l) | 47050000 | 38695684 |
| 2% 12/1/52 (l) | 47300000 | 38901294 |
| 2% 1/1/53 (l) | 47550000 | 39147768 |
| 2% 1/1/53 (l) | 95100000 | 78295535 |
| 2% 1/1/53 (l) | 23800000 | 19594466 |
| 2% 1/1/53 (l) | 23800000 | 19594466 |
| 2% 1/1/53 (l) | 4750000 | 3910660 |
| 2% 1/1/53 (l) | 23750000 | 19553301 |
| 2% 1/1/53 (l) | 95700000 | 78789513 |
| 2% 1/1/53 (l) | 47350000 | 38983108 |
| 2.5% 12/1/37 (l) | 10500000 | 9697735 |
| 2.5% 12/1/37 (l) | 10500000 | 9697735 |
| 2.5% 12/1/37 (l) | 27600000 | 25491189 |
| 2.5% 12/1/37 (l) | 27600000 | 25491189 |
| 2.5% 1/1/38 (l) | 27600000 | 25512750 |
| 2.5% 12/1/52 (l) | 47000000 | 40162966 |
| 2.5% 12/1/52 (l) | 23550000 | 20124210 |
| 2.5% 12/1/52 (l) | 31100000 | 26575920 |
| 2.5% 12/1/52 (l) | 13900000 | 11877984 |
| 2.5% 12/1/52 (l) | 19200000 | 16406999 |
| 2.5% 12/1/52 (l) | 23200000 | 19825124 |
| 2.5% 12/1/52 (l) | 23550000 | 20124210 |
| 2.5% 12/1/52 (l) | 94950000 | 81137737 |
| 2.5% 12/1/52 (l) | 47500000 | 40590232 |
| 2.5% 1/1/53 (l) | 70700000 | 60473358 |
| 2.5% 1/1/53 (l) | 23550000 | 20143530 |
| 3% 12/1/37 (l) | 6300000 | 5928891 |
| 3% 12/1/52 (l) | 11400000 | 10091672 |
| 3% 12/1/52 (l) | 4750000 | 4204863 |
| 3% 12/1/52 (l) | 4750000 | 4204863 |
| 3% 12/1/52 (l) | 60650000 | 53689466 |
| 3% 12/1/52 (l) | 70500000 | 62409025 |
| 3% 12/1/52 (l) | 55100000 | 48776415 |
| 3% 1/1/53 (l) | 11800000 | 10452680 |
| 3% 1/1/53 (l) | 23550000 | 20861068 |
| 3.5% 12/1/52 (l) | 37550000 | 34405188 |
| 3.5% 12/1/52 (l) | 23675000 | 21692219 |
| 3.5% 12/1/52 (l) | 9800000 | 8979250 |
| 3.5% 12/1/52 (l) | 56800000 | 52043000 |
| 3.5% 1/1/53 (l) | 15400000 | 14117470 |
| 4% 12/1/52 (l) | 10700000 | 10124875 |
| 4% 12/1/52 (l) | 10900000 | 10314125 |
| 4% 12/1/52 (l) | 31200000 | 29523000 |
| 4% 12/1/52 (l) | 23150000 | 21905688 |
| 4.5% 12/1/52 (l) | 23450000 | 22827121 |
| 4.5% 12/1/52 (l) | 35050000 | 34119002 |
| 4.5% 1/1/53 (l) | 26150000 | 25455404 |
| 5% 12/1/52 (l) | 14650000 | 14585899 |
| 5% 12/1/52 (l) | 8800000 | 8761496 |
| 5% 12/1/52 (l) | 1200000 | 1194749 |
| 5% 12/1/52 (l) | 10000000 | 9956245 |
| 5% 12/1/52 (l) | 5925000 | 5899075 |
| 5% 12/1/52 (l) | 23800000 | 23695863 |
| 5.5% 12/1/52 (l) | 28300000 | 28622795 |
| 5.5% 12/1/52 (l) | 16600000 | 16789343 |
| 5.5% 12/1/52 (l) | 5900000 | 5967297 |
| 6% 12/1/52 (l) | 6000000 | 6137813 |
| 6% 12/1/52 (l) | 6000000 | 6137813 |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES |  | 2313664116 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $4,517,247,994) |  | <br> **4459393718** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 5.6%** | &nbsp;&nbsp;**Asset-Backed Securities - 5.6%** | &nbsp;&nbsp;**Asset-Backed Securities - 5.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AASET Trust: |  |  |
|  Series 2018-1A Class A, 3.844% 1/16/38 (d) | 4751462 | 2877339 |
|  Series 2019-1 Class A, 3.844% 5/15/39 (d) | 4203386 | 2792059 |
|  Series 2019-2:  |  |  |
| Class A, 3.376% 10/16/39 (d) <br>| 10462276 | 7439541 |
| Class B, 4.458% 10/16/39 (c)(d) <br>| 2087167 | 959143 |
|  Series 2021-1A Class A, 2.95% 11/16/41 (d) | 11059849 | 8792320 |
|  Series 2021-2A Class A, 2.798% 1/15/47 (d) | 22071308 | 17210460 |
| AASET, Ltd. Series 2022-1A Class A, 6% 5/16/47 (d) | 40024385 | 37077449 |
| Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 1/15/32 (d)(f)(g) | 7740000 | 7587638 |
| AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 5.2091% 10/17/34 (d)(f)(g) | 8253000 | 7997627 |
| AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, 3 month U.S. LIBOR + 0.990% 5.2326% 4/20/34 (d)(f)(g) | 19226000 | 18580468 |
| Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.500% 3.1807% 7/20/35 (d)(f)(g) | 11745000 | 11385556 |
| Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 5.3826% 7/20/34 (d)(f)(g) | 9447000 | 9120965 |
| American Homes 4 Rent: |  |  |
|  Series 2014-SFR3 Class E, 6.418% 12/17/36 (d) | 261000 | 257309 |
|  Series 2015-SFR1 Class E, 5.639% 4/17/52 (d) | 595000 | 576670 |
|  Series 2015-SFR2:  |  |  |
| Class E, 6.07% 10/17/52 (d) <br>| 611000 | 594455 |
| Class XS, 0% 10/17/52 (c)(d)(f)(m) <br>| 409162 | 4 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A: |  |  |
|  Class A, 3.351% 1/16/40 (d) | 3104128 | 2491177 |
|  Class B, 4.335% 1/16/40 (d) | 551865 | 237700 |
| Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 5.3991% 10/15/32 (d)(f)(g) | 11120000 | 10872202 |
| Ares LIX CLO Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.030% 5.3884% 4/25/34 (d)(f)(g) | 15787000 | 15263361 |
| Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 5.2091% 7/15/34 (d)(f)(g) | 12053000 | 11718650 |
| Ares LVIII CLO LLC Series 2022-58A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 1/15/35 (d)(f)(g) | 16982000 | 16281459 |
| Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 5.1491% 4/15/34 (d)(f)(g) | 27261000 | 26341814 |
| Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 5.3291% 4/17/33 (d)(f)(g) | 8452000 | 8218767 |
| Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/36 (d)(f)(g) | 8291000 | 8030729 |
| Barings CLO Ltd.: |  |  |
|  Series 2021-1A Class A, 3 month U.S. LIBOR + 1.020% 5.3784% 4/25/34 (d)(f)(g) | 14004000 | 13564540 |
|  Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 5.4626% 1/20/32 (d)(f)(g) | 15650000 | 15362525 |
| Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.1636% 1/17/35 (d)(f)(g) | 17449000 | 17092901 |
| BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.2091% 1/15/35 (d)(f)(g) | 12522000 | 12107622 |
| Blackbird Capital Aircraft: |  |  |
|  Series 2016-1A:  |  |  |
| Class A, 4.213% 12/16/41 (d) <br>| 11116503 | 9079581 |
| Class AA, 2.487% 12/16/41 (d)(f) <br>| 1037056 | 943710 |
|  Series 2021-1A Class A, 2.443% 7/15/46 (d) | 15185211 | 12428594 |
| Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 5.0691% 4/15/29 (d)(f)(g) | 12770682 | 12564844 |
| Castlelake Aircraft Securitization Trust Series 2019-1A: |  |  |
|  Class A, 3.967% 4/15/39 (d) | 8074224 | 6810688 |
|  Class B, 5.095% 4/15/39 (d) | 4356038 | 3223555 |
| Castlelake Aircraft Structured Trust: |  |  |
|  Series 2018-1 Class A, 4.125% 6/15/43 (d) | 4942129 | 4324547 |
|  Series 2021-1A Class A, 3.474% 1/15/46 (d) | 3092623 | 2613328 |
| Cedar Funding Ltd.: |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 5.3426% 10/20/32 (d)(f)(g) | 10997000 | 10696650 |
|  Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.2833% 4/20/35 (d)(f)(g) | 16187000 | 15550738 |
| Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 5.4884% 10/25/34 (d)(f)(g) | 7745000 | 7469789 |
| CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 5.2926% 4/20/34 (d)(f)(g) | 11637000 | 11201299 |
| Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 5.4126% 10/20/34 (d)(f)(g) | 12599000 | 12143471 |
| Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 5.3661% 10/25/37 (d)(f)(g) | 867297 | 860795 |
| Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 5.4426% 4/20/34 (d)(f)(g) | 24335000 | 23495272 |
| Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.700% 4.197% 7/24/34 (d)(f)(g) | 17433000 | 16726946 |
| Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 5.5526% 1/20/34 (d)(f)(g) | 20650000 | 20083694 |
| Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 6.4829% 1/28/40 (c)(d)(f)(g) | 211708 | 21 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (d) | 10171748 | 9197050 |
| Diamond Infrastructure Funding LLC Series 2021-1A Class C, 3.475% 4/15/49 (d) | 214000 | 165738 |
| DigitalBridge Issuer, LLC / DigitalBridge Co.-Issuer, LLC Series 2021-1A Class A2, 3.933% 9/25/51 (d) | 557000 | 471191 |
| Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.2633% 4/20/35 (d)(f)(g) | 9084000 | 8754723 |
| Dryden CLO, Ltd.: |  |  |
|  Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (d)(f)(g) | 15808000 | 15300263 |
|  Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 5.4137% 1/18/32 (d)(f)(g) | 11752000 | 11534588 |
| Dryden Senior Loan Fund: |  |  |
|  Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 5.2591% 4/17/33 (d)(f)(g) | 8700000 | 8484658 |
|  Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/35 (d)(f)(g) | 11160000 | 10795269 |
|  Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 5.8054% 2/20/35 (d)(f)(g) | 6539000 | 6315105 |
| Eaton Vance CLO, Ltd.: |  |  |
|  Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (d)(f)(g) | 6808000 | 6659865 |
|  Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 1/15/35 (d)(f)(g) | 15072000 | 14624964 |
| Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 5.3291% 1/15/34 (d)(f)(g) | 3200000 | 3117238 |
| FirstKey Homes Trust: |  |  |
|  Series 2020-SFR1 Class F2, 4.284% 8/17/37 (d) | 420000 | 374983 |
|  Series 2021-SFR1 Class F1, 3.238% 8/17/38 (d) | 265000 | 217271 |
| Flatiron CLO Ltd. Series 2021-1A: |  |  |
|  Class A1, 3 month U.S. LIBOR + 1.110% 5.3366% 7/19/34 (d)(f)(g) | 8589000 | 8313242 |
|  Class AR, 3 month U.S. LIBOR + 1.080% 5.7239% 11/16/34 (d)(f)(g) | 12500000 | 12160688 |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 5.9754% 11/20/33 (d)(f)(g) | 19341000 | 18822932 |
| Home Partners of America Trust: |  |  |
|  Series 2019-2 Class F, 3.866% 10/19/39 (d) | 492071 | 406975 |
|  Series 2021-2 Class G, 4.505% 12/17/26 (d) | 2269115 | 1853574 |
|  Series 2021-3 Class F, 4.242% 1/17/41 (d) | 332967 | 273324 |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (d) | 4746161 | 3864325 |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (d) | 4739526 | 3696811 |
| Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 5.4546% 10/22/34 (d)(f)(g) | 8865000 | 8540754 |
| KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 4/15/35 (d)(f)(g) | 21121000 | 20194147 |
| Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 5.2891% 1/15/33 (d)(f)(g) | 7620000 | 7458746 |
| Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 5.2446% 1/22/28 (d)(f)(g) | 9031480 | 8911895 |
| Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 5.3666% 4/19/34 (d)(f)(g) | 16420000 | 15981011 |
| Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 5.4246% 1/22/35 (d)(f)(g) | 17793000 | 17157932 |
| Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 5.1991% 7/15/34 (d)(f)(g) | 8675000 | 8450231 |
| Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, 3 month U.S. LIBOR + 1.200% 5.5246% 1/22/31 (d)(f)(g) | 3536000 | 3425889 |
| Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 5.3826% 10/20/34 (d)(f)(g) | 2957000 | 2866572 |
| Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, 3 month U.S. LIBOR + 1.130% 5.4884% 10/25/34 (d)(f)(g) | 15155000 | 14689408 |
| Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 5.2626% 4/20/34 (d)(f)(g) | 11245000 | 10908257 |
| Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 5.4884% 1/25/35 (d)(f)(g) | 10754000 | 10405011 |
| Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 5.0691% 1/15/34 (d)(f)(g) | 14050000 | 13747082 |
| Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 5.3126% 10/20/30 (d)(f)(g) | 18774000 | 18465299 |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 5.2886% 1/25/36 (f)(g) | 171273 | 166842 |
| Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.3726% 10/20/34 (d)(f)(g) | 12426000 | 12077687 |
| Planet Fitness Master Issuer LLC: |  |  |
|  Series 2018-1A Class A2II, 4.666% 9/5/48 (d) | 20328000 | 18980823 |
|  Series 2019-1A Class A2, 3.858% 12/5/49 (d) | 9513968 | 7818483 |
|  Series 2022-1A:  |  |  |
| Class A2I, 3.251% 12/5/51 (d) <br>| 10501230 | 9108147 |
| Class A2II, 4.008% 12/5/51 (d) <br>| 9383845 | 7343093 |
| Progress Residential: |  |  |
|  Series 2022-SFR3 Class F, 6.6% 4/17/39 (d) | 800000 | 708820 |
|  Series 2022-SFR4 Class E1, 6.121% 5/17/41 (d) | 797000 | 692430 |
|  Series 2022-SFR5:  |  |  |
| Class E1, 6.618% 6/17/39 (d) <br>| 519000 | 473882 |
| Class E2, 6.863% 6/17/39 (d) <br>| 870000 | 790005 |
| Progress Residential Trust: |  |  |
|  Series 2019-SFR3:  |  |  |
| Class F, 3.867% 9/17/36 (d) <br>| 315000 | 296213 |
| Class G, 4.116% 9/17/36 (d) <br>| 263000 | 246647 |
|  Series 2019-SFR4 Class F, 3.684% 10/17/36 (d) | 1082000 | 1023177 |
|  Series 2020-SFR1:  |  |  |
| Class G, 4.028% 4/17/37 (d) <br>| 378000 | 341893 |
| Class H, 5.268% 4/17/37 (d) <br>| 105000 | 95847 |
|  Series 2020-SFR3 Class H, 6.234% 10/17/27 (d) | 273000 | 252254 |
|  Series 2021-SFR2 Class H, 4.998% 4/19/38 (d) | 401000 | 339134 |
|  Series 2021-SFR6:  |  |  |
| Class F, 3.422% 7/17/38 (d) <br>| 315000 | 261419 |
| Class G, 4.003% 7/17/38 (d) <br>| 168000 | 140941 |
|  Series 2021-SFR8:  |  |  |
| Class F, 3.181% 10/17/38 (d) <br>| 203000 | 166853 |
| Class G, 4.005% 10/17/38 (d) <br>| 1347000 | 1118300 |
|  Series 2022-SFR2 Class E2, 4.8% 4/17/27  | 688000 | 588803 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (d) | 8854091 | 6810555 |
| Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 5.3626% 4/20/34 (d)(f)(g) | 15987000 | 15562513 |
| RR 7 Ltd. Series 2022-7A Class A1AB, CME TERM SOFR 3 MONTH INDEX + 1.340% 5.2036% 1/15/37 (d)(f)(g) | 17526000 | 17028542 |
| Sapphire Aviation Finance Series 2020-1A: |  |  |
|  Class A, 3.228% 3/15/40 (d) | 9441112 | 7110370 |
|  Class B, 4.335% 3/15/40 (d) | 1071663 | 626516 |
| SBA Tower Trust: |  |  |
|  Series 2019, 2.836% 1/15/50 (d) | 12474000 | 11738839 |
|  1.884% 7/15/50 (d) | 4985000 | 4384087 |
|  2.328% 7/15/52 (d) | 3812000 | 3180378 |
| Starwood Mortgage Residential Trust Series 2022-SFR3 Class F, CME Term SOFR 1 Month Index + 4.500% 8.3745% 5/17/24 (d)(f)(g) | 1616000 | 1531104 |
| Stratus CLO, Ltd. Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.750% 5.7133% 7/20/30 (d)(f)(g) | 2766206 | 2724708 |
| SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.3575% 4/23/35 (d)(f)(g) | 18277000 | 17772262 |
| Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, 3 month U.S. LIBOR + 0.960% 5.0391% 4/16/31 (d)(f)(g) | 7718000 | 7571096 |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 5.1391% 7/15/32 (d)(f)(g) | 1661000 | 1622350 |
| Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, 3 month U.S. LIBOR + 0.980% 5.2066% 4/19/34 (d)(f)(g) | 14155000 | 13692528 |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 5.3226% 4/20/33 (d)(f)(g) | 26688000 | 25876738 |
| Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, 3 month U.S. LIBOR + 4.500% 9.0316% 12/5/36 (c)(d)(f)(g) | 401394 | 30 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 4.9036% 9/25/34 (f)(g) | 7168 | 6761 |
| Thunderbolt Aircraft Lease Ltd.: |  |  |
|  Series 2017-A Class A, 4.212% 5/17/32 (d) | 5476704 | 4600541 |
|  Series 2018-A Class A, 4.147% 9/15/38 (d)(f) | 9233768 | 6977312 |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (d) | 14071412 | 10632640 |
| Towd Point Mortgage Trust Series 2019-1 Class A1, 3.7088% 3/25/58 (d)(f) | 2254759 | 2086534 |
| Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 4.3007% 4/6/42 (d)(f)(g) | 934000 | 706298 |
| Tricon American Homes: |  |  |
|  Series 2019-SFR1 Class F, 3.745% 3/17/38 (d) | 525000 | 469250 |
|  Series 2020-SFR1 Class F, 4.882% 7/17/38 (d) | 151000 | 133516 |
| Tricon Residential Series 2022-SFR1: |  |  |
|  Class E1, 5.344% 4/17/39 (d) | 1081000 | 988896 |
|  Class E2, 5.739% 4/17/39 (d) | 1344000 | 1230532 |
| Tricon Residential Trust Series 2021-SFR1 Class G, 4.133% 7/17/38 (d) | 168000 | 139401 |
| Upstart Securitization Trust Series 2021-1 Class A, 0.87% 3/20/31 (d) | 106561 | 105999 |
| Valley Stream Park Clo Ltd. / Vy Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 2.400% 6.4714% 10/20/34 (d)(f)(g) | 16512000 | 16454489 |
| Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 5.5126% 7/20/32 (d)(f)(g) | 13214000 | 12939347 |
| Voya CLO Ltd./Voya CLO LLC: |  |  |
|  Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 5.3866% 7/19/34 (d)(f)(g) | 8182000 | 7941179 |
|  Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (d)(f)(g) | 16805000 | 16231277 |
| Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 7/16/34 (d)(f)(g) | 17432000 | 16872694 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $1,137,774,389) |  | **1066437958** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Private Sponsor - 0.3%  |  |  |
| Ajax Mortgage Loan Trust sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (d) | 4553256 | 3800208 |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (d)(f) | 4597348 | 4367628 |
| Cascade Funding Mortgage Trust: |  |  |
|  Series 2021-HB5 Class A, 0.8006% 2/25/31 (d) | 4952929 | 4755236 |
|  Series 2021-HB6 Class A, 0.8983% 6/25/36 (d) | 6822225 | 6425603 |
| CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (d) | 3348741 | 3235249 |
| Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (d)(f) | 138440 | 134604 |
| Countrywide Home Loans, Inc. Series 2003-R1 Class 2B4, 3.3614% 2/25/43 (c)(d)(f) | 1739 | 226 |
| CSMC: |  |  |
|  floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 4.1456% 5/27/37 (d)(f)(g) | 497893 | 482303 |
|  Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (c)(d)(f)(g) | 87210 | 9 |
| MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (d) | 17113928 | 15444968 |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (d) | 2636781 | 2342336 |
| NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (d) | 2471827 | 2184821 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/50 (d) | 3244559 | 2960300 |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.6276% 7/20/34 (f)(g) | 1700 | 1532 |
| Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 4.6836% 9/25/43 (f)(g) | 837427 | 777522 |
| Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (d) | 15349278 | 14059347 |
| TOTAL PRIVATE SPONSOR |  | 60971892 |
| U.S. Government Agency - 0.3%  |  |  |
| Fannie Mae: |  |  |
|  floater:  |  |  |
| Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 4.8161% 2/25/32 (f)(g) <br>| 2716 | 2731 |
| Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 4.9107% 3/18/32 (f)(g) <br>| 5106 | 5172 |
| Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 5.0161% 4/25/32 (f)(g) <br>| 5879 | 5947 |
| Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 5.0161% 10/25/32 (f)(g) <br>| 7118 | 7202 |
| Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 4.7661% 1/25/32 (f)(g) <br>| 2598 | 2609 |
| Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 4.0839% 12/25/33 (f)(m)(n) <br>| 99625 | 15402 |
| Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 2.6639% 11/25/36 (f)(m)(n) <br>| 69868 | 7059 |
|  planned amortization class:  |  |  |
| Series 1993-207 Class H, 6.5% 11/25/23 <br>| 5869 | 5855 |
| Series 1996-28 Class PK, 6.5% 7/25/25 <br>| 2628 | 2622 |
| Series 1999-17 Class PG, 6% 4/25/29 <br>| 29117 | 29512 |
| Series 1999-32 Class PL, 6% 7/25/29 <br>| 34233 | 34757 |
| Series 1999-33 Class PK, 6% 7/25/29 <br>| 25236 | 25611 |
| Series 2001-52 Class YZ, 6.5% 10/25/31 <br>| 3956 | 4084 |
| Series 2003-28 Class KG, 5.5% 4/25/23 <br>| 852 | 854 |
| Series 2005-102 Class CO 11/25/35 (o) <br>| 17605 | 14973 |
| Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 7.108% 8/25/35 (f)(n) <br>| 4068 | 4207 |
| Series 2005-81 Class PC, 5.5% 9/25/35 <br>| 50475 | 51782 |
| Series 2006-12 Class BO 10/25/35 (o) <br>| 80316 | 68954 |
| Series 2006-15 Class OP 3/25/36 (o) <br>| 96891 | 81576 |
| Series 2006-37 Class OW 5/25/36 (o) <br>| 9709 | 7650 |
| Series 2006-45 Class OP 6/25/36 (o) <br>| 30104 | 23914 |
| Series 2006-62 Class KP 4/25/36 (o) <br>| 47003 | 38466 |
| Series 2012-149: <br>|  |  |
| Class DA, 1.75% 1/25/43 <br>| 925691 | 842996 |
| Class GA, 1.75% 6/25/42 <br>| 995573 | 900708 |
|  sequential payer:  |  |  |
| Series 1997-41 Class J, 7.5% 6/18/27 <br>| 5721 | 5851 |
| Series 1999-25 Class Z, 6% 6/25/29 <br>| 28432 | 28559 |
| Series 2001-20 Class Z, 6% 5/25/31 <br>| 32464 | 33035 |
| Series 2001-31 Class ZC, 6.5% 7/25/31 <br>| 17377 | 17633 |
| Series 2002-16 Class ZD, 6.5% 4/25/32 <br>| 12598 | 13034 |
| Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 3.5339% 11/25/32 (f)(m)(n) <br>| 33074 | 1373 |
| Series 2012-67 Class AI, 4.5% 7/25/27 (m) <br>| 81047 | 2865 |
|  Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 2.6239% 12/25/36 (f)(m)(n) | 46868 | 6402 |
|  Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 2.4239% 5/25/37 (f)(m)(n) | 25192 | 3105 |
|  Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 8.44% 9/25/23 (f)(n) | 259 | 259 |
|  Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 4.0839% 3/25/33 (f)(m)(n) | 6255 | 786 |
|  Series 2005-72 Class ZC, 5.5% 8/25/35  | 387041 | 392901 |
|  Series 2005-79 Class ZC, 5.9% 9/25/35  | 301611 | 306058 |
|  Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 16.5232% 6/25/37 (f)(n) | 21491 | 28478 |
|  Series 2007-66:  |  |  |
| Class SA, 39.600% - 1 month U.S. LIBOR 15.5032% 7/25/37 (f)(n) <br>| 32495 | 44555 |
| Class SB, 39.600% - 1 month U.S. LIBOR 15.5032% 7/25/37 (f)(n) <br>| 10035 | 11873 |
|  Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 2.5289% 8/25/37 (f)(m)(n) | 974726 | 111179 |
|  Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 2.3339% 3/25/38 (f)(m)(n) | 163917 | 17453 |
|  Series 2010-135:  |  |  |
| Class LS, 6.050% - 1 month U.S. LIBOR 2.0339% 12/25/40 (f)(m)(n) <br>| 168081 | 14330 |
| Class ZA, 4.5% 12/25/40 <br>| 493884 | 495258 |
|  Series 2010-139 Class NI, 4.5% 2/25/40 (m) | 44915 | 1243 |
|  Series 2010-150 Class ZC, 4.75% 1/25/41  | 883663 | 877972 |
|  Series 2010-95 Class ZC, 5% 9/25/40  | 2097296 | 2123683 |
|  Series 2011-39 Class ZA, 6% 11/25/32  | 114892 | 118142 |
|  Series 2011-4 Class PZ, 5% 2/25/41  | 291983 | 282024 |
|  Series 2011-67 Class AI, 4% 7/25/26 (m) | 14890 | 431 |
|  Series 2011-83 Class DI, 6% 9/25/26 (m) | 151 | 2 |
|  Series 2012-100 Class WI, 3% 9/25/27 (m) | 460461 | 21347 |
|  Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 2.6339% 12/25/30 (f)(m)(n) | 54563 | 454 |
|  Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 2.5339% 6/25/41 (f)(m)(n) | 40022 | 501 |
|  Series 2013-133 Class IB, 3% 4/25/32 (m) | 154927 | 5087 |
|  Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 2.0339% 1/25/44 (f)(m)(n) | 143283 | 15612 |
|  Series 2013-51 Class GI, 3% 10/25/32 (m) | 610469 | 38879 |
|  Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 2.7039% 6/25/35 (f)(m)(n) | 137891 | 11994 |
|  Series 2015-42 Class IL, 6% 6/25/45 (m) | 937991 | 165976 |
|  Series 2015-70 Class JC, 3% 10/25/45  | 822460 | 778813 |
|  Series 2017-30 Class AI, 5.5% 5/25/47 (m) | 555800 | 100535 |
| Fannie Mae Stripped Mortgage-Backed Securities: |  |  |
|  Series 339 Class 5, 5.5% 7/25/33 (m) | 24678 | 4118 |
|  Series 343 Class 16, 5.5% 5/25/34 (m) | 23095 | 3882 |
|  Series 348 Class 14, 6.5% 8/25/34 (f)(m) | 15773 | 3170 |
|  Series 351:  |  |  |
| Class 12, 5.5% 4/25/34 (f)(m) <br>| 9921 | 1717 |
| Class 13, 6% 3/25/34 (m) <br>| 14402 | 2703 |
|  Series 359 Class 19, 6% 7/25/35 (f)(m) | 8408 | 1616 |
|  Series 384 Class 6, 5% 7/25/37 (m) | 97330 | 16830 |
| Freddie Mac: |  |  |
|  floater:  |  |  |
| Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 4.6731% 1/15/32 (f)(g) <br>| 2000 | 2012 |
| Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 4.7731% 3/15/32 (f)(g) <br>| 3118 | 3145 |
| Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 4.8731% 3/15/32 (f)(g) <br>| 2765 | 2797 |
| Series 2432: <br>|  |  |
| Class FE, 1 month U.S. LIBOR + 0.900% 4.7731% 6/15/31 (f)(g) <br>| 5251 | 5292 |
| Class FG, 1 month U.S. LIBOR + 0.900% 4.7731% 3/15/32 (f)(g) <br>| 1693 | 1707 |
|  floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 4.1231% 5/15/37 (f)(g) | 122579 | 121918 |
|  planned amortization class:  |  |  |
| Series 2095 Class PE, 6% 11/15/28 <br>| 36781 | 37389 |
| Series 2101 Class PD, 6% 11/15/28 <br>| 3005 | 3054 |
| Series 2121 Class MG, 6% 2/15/29 <br>| 14916 | 15155 |
| Series 2131 Class BG, 6% 3/15/29 <br>| 106860 | 108704 |
| Series 2137 Class PG, 6% 3/15/29 <br>| 16848 | 17133 |
| Series 2154 Class PT, 6% 5/15/29 <br>| 28642 | 29135 |
| Series 2162 Class PH, 6% 6/15/29 <br>| 5765 | 5851 |
| Series 2520 Class BE, 6% 11/15/32 <br>| 49287 | 50864 |
| Series 2693 Class MD, 5.5% 10/15/33 <br>| 463154 | 467567 |
| Series 2802 Class OB, 6% 5/15/34 <br>| 40795 | 41592 |
| Series 3002 Class NE, 5% 7/15/35 <br>| 116267 | 116829 |
| Series 3110 Class OP 9/15/35 (o) <br>| 30274 | 27582 |
| Series 3119 Class PO 2/15/36 (o) <br>| 114945 | 92341 |
| Series 3121 Class KO 3/15/36 (o) <br>| 17801 | 14596 |
| Series 3123 Class LO 3/15/36 (o) <br>| 63595 | 51430 |
| Series 3145 Class GO 4/15/36 (o) <br>| 68389 | 55623 |
| Series 3189 Class PD, 6% 7/15/36 <br>| 96812 | 100597 |
| Series 3225 Class EO 10/15/36 (o) <br>| 34279 | 27180 |
| Series 3258 Class PM, 5.5% 12/15/36 <br>| 43091 | 44154 |
| Series 3415 Class PC, 5% 12/15/37 <br>| 46873 | 46707 |
| Series 3806 Class UP, 4.5% 2/15/41 <br>| 218536 | 217247 |
| Series 3832 Class PE, 5% 3/15/41 <br>| 440985 | 443196 |
| Series 4135 Class AB, 1.75% 6/15/42 <br>| 728762 | 663236 |
|  sequential payer:  |  |  |
| Series 2135 Class JE, 6% 3/15/29 <br>| 7347 | 7475 |
| Series 2274 Class ZM, 6.5% 1/15/31 <br>| 10697 | 10848 |
| Series 2281 Class ZB, 6% 3/15/30 <br>| 20615 | 20946 |
| Series 2303 Class ZV, 6% 4/15/31 <br>| 10935 | 11140 |
| Series 2357 Class ZB, 6.5% 9/15/31 <br>| 84291 | 86559 |
| Series 2502 Class ZC, 6% 9/15/32 <br>| 19989 | 20618 |
| Series 2519 Class ZD, 5.5% 11/15/32 <br>| 30465 | 31150 |
| Series 2546 Class MJ, 5.5% 3/15/23 <br>| 656 | 657 |
| Series 2601 Class TB, 5.5% 4/15/23 <br>| 309 | 310 |
| Series 2998 Class LY, 5.5% 7/15/25 <br>| 10613 | 10858 |
| Series 3871 Class KB, 5.5% 6/15/41 <br>| 719131 | 748043 |
|  Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 2.7269% 2/15/36 (f)(m)(n) | 33549 | 3130 |
|  Series 2013-4281 Class AI, 4% 12/15/28 (m) | 107960 | 2408 |
|  Series 2017-4683 Class LM, 3% 5/15/47  | 1288790 | 1220808 |
|  Series 2933 Class ZM, 5.75% 2/15/35  | 611773 | 630583 |
|  Series 2935 Class ZK, 5.5% 2/15/35  | 489253 | 504240 |
|  Series 2947 Class XZ, 6% 3/15/35  | 195661 | 202602 |
|  Series 2996 Class ZD, 5.5% 6/15/35  | 419955 | 431917 |
|  Series 3237 Class C, 5.5% 11/15/36  | 546431 | 552570 |
|  Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 2.7869% 11/15/36 (f)(m)(n) | 146086 | 17570 |
|  Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 2.8769% 3/15/37 (f)(m)(n) | 221254 | 30401 |
|  Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 2.8869% 4/15/37 (f)(m)(n) | 310064 | 38956 |
|  Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 2.7069% 6/15/37 (f)(m)(n) | 100389 | 11155 |
|  Series 3949 Class MK, 4.5% 10/15/34  | 81636 | 81083 |
|  Series 4055 Class BI, 3.5% 5/15/31 (m) | 155470 | 4847 |
|  Series 4149 Class IO, 3% 1/15/33 (m) | 329245 | 27391 |
|  Series 4314 Class AI, 5% 3/15/34 (m) | 47645 | 1690 |
|  Series 4427 Class LI, 3.5% 2/15/34 (m) | 484325 | 30976 |
|  Series 4471 Class PA 4% 12/15/40  | 416205 | 406816 |
|  target amortization class Series 2156 Class TC, 6.25% 5/15/29  | 13837 | 14218 |
| Freddie Mac Manufactured Housing participation certificates guaranteed: |  |  |
|  floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 4.3121% 2/15/24 (f)(g) | 1578 | 1578 |
|  sequential payer:  |  |  |
| Series 2043 Class ZH, 6% 4/15/28 <br>| 12158 | 12332 |
| Series 2056 Class Z, 6% 5/15/28 <br>| 29440 | 29902 |
| Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40  | 1041995 | 1020106 |
| Ginnie Mae guaranteed REMIC pass-thru certificates: |  |  |
|  floater:  |  |  |
| Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 2.8034% 6/16/37 (f)(m)(n) <br>| 61206 | 6910 |
| Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 4.1464% 3/20/60 (f)(g)(p) <br>| 723973 | 718345 |
| Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 3.9264% 7/20/60 (f)(g)(p) <br>| 116008 | 114438 |
| Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 3.4427% 9/20/60 (f)(g)(p) <br>| 148022 | 146120 |
| Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 3.4427% 8/20/60 (f)(g)(p) <br>| 115553 | 114051 |
| Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 3.5227% 12/20/60 (f)(g)(p) <br>| 304940 | 301308 |
| Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 12/20/60 (f)(g)(p) <br>| 289542 | 287017 |
| Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 2/20/61 (f)(g)(p) <br>| 257300 | 254829 |
| Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 3.6327% 2/20/61 (f)(g)(p) <br>| 373577 | 370034 |
| Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 4/20/61 (f)(g)(p) <br>| 263917 | 261381 |
| Series 2011-H14: <br>|  |  |
| Class FB, 1 month U.S. LIBOR + 0.500% 3.6427% 5/20/61 (f)(g)(p) <br>| 421699 | 417923 |
| Class FC, 1 month U.S. LIBOR + 0.500% 3.6427% 5/20/61 (f)(g)(p) <br>| 312740 | 309819 |
| Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 3.6727% 6/20/61 (f)(g)(p) <br>| 362156 | 359144 |
| Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 3.7427% 10/20/61 (f)(g)(p) <br>| 720011 | 714684 |
| Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.8427% 11/20/61 (f)(g)(p) <br>| 404201 | 401668 |
| Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.8427% 1/20/62 (f)(g)(p) <br>| 234202 | 232828 |
| Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.7727% 1/20/62 (f)(g)(p) <br>| 363315 | 360580 |
| Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.7727% 3/20/62 (f)(g)(p) <br>| 175904 | 174286 |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.7927% 5/20/61 (f)(g)(p) <br>| 8445 | 8339 |
| Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 3.6627% 10/20/62 (f)(g)(p) <br>| 166571 | 165028 |
| Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 3.5027% 3/20/63 (f)(g)(p) <br>| 317395 | 313601 |
| Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 3.7427% 1/20/64 (f)(g)(p) <br>| 228575 | 226913 |
| Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 3.7427% 12/20/63 (f)(g)(p) <br>| 1115400 | 1109229 |
| Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 3.6427% 6/20/64 (f)(g)(p) <br>| 1371809 | 1359591 |
| Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 3.6427% 9/20/64 (f)(g)(p) <br>| 4663672 | 4620402 |
| Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 3.5427% 12/20/62 (f)(g)(p) <br>| 17659 | 17295 |
| Series 2019-11 Class F, 1 month U.S. LIBOR + 0.400% 4.3386% 1/20/49 (f)(g) <br>| 2334386 | 2310980 |
| Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 4.4386% 10/20/49 (f)(g) <br>| 716676 | 702806 |
| Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 4.3886% 2/20/49 (f)(g) <br>| 1449238 | 1433550 |
|  planned amortization class:  |  |  |
| Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 2.1229% 12/20/40 (f)(n) <br>| 860504 | 745656 |
| Series 2011-136 Class WI, 4.5% 5/20/40 (m) <br>| 22727 | 1650 |
| Series 2016-69 Class WA, 3% 2/20/46 <br>| 751668 | 702675 |
| Series 2017-134 Class BA, 2.5% 11/20/46 <br>| 1050938 | 950235 |
|  sequential payer:  |  |  |
| Series 2004-24 Class ZM, 5% 4/20/34 <br>| 172535 | 170547 |
| Series 2010-160 Class DY, 4% 12/20/40 <br>| 1682926 | 1641123 |
| Series 2010-170 Class B, 4% 12/20/40 <br>| 375043 | 365724 |
| Series 2017-139 Class BA, 3% 9/20/47 <br>| 3470005 | 3140181 |
|  Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 2.6134% 5/16/34 (f)(m)(n) | 36192 | 2960 |
|  Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 3.3134% 8/17/34 (f)(m)(n) | 35216 | 4262 |
|  Series 2010-116 Class QB, 4% 9/16/40  | 3840024 | 3749028 |
|  Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 3.9264% 5/20/60 (f)(g)(p) | 363933 | 359395 |
|  Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 2.1614% 7/20/41 (f)(m)(n) | 145044 | 14566 |
|  Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 2.8134% 6/16/42 (f)(m)(n) | 134624 | 13953 |
|  Series 2013-149 Class MA, 2.5% 5/20/40  | 1369324 | 1307365 |
|  Series 2014-2 Class BA, 3% 1/20/44  | 2112377 | 1945652 |
|  Series 2014-21 Class HA, 3% 2/20/44  | 772722 | 713284 |
|  Series 2014-25 Class HC, 3% 2/20/44  | 1323800 | 1220725 |
|  Series 2014-5 Class A, 3% 1/20/44  | 1147558 | 1057642 |
|  Series 2015-H13 Class HA, 2.5% 8/20/64 (p) | 12050 | 11312 |
|  Series 2017-186 Class HK, 3% 11/16/45  | 1905708 | 1759777 |
|  Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 4.42% 8/20/66 (f)(g)(p) | 3041448 | 3025549 |
| TOTAL U.S. GOVERNMENT AGENCY |  | 58052637 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $126,574,025) |  | <br> **119024529** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 4.7%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.7%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Ashford Hospitality Trust floater Series 2018-ASHF Class E, 1 month U.S. LIBOR + 3.100% 6.975% 4/15/35 (d)(f)(g) | 397000 | 360613 |
| Atrium Hotel Portfolio Trust floater Series 2018-ATRM Class D, 1 month U.S. LIBOR + 2.300% 6.175% 6/15/35 (d)(f)(g) | 172000 | 159469 |
| BAMLL Commercial Mortgage Securities Trust: |  |  |
|  floater:  |  |  |
| Series 2019-AHT Class E, 1 month U.S. LIBOR + 3.200% 7.075% 3/15/34 (d)(f)(g) <br>| 567000 | 522228 |
| Series 2019-RLJ Class D, 1 month U.S. LIBOR + 1.950% 5.825% 4/15/36 (d)(f)(g) <br>| 1045000 | 998988 |
| Series 2021-JACX Class E, 1 month U.S. LIBOR + 3.750% 7.625% 9/15/38 (d)(f)(g) <br>| 627000 | 559021 |
| Series 2022-DKLX: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.150% 4.945% 1/15/39 (d)(f)(g) | 9488000 | 9139437 |
|  Class B, CME Term SOFR 1 Month Index + 1.550% 5.345% 1/15/39 (d)(f)(g) | 1792000 | 1707624 |
|  Class C, CME Term SOFR 1 Month Index + 2.150% 5.945% 1/15/39 (d)(f)(g) | 1279000 | 1205332 |
|  sequential payer Series 2019-BPR:  |  |  |
| Class AMP, 3.287% 11/5/32 (d) <br>| 6400000 | 5921628 |
| Class ANM, 3.112% 11/5/32 (d) <br>| 7809000 | 7221802 |
|  Series 2015-200P Class F, 3.7157% 4/14/33 (d)(f) | 455000 | 370179 |
|  Series 2019-BPR:  |  |  |
| Class BNM, 3.465% 11/5/32 (d) <br>| 1753000 | 1546725 |
| Class CNM, 3.8425% 11/5/32 (d)(f) <br>| 725000 | 605314 |
| BANK: |  |  |
|  sequential payer:  |  |  |
| Series 2019-BN21 Class A5, 2.851% 10/17/52 <br>| 1355000 | 1169451 |
| Series 2021-BN35 Class A5, 2.285% 6/15/64 <br>| 27000 | 21682 |
| Series 2022-BNK42: <br>|  |  |
|  Class D, 2.5% 6/15/55 (d) | 531000 | 313762 |
|  Class E, 2.5% 6/15/55 (d) | 416000 | 221837 |
|  Series 2017-BNK4 Class D, 3.357% 5/15/50 (d) | 782000 | 558219 |
|  Series 2017-BNK6 Class D, 3.1% 7/15/60 (d) | 455000 | 332817 |
|  Series 2017-BNK8:  |  |  |
| Class D, 2.6% 11/15/50 (d) <br>| 960000 | 646186 |
| Class E, 2.8% 11/15/50 (d) <br>| 609000 | 346521 |
|  Series 2018-BN12 Class D, 3% 5/15/61 (d) | 487000 | 329681 |
|  Series 2018-BN15:  |  |  |
| Class D, 3% 11/15/61 (d) <br>| 430000 | 295676 |
| Class E, 3% 11/15/61 (d) <br>| 430000 | 273434 |
|  Series 2019-BN18 Class D, 3% 5/15/62 (d) | 648000 | 450689 |
|  Series 2019-BN19 Class D, 3% 8/15/61 (d) | 946000 | 641889 |
|  Series 2020-BN25 Class C, 3.4674% 1/15/63 (f) | 775000 | 584539 |
|  Series 2020-BN27 Class D, 2.5% 4/15/63 (d) | 243000 | 156937 |
|  Series 2020-BN28 Class E, 2.5% 3/15/63 (d) | 252000 | 146220 |
|  Series 2020-BN29 Class E, 2.5% 11/15/53 (d) | 294000 | 168954 |
|  Series 2020-BN30:  |  |  |
| Class E, 2.5% 12/15/53 (d) <br>| 189000 | 104390 |
| Class MCDG, 3.0155% 12/15/53 (f) <br>| 2104000 | 1263052 |
|  Series 2021-BN38 Class C, 3.3243% 12/15/64 (f) | 146000 | 105129 |
|  Series 2022-BNK43 Class D, 3% 8/15/55 (d) | 994000 | 594490 |
|  Series 2022-BNK44 Class C, 5.7462% 11/15/32 (f) | 819000 | 685946 |
| Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3: |  |  |
|  Class C, 4.352% 2/15/50 (f) | 347000 | 298528 |
|  Class D, 3.25% 2/15/50 (d) | 675000 | 509066 |
| Bank of America Commercial Mortgage Trust Series 2016-UB10: |  |  |
|  Class D, 3% 7/15/49 (d) | 1180000 | 907072 |
|  Class XA, 1.9064% 7/15/49 (f)(m) | 9132198 | 403857 |
| Barclays Commercial Mortgage Securities LLC Series 2019-C5 Class D, 2.5% 11/15/52 (d) | 188000 | 123294 |
| BBCMS Series 2022-C15 Class C, 3.9588% 4/15/55 (f) | 129000 | 96108 |
| BBCMS Mortgage Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2020-C8 Class E, 2.25% 10/15/53 (d) <br>| 830000 | 470199 |
| Series 2022-C14 Class A5, 2.946% 2/15/55 <br>| 589000 | 495431 |
|  Series 2016-ETC:  |  |  |
| Class D, 3.7292% 8/14/36 (d)(f) <br>| 483000 | 385369 |
| Class E, 3.7292% 8/14/36 (d)(f) <br>| 363000 | 272644 |
|  Series 2019-C3 Class C, 4.178% 5/15/52  | 273000 | 225523 |
|  Series 2020-C6 Class E, 2.4% 2/15/53 (d) | 348000 | 208276 |
|  Series 2020-C7 Class D, 3.7169% 4/15/53 (d)(f) | 210000 | 138721 |
|  Series 2022-C16:  |  |  |
| Class A5, 4.6% 6/15/55 <br>| 1108000 | 1064740 |
| Class B, 4.6% 6/15/55 <br>| 441000 | 373555 |
|  Series 2022-C17 Class B, 4.889% 9/15/55  | 588000 | 530852 |
|  Series 2022-C18 Class B, 6.1482% 12/15/55 (f) | 756000 | 758288 |
| Benchmark Mortgage Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2018-B4 Class A5, 4.121% 7/15/51 <br>| 1536000 | 1455084 |
| Series 2019-B14: <br>|  |  |
|  Class 225D, 3.4041% 12/15/62 (d)(f) | 399000 | 330821 |
|  Class 225E, 3.4041% 12/15/62 (d)(f) | 269000 | 223926 |
| Series 2020-B20 Class E, 2% 10/15/53 (d) <br>| 588000 | 324384 |
|  Series 2018-B6 Class D, 3.2587% 10/10/51 (d)(f) | 613000 | 442775 |
|  Series 2018-B7:  |  |  |
| Class D, 3% 5/15/53 (d)(f) <br>| 351000 | 250757 |
| Class E, 3% 5/15/53 (d)(f) <br>| 351000 | 234246 |
|  Series 2019-B12 Class B, 3.5702% 8/15/52  | 462000 | 383330 |
|  Series 2019-B13 Class D, 2.5% 8/15/57 (d) | 672000 | 440037 |
|  Series 2019-B14 Class XA, 0.9039% 12/15/62 (f)(m) | 16792065 | 543148 |
|  Series 2020-B18:  |  |  |
| Class AGNG, 4.5348% 7/15/53 (d)(f) <br>| 1113000 | 896049 |
| Class D, 2.25% 7/15/53 (d) <br>| 777000 | 485993 |
|  Series 2020-B21:  |  |  |
| Class D, 2% 12/17/53 (d) <br>| 446000 | 262022 |
| Class E, 2% 12/17/53 (d) <br>| 420000 | 220824 |
|  Series 2020-B22 Class E, 2% 1/15/54 (d) | 502000 | 273415 |
|  Series 2020-IG2:  |  |  |
| Class C, 3.4028% 9/15/48 (d)(f) <br>| 315000 | 188398 |
| Class D, 3.4028% 9/15/48 (d)(f) <br>| 1503000 | 761205 |
|  Series 2020-IG3 Class 825E, 3.0763% 9/15/48 (d)(f) | 789000 | 557465 |
|  Series 2021-B25:  |  |  |
| Class 300D, 3.094% 4/15/54 (d)(f) <br>| 850000 | 589565 |
| Class 300E, 3.094% 4/15/54 (d)(f) <br>| 282000 | 190369 |
|  Series 2022-B35:  |  |  |
| Class C, 4.5935% 5/15/55 (f) <br>| 719000 | 553001 |
| Class D, 2.5% 5/15/55 (d) <br>| 949000 | 548001 |
|  Series 2022-B36 Class D, 2.5% 7/15/55 (d) | 712000 | 389079 |
|  Series 2022-B37 Class C, 5.9431% 11/15/55  | 823000 | 728572 |
| BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 5.925% 11/15/28 (d)(f)(g) | 6971000 | 6874734 |
| BHP Trust floater Series 2019-BXHP Class F, 1 month U.S. LIBOR + 2.930% 6.813% 8/15/36 (d)(f)(g) | 319900 | 294647 |
| BMO Mortgage Trust: |  |  |
|  Series 2022-C1:  |  |  |
| Class 360D, 4.0699% 2/15/42 (d)(f) <br>| 441000 | 281782 |
| Class 360E, 4.0699% 2/15/42 (d)(f) <br>| 546000 | 348707 |
|  Series 2022-C3 Class D, 2.5% 9/15/54 (d) | 361000 | 199709 |
| BPR Trust floater Series 2022-OANA: |  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.890% 5.6923% 4/15/37 (d)(f)(g) | 32831000 | 31946362 |
|  Class B, CME Term SOFR 1 Month Index + 2.440% 6.2413% 4/15/37 (d)(f)(g) | 10615000 | 9943249 |
|  Class D, CME Term SOFR 1 Month Index + 3.690% 7.4893% 4/15/37 (d)(f)(g) | 1327000 | 1208947 |
| Braemar Hotels & Resorts Trust floater Series 2018-PRME Class E, 1 month U.S. LIBOR + 2.400% 6.275% 6/15/35 (d)(f)(g) | 168000 | 153664 |
| Bx 2021-Xl2 floater Series 2021-XL2 Class J, 1 month U.S. LIBOR + 3.890% 7.765% 10/15/38 (d)(f)(g) | 1934981 | 1771337 |
| BX Commercial Mortgage Trust: |  |  |
|  floater:  |  |  |
| Series 2020-VKNG Class E, 1 month U.S. LIBOR + 2.100% 5.9753% 10/15/37 (d)(f)(g) <br>| 262500 | 242729 |
| Series 2021-CIP Class G, 1 month U.S. LIBOR + 3.960% 7.844% 12/15/38 (d)(f)(g) <br>| 998000 | 860760 |
| Series 2021-MC Class G, 1 month U.S. LIBOR + 3.080% 6.9618% 4/15/34 (d)(f)(g) <br>| 397500 | 338459 |
| Series 2021-PAC: <br>|  |  |
|  Class A, 1 month U.S. LIBOR + 0.680% 4.5651% 10/15/36 (d)(f)(g) | 18877000 | 18013519 |
|  Class B, 1 month U.S. LIBOR + 0.890% 4.7748% 10/15/36 (d)(f)(g) | 2565000 | 2408686 |
|  Class C, 1 month U.S. LIBOR + 1.090% 4.9746% 10/15/36 (d)(f)(g) | 3433000 | 3198040 |
|  Class D, 1 month U.S. LIBOR + 1.290% 5.1743% 10/15/36 (d)(f)(g) | 3333000 | 3064261 |
|  Class E, 1 month U.S. LIBOR + 1.940% 5.8235% 10/15/36 (d)(f)(g) | 11589000 | 10647338 |
|  Class G, 1 month U.S. LIBOR + 2.940% 6.8221% 10/15/36 (d)(f)(g) | 798000 | 716699 |
| Series 2021-VINO Class G, 1 month U.S. LIBOR + 3.950% 7.8273% 5/15/38 (d)(f)(g) <br>| 1980000 | 1803303 |
| Series 2022-LP2: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.010% 4.8072% 2/15/39 (d)(f)(g) | 26684050 | 25598153 |
|  Class B, CME Term SOFR 1 Month Index + 1.310% 5.1066% 2/15/39 (d)(f)(g) | 6745952 | 6366022 |
|  Class C, CME Term SOFR 1 Month Index + 1.560% 5.356% 2/15/39 (d)(f)(g) | 6745952 | 6308225 |
|  Class D, CME Term SOFR 1 Month Index + 1.960% 5.7551% 2/15/39 (d)(f)(g) | 6745952 | 6236791 |
|  floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 4.751% 11/15/32 (d)(f)(g) | 582243 | 568778 |
|  Series 2020-VIVA:  |  |  |
| Class D, 3.667% 3/11/44 (d)(f) <br>| 2936000 | 2153152 |
| Class E, 3.667% 3/11/44 (d)(f) <br>| 2839000 | 1985330 |
| Bx Commercial Mortgage Trust 2 floater Series 2022-LP2 Class G, CME Term SOFR 1 Month Index + 4.100% 7.9001% 2/15/39 (d)(f)(g) | 1804150 | 1663374 |
| BX Trust: |  |  |
|  floater:  |  |  |
| Series 2017-APPL Class F, 1 month U.S. LIBOR + 4.250% 8.25% 7/15/34 (d)(f)(g) <br>| 594556 | 581489 |
| Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 6.501% 9/15/37 (d)(f)(g) <br>| 2781800 | 2401273 |
| Series 2019-ATL Class E, 1 month U.S. LIBOR + 2.230% 6.1116% 10/15/36 (d)(f)(g) <br>| 546000 | 503411 |
| Series 2019-IMC: <br>|  |  |
|  Class B, 1 month U.S. LIBOR + 1.300% 5.173% 4/15/34 (d)(f)(g) | 6526000 | 6270551 |
|  Class C, 1 month U.S. LIBOR + 1.600% 5.473% 4/15/34 (d)(f)(g) | 4315000 | 4102740 |
|  Class D, 1 month U.S. LIBOR + 1.900% 5.773% 4/15/34 (d)(f)(g) | 4529000 | 4225030 |
|  Class G, 1 month U.S. LIBOR + 3.600% 7.473% 4/15/34 (d)(f)(g) | 861000 | 792475 |
| Series 2019-XL: <br>|  |  |
|  Class B, CME Term SOFR 1 Month Index + 1.190% 4.9887% 10/15/36 (d)(f)(g) | 7544600 | 7364204 |
|  Class C, CME Term SOFR 1 Month Index + 1.360% 5.1587% 10/15/36 (d)(f)(g) | 6706500 | 6522918 |
|  Class D, CME Term SOFR 1 Month Index + 1.560% 5.3587% 10/15/36 (d)(f)(g) | 15080700 | 14529316 |
|  Class E, CME Term SOFR 1 Month Index + 1.910% 5.7087% 10/15/36 (d)(f)(g) | 21532200 | 20759999 |
|  Class F, CME Term SOFR 1 Month Index + 2.110% 5.9087% 10/15/36 (d)(f)(g) | 1955000 | 1876281 |
|  Class J, CME Term SOFR 1 Month Index + 2.760% 6.5587% 10/15/36 (d)(f)(g) | 4038350 | 3810277 |
| Series 2021-21M Class H, 1 month U.S. LIBOR + 4.010% 7.885% 10/15/36 (d)(f)(g) <br>| 422422 | 373264 |
| Series 2021-ACNT Class G, 1 month U.S. LIBOR + 3.290% 7.171% 11/15/38 (d)(f)(g) <br>| 672000 | 617817 |
| Series 2021-ARIA: <br>|  |  |
|  Class F, 1 month U.S. LIBOR + 2.590% 6.4685% 10/15/36 (d)(f)(g) | 1385000 | 1212344 |
|  Class G, 1 month U.S. LIBOR + 3.140% 7.0171% 10/15/36 (d)(f)(g) | 2109000 | 1826062 |
| Series 2021-BXMF Class G, 1 month U.S. LIBOR + 3.340% 7.2245% 10/15/26 (d)(f)(g) <br>| 1869000 | 1641189 |
| Series 2021-LBA: <br>|  |  |
|  Class FJV, 1 month U.S. LIBOR + 2.400% 6.276% 2/15/36 (d)(f)(g) | 331000 | 292731 |
|  Class FV, 1 month U.S. LIBOR + 2.400% 6.276% 2/15/36 (d)(f)(g) | 1094000 | 967515 |
| Series 2021-MFM1: <br>|  |  |
|  Class F, 1 month U.S. LIBOR + 3.000% 6.8753% 1/15/34 (d)(f)(g) | 2119000 | 1958077 |
|  Class G, 1 month U.S. LIBOR + 3.900% 7.7753% 1/15/34 (d)(f)(g) | 114000 | 103184 |
| Series 2021-SDMF Class F, 1 month U.S. LIBOR + 1.930% 5.812% 9/15/34 (d)(f)(g) <br>| 441000 | 406736 |
| Series 2021-SOAR: <br>|  |  |
|  Class F, 6.226% 6/15/38 (d)(f) | 1316031 | 1220350 |
|  Class G, 6.676% 6/15/38 (d)(f) | 312632 | 286650 |
|  Class J, 7.626% 6/15/38 (d)(f) | 815820 | 747967 |
| Series 2021-VOLT: <br>|  |  |
|  Class E, 1 month U.S. LIBOR + 2.000% 5.8753% 9/15/36 (d)(f)(g) | 714000 | 664340 |
|  Class F, 1 month U.S. LIBOR + 2.400% 6.2753% 9/15/36 (d)(f)(g) | 230000 | 212058 |
|  Class G, 1 month U.S. LIBOR + 2.850% 6.7253% 9/15/36 (d)(f)(g) | 1440000 | 1315944 |
| Series 2022-GPA: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 2.160% 5.9593% 10/15/39 (d)(f)(g) | 9932000 | 9888437 |
|  Class D, CME Term SOFR 1 Month Index + 4.060% 7.8553% 10/15/39 (d)(f)(g) | 1441000 | 1421140 |
| Series 2022-IND: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.490% 5.3019% 4/15/37 (d)(f)(g) | 19014196 | 18472057 |
|  Class B, CME Term SOFR 1 Month Index + 1.940% 5.7509% 4/15/37 (d)(f)(g) | 8559521 | 8182821 |
|  Class C, CME Term SOFR 1 Month Index + 2.290% 6.1009% 4/15/37 (d)(f)(g) | 1931233 | 1825351 |
|  Class D, CME Term SOFR 1 Month Index + 2.830% 6.6499% 4/15/37 (d)(f)(g) | 1616957 | 1516659 |
|  Class F, CME Term SOFR 1 Month Index + 4.780% 8.5969% 4/15/37 (d)(f)(g) | 2216076 | 2063360 |
| Series 2022-LBA6: <br>|  |  |
|  Class C, CME Term SOFR 1 Month Index + 1.600% 5.3942% 1/15/39 (d)(f)(g) | 577000 | 538420 |
|  Class F, CME Term SOFR 1 Month Index + 3.350% 7.1443% 1/15/39 (d)(f)(g) | 1160000 | 1056571 |
|  Class G, CME Term SOFR 1 Month Index + 4.200% 7.9943% 1/15/39 (d)(f)(g) | 378000 | 344254 |
| Series 2022-VAMF Class F, CME Term SOFR 1 Month Index + 3.290% 7.0933% 1/15/39 (d)(f)(g) <br>| 91000 | 82561 |
|  floater sequential payer Series 2021-LGCY Class J, 1 month U.S. LIBOR + 3.190% 7.068% 10/15/36 (d)(f)(g) | 345000 | 300259 |
|  floater, sequential payer:  |  |  |
| Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 4.873% 4/15/34 (d)(f)(g) <br>| 8333000 | 8110251 |
| Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (d)(f)(g) <br>| 12577087 | 12355491 |
|  Series 2019-OC11:  |  |  |
| Class D, 4.0755% 12/9/41 (d)(f) <br>| 84000 | 66926 |
| Class E, 4.0755% 12/9/41 (d)(f) <br>| 3415000 | 2640560 |
| BXP Trust Series 2021-601L Class E, 2.868% 1/15/44 (d)(f) | 189000 | 110017 |
| BXSC Commercial Mortgage Trust floater Series 2022-WSS Class F, 9.124% 3/15/35 (d)(f) | 1534000 | 1422519 |
| CALI Mortgage Trust Series 2019-101C Class F, 4.4686% 3/10/39 (d)(f) | 976000 | 678496 |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE: |  |  |
|  Class F, 1 month U.S. LIBOR + 2.550% 6.423% 12/15/37 (d)(f)(g) | 100000 | 93906 |
|  Class G, 1 month U.S. LIBOR + 3.250% 7.123% 12/15/37 (d)(f)(g) | 2992000 | 2731313 |
| Camb Commercial Mortgage Trust Series 2021-CX2 Class D, 2.8636% 11/10/46 (d)(f) | 294000 | 201803 |
| CD Mortgage Trust Series 2017-CD3: |  |  |
|  Class C, 4.6983% 2/10/50 (f) | 813000 | 664814 |
|  Class D, 3.25% 2/10/50 (d) | 735000 | 488692 |
| CEDR Commercial Mortgage Trust floater Series 2022-SNAI Class F, CME Term SOFR 1 Month Index + 3.610% 7.4078% 2/15/39 (d)(f)(g) | 2211000 | 1915864 |
| CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (d) | 18147756 | 15633772 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (d)(f)(g) | 5780000 | 5612808 |
|  Class B, 1 month U.S. LIBOR + 1.250% 5.1253% 11/15/36 (d)(f)(g) | 1600000 | 1539636 |
| CHC Commercial Mortgage Trust floater Series 2019-CHC: |  |  |
|  Class A, 1 month U.S. LIBOR + 1.120% 4.995% 6/15/34 (d)(f)(g) | 15924750 | 15614074 |
|  Class B, 1 month U.S. LIBOR + 1.500% 5.375% 6/15/34 (d)(f)(g) | 3135325 | 3032399 |
|  Class C, 1 month U.S. LIBOR + 1.750% 5.625% 6/15/34 (d)(f)(g) | 3541260 | 3390497 |
|  Class E, 1 month U.S. LIBOR + 2.350% 6.225% 6/15/34 (d)(f)(g) | 1646567 | 1544268 |
|  Class F, 1 month U.S. LIBOR + 2.600% 6.4832% 6/15/34 (d)(f)(g) | 2125947 | 1945106 |
| CIM Retail Portfolio Trust floater Series 2021-RETL: |  |  |
|  Class C, 1 month U.S. LIBOR + 2.300% 6.176% 8/15/36 (d)(f)(g) | 162932 | 151413 |
|  Class D, 1 month U.S. LIBOR + 3.050% 6.926% 8/15/36 (d)(f)(g) | 2245500 | 2061331 |
| Citigroup Commercial Mortgage Trust: |  |  |
|  Series 2013-375P Class E, 3.6348% 5/10/35 (d)(f) | 715000 | 594370 |
|  Series 2013-GC15 Class D, 5.3345% 9/10/46 (d)(f) | 1200000 | 1126036 |
|  Series 2015-GC29 Class XA, 1.1557% 4/10/48 (f)(m) | 18411637 | 345454 |
|  Series 2015-GC33 Class XA, 1.0252% 9/10/58 (f)(m) | 29557463 | 570982 |
|  Series 2016-C3 Class D, 3% 11/15/49 (d) | 829000 | 518699 |
|  Series 2016-P4 Class D, 4.0985% 7/10/49 (d)(f) | 965000 | 757274 |
|  Series 2016-P6 Class XA, 0.7018% 12/10/49 (f)(m) | 21410102 | 384476 |
|  Series 2019-GC41:  |  |  |
| Class D, 3% 8/10/56 (d) <br>| 546000 | 365302 |
| Class E, 3% 8/10/56 (d) <br>| 462000 | 294406 |
|  Series 2019-GC43 Class E, 3% 11/10/52 (d) | 651000 | 415445 |
|  Series 2020-420K Class E, 3.4222% 11/10/42 (d)(f) | 567000 | 398650 |
|  Series 2020-GC46:  |  |  |
| Class D, 2.6% 2/15/53 (d) <br>| 673000 | 441867 |
| Class E, 2.6% 2/15/53 (d) <br>| 76000 | 46112 |
|  Series 2022-GC48:  |  |  |
| Class D, 2.5% 6/15/55 (d) <br>| 1029000 | 594179 |
| Class E, 2.5% 6/15/55 (d) <br>| 840000 | 441184 |
| COMM Mortgage Trust: |  |  |
|  floater Series 2018-HCLV:  |  |  |
| Class F, 1 month U.S. LIBOR + 3.150% 7.023% 9/15/33 (d)(f)(g) <br>| 267000 | 222351 |
| Class G, 1 month U.S. LIBOR + 5.150% 9.0293% 9/15/33 (d)(f)(g) <br>| 300000 | 244703 |
|  sequential payer:  |  |  |
| Series 2013-CR7 Class AM, 3.314% 3/10/46 (d) <br>| 3375249 | 3343860 |
| Series 2013-LC6 Class E, 3.5% 1/10/46 (d) <br>| 527000 | 451027 |
| Series 2014-CR18 Class A5, 3.828% 7/15/47 <br>| 2605000 | 2518020 |
|  Series 2012-CR1:  |  |  |
| Class C, 5.4718% 5/15/45 (f) <br>| 426000 | 383398 |
| Class D, 5.4718% 5/15/45 (d)(f) <br>| 1160000 | 851145 |
| Class G, 2.462% 5/15/45 (c)(d) <br>| 425000 | 118624 |
|  Series 2012-LC4 Class C, 5.4749% 12/10/44 (f) | 94000 | 83815 |
|  Series 2013-CR10 Class D, 5.0312% 8/10/46 (d)(f) | 825000 | 777955 |
|  Series 2013-CR9 Class C, 4.4327% 7/10/45 (d)(f) | 190538 | 180980 |
|  Series 2013-LC6 Class D, 4.4286% 1/10/46 (d)(f) | 909000 | 886402 |
|  Series 2014-CR15 Class D, 4.8183% 2/10/47 (d)(f) | 173000 | 163691 |
|  Series 2014-CR20 Class XA, 1.0939% 11/10/47 (f)(m) | 33902521 | 473442 |
|  Series 2014-LC17 Class XA, 0.8149% 10/10/47 (f)(m) | 21172947 | 198263 |
|  Series 2014-UBS2 Class D, 5.1457% 3/10/47 (d)(f) | 542000 | 477957 |
|  Series 2014-UBS6 Class XA, 0.9848% 12/10/47 (f)(m) | 40567518 | 517524 |
|  Series 2015-3BP Class F, 3.3463% 2/10/35 (d)(f) | 845000 | 694966 |
|  Series 2015-LC19 Class D, 2.867% 2/10/48 (d) | 1230000 | 1043568 |
|  Series 2017-CD4 Class D, 3.3% 5/10/50 (d) | 971000 | 727727 |
|  Series 2019-CD4 Class C, 4.3497% 5/10/50 (f) | 739000 | 615651 |
| COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (d) | 202000 | 147378 |
| Commercial Mortgage Trust Series 2016-CD2: |  |  |
|  Class C, 4.1132% 11/10/49 (f) | 352000 | 287649 |
|  Class D, 2.8632% 11/10/49 (f) | 299000 | 167532 |
| Commercial Mortgage Trust pass-thru certificates: |  |  |
|  Series 2012-CR2:  |  |  |
| Class D, 5.0709% 8/15/45 (d)(f) <br>| 210000 | 195090 |
| Class E, 5.0709% 8/15/45 (d)(f) <br>| 1009000 | 854068 |
| Class F, 4.25% 8/15/45 (d) <br>| 1110000 | 828546 |
|  Series 2014-CR2 Class G, 4.25% 8/15/45 (c)(d) | 286000 | 157130 |
| Core Industrial Trust floater Series 2019-CORE Class E, 1 month U.S. LIBOR + 1.900% 5.775% 12/15/31 (d)(f)(g) | 655200 | 594587 |
| CPT Mortgage Trust sequential payer Series 2019-CPT: |  |  |
|  Class E, 3.0967% 11/13/39 (d)(f) | 714000 | 485312 |
|  Class F, 3.0967% 11/13/39 (d)(f) | 651000 | 417602 |
| Credit Suisse Commercial Mortgage Trust floater Series 2021-SOP2 Class F, 1 month U.S. LIBOR + 4.210% 8.0922% 6/15/34 (d)(g) | 636000 | 574173 |
| Credit Suisse First Boston Mortgage Securities Corp. Series 1998-C1 Class H, 6% 5/17/40 (d) | 2119 | 2118 |
| Credit Suisse Mortgage Trust: |  |  |
|  floater:  |  |  |
| Series 2019-ICE4: <br>|  |  |
|  Class B, 1 month U.S. LIBOR + 1.230% 5.105% 5/15/36 (d)(f)(g) | 9047000 | 8877747 |
|  Class C, 1 month U.S. LIBOR + 1.430% 5.305% 5/15/36 (d)(f)(g) | 5191000 | 5046975 |
|  Class F, 1 month U.S. LIBOR + 2.650% 6.525% 5/15/36 (d)(f)(g) | 378000 | 362081 |
| Series 2021-4SZN Class A, CME Term SOFR 1 Month Index + 3.960% 7.7615% 11/15/23 (d)(f)(g) <br>| 2667000 | 2508076 |
| Series 2022-NWPT Class B, CME Term SOFR 1 Month Index + 4.190% 7.9853% 9/9/24 (d)(f)(g) <br>| 1610000 | 1571425 |
|  sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (d) | 3999190 | 3569535 |
|  Series 2018-SITE:  |  |  |
| Class A, 4.284% 4/15/36 (d) <br>| 7384000 | 7003406 |
| Class B, 4.5349% 4/15/36 (d) <br>| 2263000 | 2127456 |
| Class C, 4.9414% 4/15/36 (d)(f) <br>| 1523000 | 1425944 |
| Class D, 4.9414% 4/15/36 (d)(f) <br>| 3047000 | 2800553 |
|  Series 2019-UVIL Class E, 3.3928% 12/15/41 (d)(f) | 525000 | 349041 |
|  Series 2021-BRIT Class A, CME Term SOFR 1 Month Index + 3.570% 7.3677% 5/15/23 (d)(f)(g) | 929160 | 864425 |
| CRSNT Trust floater Series 2021-MOON: |  |  |
|  Class F, 1 month U.S. LIBOR + 3.500% 7.38% 4/15/36 (d)(f)(g) | 231000 | 205060 |
|  Class G, 1 month U.S. LIBOR + 4.500% 8.38% 4/15/36 (d)(f)(g) | 126000 | 111753 |
| CSAIL Commercial Mortgage Trust: |  |  |
|  Series 2017-C8 Class D, 4.5867% 6/15/50 (d)(f) | 701000 | 513057 |
|  Series 2017-CX9 Class D, 4.1944% 9/15/50 (d)(f) | 284000 | 212000 |
|  Series 2018-CX11 Class C, 5.0049% 4/15/51 (f) | 282000 | 244039 |
|  Series 2019-C16 Class C, 4.2371% 6/15/52 (f) | 630000 | 509878 |
| CSMC Trust floater Series 2017-CHOP Class F, 1 month U.S. LIBOR + 4.350% 8.225% 7/15/32 (d)(f)(g) | 732000 | 657877 |
| DBCCRE Mortgage Trust Series 2014-ARCP: |  |  |
|  Class D, 5.099% 1/10/34 (d)(f) | 255000 | 234212 |
|  Class E, 5.099% 1/10/34 (d)(f) | 818000 | 722024 |
| DBGS Mortgage Trust: |  |  |
|  floater Series 2018-BIOD Class G, 1 month U.S. LIBOR + 2.500% 6.355% 5/15/35 (d)(f)(g) | 652427 | 612440 |
|  Series 2018-C1:  |  |  |
| Class C, 4.7807% 10/15/51 (f) <br>| 189000 | 161086 |
| Class D, 3.0307% 10/15/51 (d)(f) <br>| 840000 | 600418 |
|  Series 2019-1735 Class F, 4.3344% 4/10/37 (d)(f) | 665000 | 440634 |
| DBJPM Mortgage Trust Series 2020-C9 Class D, 2.25% 9/15/53 (d) | 212000 | 130871 |
| DBUBS Mortgage Trust Series 2011-LC3A Class D, 5.5405% 8/10/44 (d)(f) | 394739 | 363160 |
| DC Office Trust Series 2019-MTC Class E, 3.1744% 9/15/45 (d)(f) | 250000 | 164715 |
| Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.614% 8/10/49 (f) | 218000 | 183313 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.700% 4.577% 11/15/38 (d)(f)(g) | 23453000 | 22372952 |
|  Class F, 1 month U.S. LIBOR + 2.660% 6.543% 11/15/38 (d)(f)(g) | 1326000 | 1201403 |
|  Class G, 1 month U.S. LIBOR + 3.110% 6.992% 11/15/38 (d)(f)(g) | 100000 | 88694 |
|  Class J, 1 month U.S. LIBOR + 3.610% 7.4909% 11/15/38 (d)(f)(g) | 1201000 | 1051225 |
| Extended Stay America Trust floater Series 2021-ESH: |  |  |
|  Class A, 1 month U.S. LIBOR + 1.080% 4.956% 7/15/38 (d)(f)(g) | 7387823 | 7105357 |
|  Class B, 1 month U.S. LIBOR + 1.380% 5.256% 7/15/38 (d)(f)(g) | 4207388 | 3996426 |
|  Class C, 1 month U.S. LIBOR + 1.700% 5.576% 7/15/38 (d)(f)(g) | 3101363 | 2945860 |
|  Class D, 1 month U.S. LIBOR + 2.250% 6.126% 7/15/38 (d)(f)(g) | 13524167 | 12812185 |
|  Class F, 1 month U.S. LIBOR + 3.700% 7.576% 7/15/38 (d)(f)(g) | 1868432 | 1757197 |
| Freddie Mac Series 2022-K150 Class A2, 3.71% 11/25/32  | 4500000 | 4240420 |
| GS Mortgage Securities Corp. II Series 2010-C1: |  |  |
|  Class B, 5.148% 8/10/43 (d) | 52755 | 51846 |
|  Class X, 0.5769% 8/10/43 (d)(f)(m) | 227415 | 545 |
| GS Mortgage Securities Corp. Trust floater: |  |  |
|  Series 2019-70P Class F, 1 month U.S. LIBOR + 2.650% 6.525% 10/15/36 (d)(f)(g) | 1717000 | 1550914 |
|  Series 2022-SHIP Class D, CME Term SOFR 1 Month Index + 1.600% 5.4012% 8/15/36 (d)(f)(g) | 963000 | 927221 |
| GS Mortgage Securities Trust: |  |  |
|  floater:  |  |  |
| Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 5.823% 9/15/31 (d)(f)(g) <br>| 12090272 | 11853295 |
| Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 4.97% 10/15/31 (d)(f)(g) <br>| 10353000 | 9760629 |
| Series 2021-IP: <br>|  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 4.825% 10/15/36 (d)(f)(g) | 13201000 | 12286935 |
|  Class B, 1 month U.S. LIBOR + 1.150% 5.025% 10/15/36 (d)(f)(g) | 1550000 | 1433460 |
|  Class C, 1 month U.S. LIBOR + 1.550% 5.425% 10/15/36 (d)(f)(g) | 1277000 | 1170321 |
|  Series 2011-GC5:  |  |  |
| Class C, 5.299% 8/10/44 (d)(f) <br>| 505077 | 388681 |
| Class D, 5.299% 8/10/44 (d)(f) <br>| 342592 | 141243 |
| Class E, 5.299% 8/10/44 (c)(d)(f) <br>| 424043 | 36556 |
| Class F, 4.5% 8/10/44 (c)(d) <br>| 733782 | 2574 |
|  Series 2012-GCJ9:  |  |  |
| Class D, 4.6339% 11/10/45 (d)(f) <br>| 1059000 | 1047775 |
| Class E, 4.6339% 11/10/45 (d)(f) <br>| 510000 | 435589 |
|  Series 2013-GC10 Class D, 4.5609% 2/10/46 (d)(f) | 334000 | 304718 |
|  Series 2013-GC12 Class D, 4.5614% 6/10/46 (d)(f) | 138482 | 133635 |
|  Series 2013-GC16:  |  |  |
| Class C, 5.4881% 11/10/46 (f) <br>| 241000 | 231777 |
| Class D, 5.4881% 11/10/46 (d)(f) <br>| 634000 | 593582 |
| Class F, 3.5% 11/10/46 (d) <br>| 536000 | 481673 |
|  Series 2014-GC20 Class XA, 1.1766% 4/10/47 (f)(m) | 35514300 | 326863 |
|  Series 2015-GC34 Class XA, 1.3589% 10/10/48 (f)(m) | 9115059 | 250800 |
|  Series 2016-GS2 Class D, 2.753% 5/10/49 (d) | 386000 | 298400 |
|  Series 2016-GS4 Class C, 4.0792% 11/10/49 (f) | 264000 | 224744 |
|  Series 2017-GS6 Class D, 3.243% 5/10/50 (d) | 950000 | 715146 |
|  Series 2018-GS9 Class D, 3% 3/10/51 (d) | 476000 | 333911 |
|  Series 2019-GC38 Class D, 3% 2/10/52 (d) | 543000 | 382722 |
|  Series 2019-GC39 Class D, 3% 5/10/52 (d) | 672000 | 465423 |
|  Series 2019-GC40 Class D, 3% 7/10/52 (d) | 525000 | 367183 |
|  Series 2019-GC42:  |  |  |
| Class D, 2.8% 9/1/52 (d) <br>| 727000 | 492474 |
| Class E, 2.8% 9/1/52 (d) <br>| 609000 | 386297 |
|  Series 2019-GS5 Class C, 4.299% 3/10/50 (f) | 651000 | 542136 |
|  Series 2019-GSA1 Class E, 2.8% 11/10/52 (d) | 395000 | 249365 |
|  Series 2020-GC45:  |  |  |
| Class D, 2.85% 2/13/53 (d) <br>| 525000 | 351014 |
| Class SWD, 3.3258% 12/13/39 (d)(f) <br>| 399000 | 257031 |
|  Series 2020-GC47 Class D, 3.5696% 5/12/53 (d)(f) | 189000 | 132208 |
|  Series 2021-RENT Class G, 1 month U.S. LIBOR + 5.700% 9.6386% 11/21/35 (d)(f)(g) | 1725126 | 1549128 |
| Hilton U.S.A. Trust: |  |  |
|  Series 2016-HHV:  |  |  |
| Class E, 4.3333% 11/5/38 (d)(f) <br>| 1881000 | 1609235 |
| Class F, 4.3333% 11/5/38 (d)(f) <br>| 1113000 | 940470 |
|  Series 2016-SFP:  |  |  |
| Class D, 4.9269% 11/5/35 (d) <br>| 399000 | 374383 |
| Class F, 6.1552% 11/5/35 (d) <br>| 846000 | 783767 |
| Home Partners of America Trust Series 2019-1: |  |  |
|  Class E, 3.604% 9/17/39 (d) | 322977 | 275445 |
|  Class F, 4.101% 9/17/39 (d) | 80947 | 69261 |
| Hudson Yards Mortgage Trust: |  |  |
|  Series 2019-30HY Class E, 3.5579% 7/10/39 (d)(f) | 483000 | 342532 |
|  Series 2019-55HY Class F, 3.0409% 12/10/41 (d)(f) | 378000 | 256568 |
| ILPT Commercial Mortgage Trust floater Series 2022-LPF2: |  |  |
|  Class D, CME Term SOFR 1 Month Index + 4.190% 7.9863% 10/15/39 (d)(f)(g) | 630000 | 616212 |
|  Class E, CME Term SOFR 1 Month Index + 5.940% 9.7343% 10/15/39 (d)(f)(g) | 777000 | 765622 |
| Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (d) | 592000 | 519003 |
| Intown Mortgage Trust: |  |  |
|  floater Series 2022-STAY Class E, CME Term SOFR 1 Month Index + 5.030% 8.8254% 8/15/39 (d)(f)(g) | 614000 | 594453 |
|  floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 6.2826% 8/15/39 (d)(f)(g) | 17389000 | 17214689 |
| J.P. Morgan Chase Commercial Mortgage Securities floater Series 2022-NXSS Class D, CME Term SOFR 1 Month Index + 4.120% 7.9233% 8/15/39 (d)(f)(g) | 934000 | 926970 |
| JPMBB Commercial Mortgage Securities Trust: |  |  |
|  Series 2014-C19 Class XA, 0.7761% 4/15/47 (f)(m) | 3401684 | 19326 |
|  Series 2014-C23 Class UH5, 4.7094% 9/15/47 (d) | 106000 | 77834 |
|  Series 2014-C26 Class D, 4.0155% 1/15/48 (d)(f) | 2126000 | 1795169 |
|  Series 2015-C30 Class XA, 0.5754% 7/15/48 (f)(m) | 22089421 | 210024 |
|  Series 2015-C32 Class C, 4.8052% 11/15/48 (f) | 1368000 | 989913 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.5203% 12/15/49 (d)(f) | 696000 | 518924 |
| JPMDB Commercial Mortgage Securities Trust: |  |  |
|  Series 2016-C4:  |  |  |
| Class C, 3.1955% 12/15/49 (f) <br>| 343000 | 284468 |
| Class D, 3.1955% 12/15/49 (d)(f) <br>| 681000 | 489907 |
|  Series 2017-C7 Class D, 3% 10/15/50 (d) | 1388000 | 994516 |
|  Series 2018-C8 Class D, 3.4712% 6/15/51 (d)(f) | 223000 | 151273 |
|  Series 2019-COR6:  |  |  |
| Class D, 2.5% 11/13/52 (d) <br>| 315000 | 211037 |
| Class E, 2.5% 11/13/52 (d) <br>| 609000 | 379992 |
|  Series 2020-COR7 Class D, 1.75% 5/13/53 (d) | 399000 | 236232 |
| JPMorgan Chase Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2019-MFP:  |  |  |
| Class E, 1 month U.S. LIBOR + 2.160% 6.035% 7/15/36 (d)(f)(g) <br>| 567000 | 530331 |
| Class F, 1 month U.S. LIBOR + 3.000% 6.875% 7/15/36 (d)(f)(g) <br>| 189000 | 173464 |
|  Series 2011-C3:  |  |  |
| Class E, 5.709% 2/15/46 (d)(f) <br>| 637000 | 275407 |
| Class G, 4.409% 2/15/46 (d)(f) <br>| 202000 | 16029 |
| Class H, 4.409% 2/15/46 (c)(d)(f) <br>| 453000 | 43678 |
|  Series 2012-CBX:  |  |  |
| Class E, 4.8344% 6/15/45 (d)(f) <br>| 534936 | 457798 |
| Class F, 4% 6/15/45 (c)(d) <br>| 615000 | 231788 |
| Class G 4% 6/15/45 (d) <br>| 674000 | 163386 |
|  Series 2013-LC11:  |  |  |
| Class C, 3.9582% 4/15/46 (f) <br>| 584000 | 552235 |
| Class D, 4.3719% 4/15/46 (f) <br>| 907000 | 752727 |
| Class F, 3.25% 4/15/46 (c)(d)(f) <br>| 1014000 | 205234 |
|  Series 2014-DSTY:  |  |  |
| Class D, 3.9314% 6/10/27 (c)(d)(f) <br>| 516000 | 1290 |
| Class E, 3.9314% 6/10/27 (c)(d)(f) <br>| 830000 | 2069 |
|  Series 2018-AON Class F, 4.767% 7/5/31 (d)(f) | 409000 | 329988 |
|  Series 2018-WPT:  |  |  |
| Class AFX, 4.2475% 7/5/33 (d) <br>| 4763000 | 4448281 |
| Class CFX, 4.9498% 7/5/33 (d) <br>| 1323000 | 1152726 |
| Class DFX, 5.3503% 7/5/33 (d) <br>| 2354000 | 2029455 |
| Class EFX, 5.5423% 7/5/33 (d)(f) <br>| 2783000 | 2373209 |
| Class XAFX, 1.2948% 7/5/33 (d)(f)(m) <br>| 19961000 | 75443 |
|  Series 2019-OSB Class E, 3.9089% 6/5/39 (d)(f) | 588000 | 448935 |
|  Series 2020-NNN:  |  |  |
| Class EFX, 3.972% 1/16/37 (d) <br>| 401000 | 339880 |
| Class FFX, 4.6254% 1/16/37 (d) <br>| 642000 | 526479 |
| Class GFX, 4.8445% 1/16/37 (d)(f) <br>| 252000 | 202961 |
| KNDL Mortgage Trust floater Series 2019-KNSQ Class F, 1 month U.S. LIBOR + 2.000% 5.873% 5/15/36 (d)(f)(g) | 924000 | 886993 |
| KNDR Trust floater Series 2021-KIND Class F, 1 month U.S. LIBOR + 3.950% 7.825% 8/15/38 (d)(f)(g) | 1105014 | 975467 |
| La Quita Mortgage Trust floater Series 2022-LAQ Class F, CME Term SOFR 1 Month Index + 5.970% 9.7818% 3/15/39 (d)(f)(g) | 519750 | 490932 |
| Liberty Street Trust Series 2016-225L: |  |  |
|  Class D, 4.8035% 2/10/36 (d)(f) | 213000 | 183957 |
|  Class E, 4.8035% 2/10/36 (d)(f) | 523000 | 434911 |
| Life Financial Services Trust floater Series 2022-BMR2: |  |  |
|  Class A1, CME Term SOFR 1 Month Index + 1.290% 5.0895% 5/15/39 (d)(f)(g) | 33586000 | 32575824 |
|  Class B, CME Term SOFR 1 Month Index + 1.790% 5.5882% 5/15/39 (d)(f)(g) | 16119000 | 15513006 |
|  Class C, CME Term SOFR 1 Month Index + 2.090% 5.8874% 5/15/39 (d)(f)(g) | 9032000 | 8669812 |
|  Class D, CME Term SOFR 1 Month Index + 2.540% 6.3362% 5/15/39 (d)(f)(g) | 8027000 | 7644775 |
|  Class E, CME Term SOFR 1 Month Index + 3.240% 7.0343% 5/15/39 (d)(f)(g) | 1302000 | 1233479 |
| LIFE Mortgage Trust floater Series 2021-BMR: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.700% 4.575% 3/15/38 (d)(f)(g) | 21552603 | 20714664 |
|  Class B, 1 month U.S. LIBOR + 0.880% 4.755% 3/15/38 (d)(f)(g) | 3263461 | 3091567 |
|  Class C, 1 month U.S. LIBOR + 1.100% 4.975% 3/15/38 (d)(f)(g) | 2053425 | 1934968 |
|  Class D, 1 month U.S. LIBOR + 1.400% 5.275% 3/15/38 (d)(f)(g) | 2855528 | 2683642 |
|  Class E, 1 month U.S. LIBOR + 1.750% 5.625% 3/15/38 (d)(f)(g) | 2494778 | 2338354 |
|  Class F, 1 month U.S. LIBOR + 2.350% 6.225% 3/15/38 (d)(f)(g) | 1421375 | 1328693 |
|  Class G, 1 month U.S. LIBOR + 2.950% 6.825% 3/15/38 (d)(f)(g) | 3679257 | 3430130 |
| Market Mortgage Trust Series 2020-525M Class F, 3.0386% 2/12/40 (d)(f) | 455000 | 249147 |
| MED Trust floater Series 2021-MDLN: |  |  |
|  Class F, 1 month U.S. LIBOR + 4.000% 7.876% 11/15/38 (d)(f)(g) | 1079000 | 987080 |
|  Class G, 1 month U.S. LIBOR + 5.250% 9.126% 11/15/38 (d)(f)(g) | 2533000 | 2231335 |
| Merit floater Series 2021-STOR: |  |  |
|  Class G, 1 month U.S. LIBOR + 2.750% 6.625% 7/15/38 (d)(f)(g) | 189000 | 172892 |
|  Class J, 1 month U.S. LIBOR + 3.950% 7.825% 7/15/38 (d)(f)(g) | 173000 | 155222 |
| MFT Trust Series 2020-B6 Class C, 3.3922% 8/10/40 (d)(f) | 399000 | 280024 |
| MHC Commercial Mortgage Trust floater Series 2021-MHC: |  |  |
|  Class F, 1 month U.S. LIBOR + 2.600% 6.476% 4/15/38 (d)(f)(g) | 105000 | 98162 |
|  Class G, 1 month U.S. LIBOR + 3.200% 7.076% 4/15/38 (d)(f)(g) | 2520000 | 2310917 |
| MHC Trust floater Series 2021-MHC2 Class F, 1 month U.S. LIBOR + 2.400% 6.275% 5/15/38 (d)(f)(g) | 1028000 | 945521 |
| MHP Commercial Mortgage Trust floater Series 2022-MHIL: |  |  |
|  Class F, CME Term SOFR 1 Month Index + 3.250% 7.0535% 1/15/27 (d)(f)(g) | 208907 | 191103 |
|  Class G, CME Term SOFR 1 Month Index + 3.950% 7.7518% 1/15/27 (d)(f)(g) | 612145 | 555826 |
| MOFT Trust Series 2020-ABC: |  |  |
|  Class D, 3.5926% 2/10/42 (d)(f) | 263000 | 175120 |
|  Class E, 3.5926% 2/10/42 (d)(f) | 194000 | 121903 |
| Morgan Stanley BAML Trust: |  |  |
|  sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31  | 386000 | 327381 |
|  Series 2012-C5 Class E, 4.7919% 8/15/45 (d)(f) | 159000 | 146853 |
|  Series 2012-C6 Class D, 4.6472% 11/15/45 (d)(f) | 811000 | 748499 |
|  Series 2012-C6, Class F, 4.6472% 11/15/45 (d)(f) | 378000 | 304454 |
|  Series 2013-C12 Class D, 4.9148% 10/15/46 (d)(f) | 713000 | 637434 |
|  Series 2013-C13:  |  |  |
| Class D, 5.0587% 11/15/46 (d)(f) <br>| 970000 | 887090 |
| Class E, 5.0587% 11/15/46 (d)(f) <br>| 435919 | 373170 |
|  Series 2013-C7 Class C, 4.1743% 2/15/46 (f) | 175000 | 173363 |
|  Series 2013-C8 Class D, 4.2065% 12/15/48 (d)(f) | 273000 | 257421 |
|  Series 2013-C9:  |  |  |
| Class C, 4.1466% 5/15/46 (f) <br>| 502000 | 483228 |
| Class D, 4.2346% 5/15/46 (d)(f) <br>| 938000 | 856602 |
| Class E, 4.2346% 5/15/46 (d)(f) <br>| 402000 | 356811 |
|  Series 2014-C17 Class XA, 1.1844% 8/15/47 (f)(m) | 32986424 | 335795 |
|  Series 2015-C25 Class XA, 1.1949% 10/15/48 (f)(m) | 14666079 | 297239 |
|  Series 2016-C30:  |  |  |
| Class C, 4.2323% 9/15/49 (f) <br>| 151000 | 127846 |
| Class D, 3% 9/15/49 (d) <br>| 138000 | 88957 |
|  Series 2016-C31 Class C, 4.4082% 11/15/49 (f) | 343000 | 278722 |
|  Series 2016-C32 Class C, 4.417% 12/15/49 (f) | 236000 | 196653 |
|  Series 2017-C33 Class D, 3.356% 5/15/50 (d) | 520000 | 388601 |
| Morgan Stanley Capital I Trust: |  |  |
|  floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 4.825% 12/15/36 (d)(f)(g) | 5100000 | 4753724 |
|  sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (d) | 16898000 | 15684617 |
|  Series 1998-CF1 Class G, 7.35% 7/15/32 (d)(f) | 1387 | 1371 |
|  Series 2011-C2:  |  |  |
| Class D, 5.385% 6/15/44 (d)(f) <br>| 634621 | 596176 |
| Class F, 5.385% 6/15/44 (c)(d)(f) <br>| 407000 | 262165 |
| Class XB, 0.4878% 6/15/44 (d)(f)(m) <br>| 1487182 | 5906 |
|  Series 2011-C3:  |  |  |
| Class C, 5.2525% 7/15/49 (d)(f) <br>| 79745 | 78433 |
| Class D, 5.2525% 7/15/49 (d)(f) <br>| 1176000 | 1129207 |
| Class E, 5.2525% 7/15/49 (c)(d)(f) <br>| 666000 | 588615 |
| Class F, 5.2525% 7/15/49 (c)(d)(f) <br>| 182000 | 121303 |
| Class G, 5.2525% 7/15/49 (c)(d)(f) <br>| 616400 | 317045 |
|  Series 2012-C4 Class D, 5.3359% 3/15/45 (d)(f) | 126391 | 116910 |
|  Series 2014-150E:  |  |  |
| Class C, 4.4382% 9/9/32 (d)(f) <br>| 238000 | 205012 |
| Class F, 4.4382% 9/9/32 (d)(f) <br>| 401000 | 301235 |
|  Series 2015-MS1:  |  |  |
| Class C, 4.1581% 5/15/48 (f) <br>| 266000 | 232372 |
| Class D, 4.1581% 5/15/48 (d)(f) <br>| 751000 | 617558 |
|  Series 2016-BNK2:  |  |  |
| Class C, 3% 11/15/49 (c)(d) <br>| 798000 | 593343 |
| Class D, 4.0182% 11/15/49 (f) <br>| 343000 | 284718 |
|  Series 2017-H1:  |  |  |
| Class C, 4.281% 6/15/50 <br>| 640000 | 549379 |
| Class D, 2.546% 6/15/50 (d) <br>| 1912000 | 1359895 |
|  Series 2018-H4 Class A4, 4.31% 12/15/51  | 4779000 | 4518199 |
|  Series 2018-MP Class E, 4.4185% 7/11/40 (d)(f) | 730000 | 524248 |
|  Series 2019-MEAD:  |  |  |
| Class B, 3.283% 11/10/36 (d)(f) <br>| 2441000 | 2203353 |
| Class C, 3.283% 11/10/36 (d)(f) <br>| 2343000 | 2040250 |
|  Series 2020-CNP Class D, 2.5085% 4/5/42 (d)(f) | 252000 | 160436 |
|  Series 2020-HR8 Class D, 2.5% 7/15/53 (d) | 420000 | 265880 |
|  Series 2020-L4, Class C, 3.536% 2/15/53  | 115000 | 87661 |
| MSCCG Trust floater sequential payer Series 2018-SELF Class F, 1 month U.S. LIBOR + 3.050% 6.923% 10/15/37 (d)(f)(g) | 443228 | 415524 |
| MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 5.0127% 9/5/47 (d)(f) | 170000 | 117597 |
| Natixis Commercial Mortgage Securities Trust: |  |  |
|  Series 2018-285M Class F, 3.9167% 11/15/32 (d)(f) | 170000 | 133183 |
|  Series 2018-TECH Class F, 1 month U.S. LIBOR + 3.000% 7.026% 11/15/34 (d)(f)(g) | 138000 | 129528 |
|  Series 2019-10K:  |  |  |
| Class E, 4.2724% 5/15/39 (d)(f) <br>| 231000 | 177640 |
| Class F, 4.2724% 5/15/39 (d)(f) <br>| 768000 | 538747 |
|  Series 2020-2PAC:  |  |  |
| Class AMZ2, 3.6167% 1/15/37 (d)(f) <br>| 399000 | 346797 |
| Class AMZ3, 3.6167% 1/15/37 (d)(f) <br>| 189000 | 162844 |
| NYT Mortgage Trust floater Series 2019-NYT Class F, 1 month U.S. LIBOR + 3.000% 6.875% 12/15/35 (d)(f)(g) | 775000 | 633280 |
| OPG Trust floater Series 2021-PORT: |  |  |
|  Class G, 1 month U.S. LIBOR + 2.390% 6.273% 10/15/36 (d)(f)(g) | 359821 | 329163 |
|  Class J, 1 month U.S. LIBOR + 3.340% 7.221% 10/15/36 (d)(f)(g) | 377641 | 338488 |
| PKHL Commercial Mortgage Trust floater Series 2021-MF: |  |  |
|  Class F, 1 month U.S. LIBOR + 3.350% 7.226% 7/15/38 (d)(f)(g) | 553000 | 495670 |
|  Class NR, 1 month U.S. LIBOR + 6.000% 9.876% 7/15/38 (d)(f)(g) | 157000 | 139302 |
| Prima Capital CRE Securitization Ltd. Series 2020-8A Class C, 3% 12/1/70 (d) | 1705000 | 1259637 |
| Prima Capital Ltd.: |  |  |
|  floater Series 2021-9A:  |  |  |
| Class B, 1 month U.S. LIBOR + 1.800% 5.7386% 12/15/37 (d)(f)(g) <br>| 4268000 | 4167562 |
| Class C, 1 month U.S. LIBOR + 2.350% 6.2886% 12/15/37 (d)(f)(g) <br>| 1785000 | 1668174 |
|  floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 5.3886% 12/15/37 (d)(f)(g) | 853710 | 847363 |
| Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (d) | 105911 | 108706 |
| SFO Commercial Mortgage Trust floater Series 2021-555 Class F, 1 month U.S. LIBOR + 3.650% 7.525% 5/15/38 (d)(f)(g) | 539000 | 459987 |
| SG Commercial Mortgage Securities Trust: |  |  |
|  Series 2019-PREZ Class F, 3.593% 9/15/39 (d)(f) | 747000 | 527512 |
|  Series 2020-COVE:  |  |  |
| Class F, 3.8518% 3/15/37 (d)(f) <br>| 1326000 | 1134864 |
| Class G, 3.8518% 3/15/37 (d)(f) <br>| 483000 | 396640 |
| SLG Office Trust Series 2021-OVA Class G, 2.8506% 7/15/41 (d) | 2113000 | 1308769 |
| SMRT Commercial Mortgage Trust floater Series 2022-MINI: |  |  |
|  Class E, CME Term SOFR 1 Month Index + 2.700% 6.495% 1/15/39 (d)(f)(g) | 1154000 | 1055651 |
|  Class F, CME Term SOFR 1 Month Index + 3.350% 7.145% 1/15/39 (d)(f)(g) | 903000 | 823782 |
| SOHO Trust Series 2021-SOHO Class D, 2.7865% 8/10/38 (d)(f) | 618000 | 413049 |
| SPGN Mortgage Trust floater Series 2022-TFLM: |  |  |
|  Class B, CME Term SOFR 1 Month Index + 2.000% 5.7943% 2/15/39 (d)(f)(g) | 4281000 | 4021887 |
|  Class C, CME Term SOFR 1 Month Index + 2.650% 6.4443% 2/15/39 (d)(f)(g) | 2226000 | 2075437 |
| SREIT Trust floater: |  |  |
|  Series 2021-IND Class G, 1 month U.S. LIBOR + 3.260% 7.1408% 10/15/38 (d)(f)(g) | 840000 | 742767 |
|  Series 2021-MFP:  |  |  |
| Class A, 1 month U.S. LIBOR + 0.730% 4.6061% 11/15/38 (d)(f)(g) <br>| 15989000 | 15277725 |
| Class B, 1 month U.S. LIBOR + 1.070% 4.9551% 11/15/38 (d)(f)(g) <br>| 9157000 | 8675079 |
| Class C, 1 month U.S. LIBOR + 1.320% 5.2043% 11/15/38 (d)(f)(g) <br>| 5687000 | 5359204 |
| Class D, 1 month U.S. LIBOR + 1.570% 5.4535% 11/15/38 (d)(f)(g) <br>| 3737000 | 3512240 |
| Class E, 1 month U.S. LIBOR + 2.020% 5.9021% 11/15/38 (d)(f)(g) <br>| 1298000 | 1216682 |
| Class F, 1 month U.S. LIBOR + 2.620% 6.5002% 11/15/38 (d)(f)(g) <br>| 552000 | 514653 |
| Class G, 1 month U.S. LIBOR + 2.970% 6.8491% 11/15/38 (d)(f)(g) <br>| 2415000 | 2190846 |
|  Series 2021-MFP2:  |  |  |
| Class G, 1 month U.S. LIBOR + 2.960% 6.8425% 11/15/36 (d)(f)(g) <br>| 615000 | 568769 |
| Class J, 1 month U.S. LIBOR + 3.910% 7.7905% 11/15/36 (d)(f)(g) <br>| 1795000 | 1649860 |
|  Series 2021-PALM Class G, 1 month U.S. LIBOR + 3.610% 7.4911% 10/15/34 (d)(f)(g) | 441000 | 395269 |
| STWD Trust floater sequential payer Series 2021-LIH: |  |  |
|  Class E, 1 month U.S. LIBOR + 2.900% 6.778% 11/15/36 (d)(f)(g) | 1281000 | 1174911 |
|  Class F, 1 month U.S. LIBOR + 3.550% 7.426% 11/15/36 (d)(f)(g) | 550000 | 502757 |
|  Class G, 1 month U.S. LIBOR + 4.200% 8.075% 11/15/36 (d)(f)(g) | 294000 | 268865 |
| SUMIT Mortgage Trust Series 2022-BVUE Class F, 2.9889% 2/12/41 (d)(f) | 104000 | 66024 |
| TPGI Trust floater Series 2021-DGWD: |  |  |
|  Class E, 1 month U.S. LIBOR + 2.350% 6.23% 6/15/26 (d)(f)(g) | 1391000 | 1272103 |
|  Class G, 1 month U.S. LIBOR + 3.850% 7.73% 6/15/26 (d)(f)(g) | 252000 | 231926 |
| Tricon Residential Trust Series 2022-SFR2 Class E, 7.507% 7/17/40 (d) | 1407000 | 1327702 |
| UBS Commercial Mortgage Trust: |  |  |
|  Series 2012-C1:  |  |  |
| Class D, 6.6606% 5/10/45 (c)(d)(f) <br>| 75137 | 68374 |
| Class E, 5% 5/10/45 (c)(d)(f) <br>| 325000 | 126750 |
| Class F, 5% 5/10/45 (c)(d)(f) <br>| 418000 | 21659 |
|  Series 2017-C7 Class XA, 1.1862% 12/15/50 (f)(m) | 27292091 | 970433 |
|  Series 2018-C8 Class C, 4.8664% 2/15/51 (f) | 189000 | 163390 |
| UBS-BAMLL Trust: |  |  |
|  Series 12-WRM Class D, 4.3793% 6/10/30 (c)(d)(f) | 201000 | 180879 |
|  Series 2012-WRM Class E, 4.3793% 6/10/30 (c)(d)(f) | 478000 | 372931 |
| VASA Trust: |  |  |
|  floater Series 2021-VASA Class G, 1 month U.S. LIBOR + 5.000% 8.875% 7/15/39 (d)(f)(g) | 168000 | 152941 |
|  floater sequential payer Series 2021-VASA Class F, 1 month U.S. LIBOR + 3.900% 7.775% 7/15/39 (d)(f)(g) | 767000 | 700082 |
| VLS Commercial Mortgage Trust: |  |  |
|  sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (d) | 12891000 | 10019562 |
|  Series 2020-LAB:  |  |  |
| Class B, 2.453% 10/10/42 (d) <br>| 800000 | 612471 |
| Class X, 0.5162% 10/10/42 (d)(f)(m) <br>| 19300000 | 524645 |
| VMC Finance Ltd. floater Series 2021-HT1 Class B, 1 month U.S. LIBOR + 4.500% 8.4386% 1/18/37 (d)(f)(g) | 2478000 | 2285768 |
| Wells Fargo Commercial Mortgage Trust: |  |  |
|  floater:  |  |  |
| Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 5.075% 5/15/31 (d)(f)(g) <br>| 8949000 | 8437297 |
| Series 2021-SAVE: <br>|  |  |
|  Class D, 1 month U.S. LIBOR + 2.500% 6.375% 2/15/40 (d)(f)(g) | 197258 | 173826 |
|  Class E, 1 month U.S. LIBOR + 3.650% 7.525% 2/15/40 (d)(f)(g) | 140898 | 123033 |
|  sequential payer Series 2020-C57 Class D, 2.5% 8/15/53 (d) | 581000 | 372610 |
|  Series 2015-C31 Class XA, 1.1084% 11/15/48 (f)(m) | 11634108 | 255917 |
|  Series 2015-NXS4 Class D, 3.8415% 12/15/48 (f) | 483000 | 409910 |
|  Series 2016-BNK1:  |  |  |
| Class C, 3.071% 8/15/49 <br>| 254000 | 197624 |
| Class D, 3% 8/15/49 (d) <br>| 266000 | 159124 |
|  Series 2016-C34 Class XA, 2.2294% 6/15/49 (f)(m) | 9542726 | 423900 |
|  Series 2016-LC25 Class C, 4.4874% 12/15/59 (f) | 328000 | 282923 |
|  Series 2016-NXS6 Class D, 3.059% 11/15/49 (d) | 733000 | 554839 |
|  Series 2017-RB1 Class D, 3.401% 3/15/50 (d) | 326000 | 235706 |
|  Series 2018-C43 Class C, 4.514% 3/15/51  | 228000 | 191372 |
|  Series 2018-C44 Class D, 3% 5/15/51 (d) | 1512000 | 1041836 |
|  Series 2018-C46 Class XA, 1.1006% 8/15/51 (f)(m) | 29080248 | 798904 |
|  Series 2018-C48 Class A5, 4.302% 1/15/52  | 4229000 | 4008626 |
| WF-RBS Commercial Mortgage Trust: |  |  |
|  sequential payer Series 2011-C4I Class G, 5% 6/15/44 (c)(f) | 203000 | 14496 |
|  Series 2011-C3:  |  |  |
| Class D, 5.4196% 3/15/44 (d)(f) <br>| 736257 | 294503 |
| Class E, 5% 3/15/44 (c)(d) <br>| 409000 | 2045 |
| Class F, 5% 3/15/44 (c)(d) <br>| 239015 | 21 |
|  Series 2011-C4:  |  |  |
| Class D, 4.9882% 6/15/44 (d)(f) <br>| 258000 | 230508 |
| Class E, 4.9882% 6/15/44 (d)(f) <br>| 183000 | 146524 |
|  Series 2011-C5:  |  |  |
| Class E, 5.7043% 11/15/44 (d)(f) <br>| 432623 | 410992 |
| Class F, 5.25% 11/15/44 (d)(f) <br>| 733000 | 667088 |
| Class G, 5.25% 11/15/44 (d)(f) <br>| 205000 | 178374 |
|  Series 2012-C7:  |  |  |
| Class C, 4.806% 6/15/45 (c)(f) <br>| 559854 | 398896 |
| Class E, 4.806% 6/15/45 (d)(f) <br>| 464226 | 35467 |
|  Series 2013-C11:  |  |  |
| Class D, 4.4052% 3/15/45 (d)(f) <br>| 443749 | 409044 |
| Class E, 4.4052% 3/15/45 (d)(f) <br>| 976128 | 811479 |
|  Series 2013-C13 Class D, 4.2887% 5/15/45 (d)(f) | 321000 | 308787 |
|  Series 2013-C16 Class D, 5.148% 9/15/46 (d)(f) | 115000 | 103439 |
|  Series 2013-UBS1 Class D, 5.1916% 3/15/46 (d)(f) | 455375 | 436689 |
|  Series 2014-C21 Class XA, 1.1633% 8/15/47 (f)(m) | 25270359 | 341109 |
|  Series 2014-C24 Class XA, 0.9868% 11/15/47 (f)(m) | 10142106 | 124699 |
|  Series 2014-LC14 Class XA, 1.416% 3/15/47 (f)(m) | 14385586 | 135548 |
| WFCM Series 2022-C62: |  |  |
|  Class C, 4.4956% 4/15/55 (f) | 1077000 | 793367 |
|  Class D, 2.5% 4/15/55 (d) | 756000 | 431658 |
| Worldwide Plaza Trust Series 2017-WWP: |  |  |
|  Class E, 3.7154% 11/10/36 (d)(f) | 198000 | 117986 |
|  Class F, 3.7154% 11/10/36 (d)(f) | 1082000 | 609987 |
| WP Glimcher Mall Trust Series 2015-WPG: |  |  |
|  Class PR1, 3.6332% 6/5/35 (d)(f) | 289000 | 228819 |
|  Class PR2, 3.6332% 6/5/35 (d)(f) | 755000 | 560119 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $986,267,783) |  | **911311784** |

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---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.4%** | &nbsp;&nbsp;**Municipal Securities - 0.4%** | &nbsp;&nbsp;**Municipal Securities - 0.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| California Gen. Oblig.: |  |  |
|  Series 2009:  |  |  |
| 7.3% 10/1/39 <br>| 10015000 | 12350202 |
| 7.35% 11/1/39 <br>| 960000 | 1189628 |
| 7.55% 4/1/39 <br>| 6805000 | 8744687 |
|  Series 2010, 7.625% 3/1/40  | 3670000 | 4703957 |
| Chicago Gen. Oblig. (Taxable Proj.) Series 2010 C1, 7.781% 1/1/35  | 5065000 | 5573588 |
| Illinois Gen. Oblig.: |  |  |
|  Series 2003:  |  |  |
| 4.95% 6/1/23 <br>| 2398636 | 2397897 |
| 5.1% 6/1/33 <br>| 22880000 | 22055558 |
|  Series 2010-1, 6.63% 2/1/35  | 4335000 | 4427417 |
|  Series 2010-3:  |  |  |
| 6.725% 4/1/35 <br>| 6465000 | 6636555 |
| 7.35% 7/1/35 <br>| 2753214 | 2922718 |
| New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 14838000 | 16036338 |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $91,022,697) |  | **87038545** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.2%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.2%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.2%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Angola Republic: |  |  |  |
|  8.25% 5/9/28 (d) |  | 945000 | 877669 |
|  8.75% 4/14/32 (d) |  | 430000 | 384313 |
|  9.375% 5/8/48 (d) |  | 125000 | 103594 |
|  9.5% 11/12/25 (d) |  | 2040000 | 2078250 |
| Arab Republic of Egypt: |  |  |  |
|  5.8% 9/30/27 (d) |  | 540000 | 444825 |
|  7.0529% 1/15/32 (d) |  | 210000 | 155505 |
|  7.5% 1/31/27 (d) |  | 3378000 | 3019088 |
|  7.5% 2/16/61 (d) |  | 605000 | 384175 |
|  7.6003% 3/1/29 (d) |  | 560000 | 457800 |
|  7.903% 2/21/48 (d) |  | 534000 | 343095 |
|  8.5% 1/31/47 (d) |  | 904000 | 601160 |
|  8.7002% 3/1/49 (d) |  | 930000 | 620775 |
| Argentine Republic: |  |  |  |
|  0.5% 7/9/30 (q) |  | 11215675 | 2966546 |
|  1% 7/9/29  |  | 1021922 | 265700 |
|  1.5% 7/9/35 (q) |  | 4793814 | 1162500 |
|  3.5% 7/9/41 (q) |  | 1920000 | 536640 |
|  3.875% 1/9/38 (q) |  | 4159773 | 1257811 |
| Bahamian Republic 6% 11/21/28 (d) |  | 525000 | 388763 |
| Bahrain Kingdom 5.625% 5/18/34 (d) |  | 310000 | 264275 |
| Barbados Government 6.5% 10/1/29 (d) |  | 965000 | 894012 |
| Bermuda Government: |  |  |  |
|  2.375% 8/20/30 (d) |  | 280000 | 229303 |
|  3.375% 8/20/50 (d) |  | 230000 | 154071 |
|  3.717% 1/25/27 (d) |  | 1185000 | 1119677 |
|  4.75% 2/15/29 (d) |  | 520000 | 505310 |
|  5% 7/15/32 (d) |  | 390000 | 375448 |
| Brazilian Federative Republic: |  |  |  |
|  3.875% 6/12/30  |  | 1535000 | 1338616 |
|  7.125% 1/20/37  |  | 840000 | 891450 |
|  8.25% 1/20/34  |  | 1976000 | 2244366 |
| Buenos Aires Province 5.25% 9/1/37 (d)(q) |  | 775000 | 247661 |
| Cameroon Republic 9.5% 11/19/25 (d) |  | 740000 | 716320 |
| Chilean Republic: |  |  |  |
|  2.45% 1/31/31  |  | 1895000 | 1602223 |
|  2.75% 1/31/27  |  | 425000 | 393975 |
|  3.25% 9/21/71  |  | 250000 | 159000 |
|  3.5% 1/31/34  |  | 280000 | 243040 |
|  4% 1/31/52  |  | 245000 | 193550 |
|  4.34% 3/7/42  |  | 360000 | 307980 |
| Colombian Republic: |  |  |  |
|  3% 1/30/30  |  | 1800000 | 1354500 |
|  3.125% 4/15/31  |  | 785000 | 580900 |
|  3.25% 4/22/32  |  | 400000 | 286000 |
|  4.125% 5/15/51  |  | 325000 | 191425 |
|  5% 6/15/45  |  | 1760000 | 1178980 |
|  5.2% 5/15/49  |  | 900000 | 605250 |
|  6.125% 1/18/41  |  | 60000 | 47100 |
|  7.375% 9/18/37  |  | 205000 | 189625 |
|  8% 4/20/33  |  | 680000 | 675580 |
| Costa Rican Republic: |  |  |  |
|  5.625% 4/30/43 (d) |  | 680000 | 545700 |
|  6.125% 2/19/31 (d) |  | 300000 | 290250 |
|  7% 4/4/44 (d) |  | 75000 | 70031 |
| Democratic Socialist Republic of Sri Lanka: |  |  |  |
|  6.2% 5/11/27 (d)(e) |  | 345000 | 105263 |
|  6.825% 7/18/26 (d)(e) |  | 125000 | 38696 |
|  7.55% 3/28/30 (d)(e) |  | 335000 | 100563 |
|  7.85% 3/14/29 (d)(e) |  | 865000 | 258851 |
| Dominican Republic: |  |  |  |
|  4.5% 1/30/30 (d) |  | 420000 | 356554 |
|  4.875% 9/23/32 (d) |  | 1460000 | 1208880 |
|  5.875% 1/30/60 (d) |  | 570000 | 421800 |
|  5.95% 1/25/27 (d) |  | 1164000 | 1131845 |
|  6% 7/19/28 (d) |  | 549000 | 528413 |
|  6.4% 6/5/49 (d) |  | 230000 | 186271 |
|  6.5% 2/15/48 (d) |  | 300000 | 247125 |
|  6.85% 1/27/45 (d) |  | 1012000 | 880314 |
|  6.875% 1/29/26 (d) |  | 1378000 | 1392469 |
|  7.45% 4/30/44 (d) |  | 401000 | 373381 |
| Ecuador Republic: |  |  |  |
|  2.5% 7/31/35 (d)(q) |  | 1350000 | 587925 |
|  5.5% 7/31/30 (d)(q) |  | 2115000 | 1280633 |
| El Salvador Republic: |  |  |  |
|  6.375% 1/18/27 (d) |  | 105000 | 42938 |
|  7.1246% 1/20/50 (d) |  | 405000 | 146306 |
|  7.625% 2/1/41 (d) |  | 120000 | 43500 |
| Emirate of Abu Dhabi: |  |  |  |
|  1.7% 3/2/31 (d) |  | 1090000 | 897411 |
|  3% 9/15/51 (d) |  | 1015000 | 717986 |
|  3.125% 9/30/49 (d) |  | 3170000 | 2298844 |
|  3.875% 4/16/50 (d) |  | 9890000 | 8207464 |
| Emirate of Dubai: |  |  |  |
|  3.9% 9/9/50 (Reg. S)  |  | 1350000 | 940191 |
|  5.25% 1/30/43 (Reg. S)  |  | 560000 | 494480 |
| Gabonese Republic 7% 11/24/31 (d) |  | 880000 | 724515 |
| Georgia Republic 2.75% 4/22/26 (d) |  | 890000 | 792545 |
| German Federal Republic: |  |  |  |
|  0% 2/15/32 (Reg. S)  | EUR | 3370000 | 2945029 |
|  0% 5/15/35 (Reg. S) (i) | EUR | 7075000 | 5776875 |
| Ghana Republic: |  |  |  |
|  7.75% 4/7/29 (d) |  | 810000 | 295296 |
|  8.627% 6/16/49 (d) |  | 605000 | 198629 |
|  10.75% 10/14/30 (d) |  | 525000 | 359625 |
| Guatemalan Republic: |  |  |  |
|  4.9% 6/1/30 (d) |  | 325000 | 305561 |
|  5.375% 4/24/32 (d) |  | 490000 | 473095 |
|  6.125% 6/1/50 (d) |  | 335000 | 306693 |
| Hungarian Republic: |  |  |  |
|  2.125% 9/22/31 (d) |  | 285000 | 212022 |
|  5.25% 6/16/29 (d) |  | 610000 | 585714 |
|  5.5% 6/16/34 (d) |  | 425000 | 405822 |
| Indonesian Republic: |  |  |  |
|  3.5% 2/14/50  |  | 515000 | 385606 |
|  3.85% 10/15/30  |  | 460000 | 431250 |
|  4.1% 4/24/28  |  | 705000 | 689138 |
|  4.2% 10/15/50  |  | 24000000 | 19772640 |
|  4.35% 1/11/48  |  | 655000 | 555185 |
|  4.4% 6/6/27 (d) |  | 480000 | 471690 |
|  5.125% 1/15/45 (d) |  | 1660000 | 1577183 |
|  5.25% 1/17/42 (d) |  | 485000 | 475300 |
|  5.95% 1/8/46 (d) |  | 560000 | 585900 |
|  6.75% 1/15/44 (d) |  | 380000 | 418992 |
|  7.75% 1/17/38 (d) |  | 1317000 | 1582046 |
|  8.5% 10/12/35 (d) |  | 1910000 | 2400989 |
| Islamic Republic of Pakistan: |  |  |  |
|  6% 4/8/26 (d) |  | 955000 | 391655 |
|  6.875% 12/5/27 (d) |  | 180000 | 71120 |
|  8.25% 4/15/24 (d) |  | 339000 | 186487 |
| Israeli State: |  |  |  |
|  3.375% 1/15/50  |  | 1090000 | 830632 |
|  3.8% 5/13/60 (Reg. S)  |  | 515000 | 402782 |
| Ivory Coast: |  |  |  |
|  6.125% 6/15/33 (d) |  | 1680000 | 1484700 |
|  6.375% 3/3/28 (d) |  | 2030000 | 1946263 |
| Jamaican Government: |  |  |  |
|  6.75% 4/28/28  |  | 275000 | 289661 |
|  7.875% 7/28/45  |  | 250000 | 273875 |
| Jordanian Kingdom: |  |  |  |
|  4.95% 7/7/25 (d) |  | 1230000 | 1185259 |
|  7.375% 10/10/47 (d) |  | 155000 | 129425 |
|  7.75% 1/15/28 (d) |  | 445000 | 455569 |
| Kingdom of Saudi Arabia: |  |  |  |
|  2.25% 2/2/33 (d) |  | 1240000 | 999750 |
|  3.25% 10/22/30 (d) |  | 5890000 | 5381988 |
|  3.45% 2/2/61 (d) |  | 1055000 | 755182 |
|  3.625% 3/4/28 (d) |  | 425000 | 404813 |
|  3.75% 1/21/55 (d) |  | 975000 | 754406 |
|  4.5% 10/26/46 (d) |  | 1150000 | 1004813 |
|  4.5% 4/22/60 (d) |  | 4190000 | 3681963 |
|  4.625% 10/4/47 (d) |  | 425000 | 375594 |
| Korean Republic 1% 9/16/30  |  | 855000 | 677237 |
| Lebanese Republic: |  |  |  |
|  5.8% 12/31/49 (e) |  | 1113000 | 66224 |
|  6.375% 12/31/49 (e) |  | 977000 | 58288 |
| Ministry of Finance of the Russian Federation: |  |  |  |
|  4.375% 3/21/29(Reg. S) (e) |  | 400000 | 156000 |
|  5.1% 3/28/35(Reg. S) (e) |  | 600000 | 252000 |
| Moroccan Kingdom: |  |  |  |
|  2.375% 12/15/27 (d) |  | 1630000 | 1407709 |
|  4% 12/15/50 (d) |  | 200000 | 137100 |
|  5.5% 12/11/42 (d) |  | 100000 | 85425 |
| Panamanian Republic: |  |  |  |
|  2.252% 9/29/32  |  | 580000 | 437284 |
|  3.298% 1/19/33  |  | 615000 | 506453 |
|  3.87% 7/23/60  |  | 1055000 | 702103 |
|  4.5% 5/15/47  |  | 350000 | 275625 |
|  4.5% 4/16/50  |  | 1090000 | 839845 |
|  6.4% 2/14/35  |  | 840000 | 873600 |
| Peruvian Republic: |  |  |  |
|  2.783% 1/23/31  |  | 3110000 | 2627950 |
|  3% 1/15/34  |  | 610000 | 494405 |
|  3.3% 3/11/41  |  | 700000 | 522200 |
| Philippine Republic: |  |  |  |
|  2.65% 12/10/45  |  | 665000 | 445623 |
|  2.95% 5/5/45  |  | 270000 | 193080 |
|  5.609% 4/13/33  |  | 520000 | 546707 |
|  5.95% 10/13/47  |  | 830000 | 892341 |
| Polish Government 5.75% 11/16/32  |  | 725000 | 763019 |
| Province of Santa Fe 7% 3/23/23 (d) |  | 570500 | 540192 |
| Provincia de Cordoba: |  |  |  |
|  6.875% 12/10/25 (d) |  | 1645009 | 1303670 |
|  6.99% 6/1/27 (d) |  | 640167 | 412828 |
| Republic of Armenia 3.6% 2/2/31 (d) |  | 560000 | 428155 |
| Republic of Iraq 5.8% 1/15/28 (Reg. S)  |  | 374000 | 334800 |
| Republic of Kenya: |  |  |  |
|  6.3% 1/23/34 (d) |  | 415000 | 325256 |
|  6.875% 6/24/24 (d) |  | 600000 | 553500 |
|  7% 5/22/27 (d) |  | 485000 | 433469 |
| Republic of Nigeria: |  |  |  |
|  6.125% 9/28/28 (d) |  | 1095000 | 841781 |
|  6.375% 7/12/23 (d) |  | 235000 | 231475 |
|  6.5% 11/28/27 (d) |  | 315000 | 250031 |
|  7.143% 2/23/30 (d) |  | 920000 | 709550 |
|  7.625% 11/21/25 (d) |  | 1040000 | 956800 |
|  7.696% 2/23/38 (d) |  | 480000 | 333600 |
| Republic of Paraguay: |  |  |  |
|  2.739% 1/29/33 (d) |  | 320000 | 253260 |
|  4.95% 4/28/31 (d) |  | 1050000 | 1009838 |
|  5.4% 3/30/50 (d) |  | 330000 | 277468 |
| Republic of Senegal 6.25% 5/23/33 (d) |  | 590000 | 491286 |
| Republic of Serbia 2.125% 12/1/30 (d) |  | 1200000 | 879225 |
| Republic of Uzbekistan: |  |  |  |
|  3.7% 11/25/30 (d) |  | 395000 | 321012 |
|  3.9% 10/19/31 (d) |  | 565000 | 454754 |
|  4.75% 2/20/24 (d) |  | 315000 | 306200 |
| Republic of Zambia 8.97% 7/30/27 (d) |  | 620000 | 282100 |
| Romanian Republic: |  |  |  |
|  3% 2/27/27 (d) |  | 652000 | 585496 |
|  3% 2/14/31 (d) |  | 1222000 | 973629 |
|  3.625% 3/27/32 (d) |  | 652000 | 526409 |
|  4% 2/14/51 (d) |  | 335000 | 222524 |
| Rwanda Republic 5.5% 8/9/31 (d) |  | 1085000 | 796661 |
| South African Republic: |  |  |  |
|  4.85% 9/27/27  |  | 480000 | 456990 |
|  4.85% 9/30/29  |  | 335000 | 302714 |
|  5% 10/12/46  |  | 670000 | 478757 |
|  5.75% 9/30/49  |  | 765000 | 581400 |
|  5.875% 4/20/32  |  | 480000 | 440400 |
| State of Qatar: |  |  |  |
|  3.75% 4/16/30 (d) |  | 3631000 | 3485760 |
|  4% 3/14/29 (d) |  | 775000 | 757563 |
|  4.4% 4/16/50 (d) |  | 17470000 | 15875863 |
|  4.625% 6/2/46 (d) |  | 960000 | 897600 |
|  4.817% 3/14/49 (d) |  | 975000 | 940875 |
|  5.103% 4/23/48 (d) |  | 1090000 | 1090000 |
|  9.75% 6/15/30 (d) |  | 413000 | 551355 |
| Sultanate of Oman: |  |  |  |
|  4.75% 6/15/26 (d) |  | 385000 | 369600 |
|  5.375% 3/8/27 (d) |  | 170000 | 165538 |
|  5.625% 1/17/28 (d) |  | 2470000 | 2417513 |
|  6% 8/1/29 (d) |  | 720000 | 711000 |
|  6.25% 1/25/31 (d) |  | 520000 | 518050 |
|  6.5% 3/8/47 (d) |  | 300000 | 267750 |
|  6.75% 1/17/48 (d) |  | 1661000 | 1521891 |
| Turkish Republic: |  |  |  |
|  4.25% 3/13/25  |  | 1510000 | 1408075 |
|  4.25% 4/14/26  |  | 1685000 | 1491225 |
|  4.75% 1/26/26  |  | 1500000 | 1357500 |
|  4.875% 10/9/26  |  | 1395000 | 1241550 |
|  4.875% 4/16/43  |  | 1500000 | 975000 |
|  5.125% 2/17/28  |  | 755000 | 649300 |
|  5.75% 5/11/47  |  | 542000 | 368560 |
|  6% 3/25/27  |  | 235000 | 215025 |
|  6% 1/14/41  |  | 490000 | 356475 |
|  6.125% 10/24/28  |  | 510000 | 451350 |
|  6.35% 8/10/24  |  | 245000 | 243898 |
|  6.375% 10/14/25  |  | 220000 | 210100 |
|  9.875% 1/15/28  |  | 570000 | 594681 |
| Ukraine Government: |  |  |  |
|  0% 8/1/41 (d)(f) |  | 530000 | 155621 |
|  6.876% 5/21/31 (d) |  | 245000 | 51037 |
|  7.253% 3/15/35 (d) |  | 1495000 | 310026 |
|  7.375% 9/25/34 (d) |  | 420000 | 88541 |
|  7.75% 9/1/24 (d) |  | 955000 | 259521 |
|  7.75% 9/1/25 (d) |  | 1640000 | 408770 |
|  7.75% 9/1/26 (d) |  | 2420000 | 544198 |
|  7.75% 9/1/28 (d) |  | 820000 | 191470 |
|  7.75% 9/1/29 (d) |  | 170000 | 39929 |
| United Arab Emirates 4.05% 7/7/32 (d) |  | 615000 | 600394 |
| United Kingdom, Great Britain and Northern Ireland: |  |  |  |
|  1% 4/22/24(Reg. S)  | GBP | 4355000 | 5087395 |
|  2.25% 9/7/23  | GBP | 10645000 | 12713116 |
| United Mexican States: |  |  |  |
|  2.659% 5/24/31  |  | 665000 | 551618 |
|  3.25% 4/16/30  |  | 1145000 | 1021913 |
|  3.5% 2/12/34  |  | 1095000 | 912683 |
|  3.75% 1/11/28  |  | 820000 | 785150 |
|  3.75% 4/19/71  |  | 1230000 | 821025 |
|  4.5% 4/22/29  |  | 485000 | 471905 |
|  4.875% 5/19/33  |  | 560000 | 528360 |
|  5.75% 10/12/2110  |  | 1520000 | 1315085 |
|  6.05% 1/11/40  |  | 980000 | 982634 |
| Uruguay Republic 5.1% 6/18/50  |  | 1230000 | 1223850 |
| Venezuelan Republic: |  |  |  |
|  9.25% 9/15/27 (e) |  | 4549000 | 398038 |
|  11.95% 8/5/31 (Reg. S) (e) |  | 938300 | 82070 |
|  12.75% 12/31/49 (e) |  | 199600 | 13972 |
| Vietnamese Socialist Republic 5.5% 3/12/28  |  | 1988667 | 1926894 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $257,892,844) |  |  | **221438967** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Supranational Obligations - 0.1%** | &nbsp;&nbsp;**Supranational Obligations - 0.1%** | &nbsp;&nbsp;**Supranational Obligations - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Corporacion Andina de Fomento 2.375% 5/12/23 <br>(Cost $15,294,798) <br>| 15300000 | **15089778** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.1%** | &nbsp;&nbsp;**Common Stocks - 0.1%** | &nbsp;&nbsp;**Common Stocks - 0.1%** |
|  | Shares | Value ($)<br>|
| COMMUNICATION SERVICES - 0.0%  |  |  |
| Entertainment - 0.0% |  |  |
| Cineworld Group PLC warrants 11/23/25 (c)(r) | 149986 | 2 |
| Media - 0.0% |  |  |
| Altice U.S.A., Inc. Class A (r) | 75200 | 342912 |
| TOTAL COMMUNICATION SERVICES |  | 342914 |
| CONSUMER DISCRETIONARY - 0.0%  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Caesars Entertainment, Inc. (r) | 49200 | 2499852 |
| CEC Entertainment, Inc. (c)(r) | 40185 | 779753 |
|  |  | 3279605 |
| Specialty Retail - 0.0% |  |  |
| David's Bridal, Inc. rights (c)(r) | 295 | 0 |
| TOTAL CONSUMER DISCRETIONARY |  | 3279605 |
| ENERGY - 0.1%  |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Forbes Energy Services Ltd. (c)(r) | 55600 | 1 |
| Jonah Energy Parent LLC (c)(r) | 36493 | 2283367 |
|  |  | 2283368 |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| California Resources Corp.  | 81331 | 3690801 |
| California Resources Corp. warrants 10/27/24 (r) | 3601 | 48073 |
| Chesapeake Energy Corp.  | 55352 | 5728932 |
| Chesapeake Energy Corp. (b)(r) | 351 | 36329 |
| Denbury, Inc. (r) | 15462 | 1387869 |
| EP Energy Corp. (c)(r) | 3729 | 31212 |
| EQT Corp.  | 62000 | 2629420 |
| Mesquite Energy, Inc. (c)(r) | 66231 | 4096411 |
|  |  | 17649047 |
| TOTAL ENERGY |  | 19932415 |
| FINANCIALS - 0.0%  |  |  |
| Diversified Financial Services - 0.0% |  |  |
| ACNR Holdings, Inc. (c)(r) | 5205 | 520500 |
| Lime Tree Bay Ltd. (c) | 464 | 15651 |
|  |  | 536151 |
| INDUSTRIALS - 0.0%  |  |  |
| Machinery - 0.0% |  |  |
| TNT Crane & Rigging LLC (c)(r) | 47366 | 319247 |
| TNT Crane & Rigging LLC warrants 10/31/25 (c)(r) | 2081 | 708 |
|  |  | 319955 |
| INFORMATION TECHNOLOGY - 0.0%  |  |  |
| IT Services - 0.0% |  |  |
| GTT Communications, Inc. rights (c)(r) | 163660 | 163660 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $12,697,555) |  | <br> **24574700** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| Convertible Preferred Stocks - 0.0%  |  |  |
| REAL ESTATE - 0.0% |  |  |
| Equity Real Estate Investment Trusts (REITs) - 0.0% |  |  |
| RLJ Lodging Trust Series A, 1.95%  | 11325 | 279728 |
| Nonconvertible Preferred Stocks - 0.0%  |  |  |
| FINANCIALS - 0.0% |  |  |
| Diversified Financial Services - 0.0% |  |  |
| ACNR Holdings, Inc. (c)(r) | 2980 | 1788000 |
| Mortgage Real Estate Investment Trusts - 0.0% |  |  |
| AGNC Investment Corp. Series E, 6.50% (f) | 37320 | 807605 |
| Arbor Realty Trust, Inc. Series F, 6.25% (f) | 22800 | 453492 |
| Dynex Capital, Inc. Series C 6.90% (f) | 11400 | 247266 |
| Franklin BSP Realty Trust, Inc. 7.50%  | 18900 | 355131 |
| MFA Financial, Inc. Series B, 7.50%  | 13700 | 269753 |
|  |  | 2133247 |
| TOTAL FINANCIALS |  | 3921247 |
| REAL ESTATE - 0.0% |  |  |
| Equity Real Estate Investment Trusts (REITs) - 0.0% |  |  |
| Cedar Realty Trust, Inc.: |  |  |
|  7.25% | 550 | 7865 |
|  Series C, 6.50% | 14300 | 160875 |
| DiamondRock Hospitality Co. 8.25%  | 7100 | 175370 |
| iStar Financial, Inc. Series G, 7.65%  | 19500 | 479895 |
| National Storage Affiliates Trust Series A, 6.00%  | 6925 | 158340 |
| Rexford Industrial Realty, Inc. Series B, 5.875%  | 16525 | 374787 |
| Spirit Realty Capital, Inc. Series A, 6.00%  | 10200 | 229704 |
|  |  | 1586836 |
| Real Estate Management & Development - 0.0% |  |  |
| Digitalbridge Group, Inc.: |  |  |
|  Series H, 7.125% | 12825 | 238802 |
|  Series I, 7.15% | 17100 | 322677 |
|  |  | 561479 |
| TOTAL REAL ESTATE |  | 2148315 |
| TOTAL NONCONVERTIBLE PREFERRED STOCKS |  | 6069562 |
| <br> **TOTAL PREFERRED STOCKS**<br> (Cost $5,566,378) |  | <br> **6349290** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 6.3%** | &nbsp;&nbsp;**Bank Loan Obligations - 6.3%** | &nbsp;&nbsp;**Bank Loan Obligations - 6.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 0.6%  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| Cablevision Lightpath LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.1231% 11/30/27 (f)(g)(s) | 697432 | 679997 |
| Connect U.S. Finco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.26% 12/12/26 (f)(g)(s) | 1031397 | 1017215 |
| Consolidated Communications, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.3125% 10/2/27 (f)(g)(s) | 888936 | 776334 |
| Frontier Communications Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4375% 5/1/28 (f)(g)(s) | 7513895 | 7200189 |
| Level 3 Financing, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.8214% 3/1/27 (f)(g)(s) | 1530621 | 1454565 |
| Northwest Fiber LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.9766% 4/30/27 (f)(g)(s) | 2453946 | 2391370 |
| Patagonia Holdco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.750% 9.9603% 8/1/29 (f)(g)(s) | 2210000 | 1762475 |
| Securus Technologies Holdings Tranche B, term loan: |  |  |
|  3 month U.S. LIBOR + 4.500% 8.1741% 11/1/24 (f)(g)(s) | 3705119  | 3098888  |
|  3 month U.S. LIBOR + 8.250% 12.6647% 11/1/25 (f)(g)(s) | 2659000  | 1958247  |
| Windstream Services LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 6.250% 10.0039% 9/21/27 (f)(g)(s) | 2466115 | 2249097 |
| Zayo Group Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 3/9/27 (f)(g)(s) | 7691809 | 5780241 |
|  |  | 28368618 |
| Entertainment - 0.1% |  |  |
| Allen Media LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.500% 9.2032% 2/10/27 (f)(g)(s) | 4971824 | 4115725 |
| AP Core Holdings II LLC: |  |  |
|  Tranche B1 1LN, term loan 1 month U.S. LIBOR + 5.500% 9.5714% 9/1/27 (f)(g)(s) | 698250  | 617951  |
|  Tranche B2 1LN, term loan 1 month U.S. LIBOR + 5.500% 9.5714% 9/1/27 (f)(g)(s) | 2850000  | 2519885  |
| Crown Finance U.S., Inc.: |  |  |
|  1LN, term loan CME Term SOFR 1 Month Index + 10.000% 13.8947% 9/9/23 (f)(g)(s) | 1860065  | 1791484  |
|  Tranche B 1LN, term loan:  |  |  |
|  3 month U.S. LIBOR + 2.500% 3.9997% 2/28/25 (f)(g)(s) | 2860397  | 608721  |
|  3 month U.S. LIBOR + 2.750% 4.2497% 9/30/26 (f)(g)(s) | 487491  | 101520  |
| Playtika Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.8214% 3/11/28 (f)(g)(s) | 1542540 | 1501570 |
| Sweetwater Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.375% 8/5/28 (c)(f)(g)(s) | 1978973 | 1830550 |
|  |  | 13087406 |
| Media - 0.3% |  |  |
| Advantage Sales & Marketing, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 8.284% 10/28/27 (f)(g)(s) | 5000382 | 4011557 |
| Altice Financing SA Tranche B, term loan 3 month U.S. LIBOR + 2.750% 6.8291% 1/31/26 (f)(g)(s) | 1409646 | 1374405 |
| Charter Communication Operating LLC Tranche B2 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.83% 2/1/27 (f)(g)(s) | 8570673 | 8348778 |
| Coral-U.S. Co.-Borrower LLC Tranche B, term loan 1 month U.S. LIBOR + 2.250% 6.1231% 1/31/28 (f)(g)(s) | 4180000 | 4045195 |
| CSC Holdings LLC: |  |  |
|  Tranche B 5LN, term loan CME Term SOFR 1 Month Index + 2.500% 6.3731% 4/15/27 (f)(g)(s) | 2552813  | 2387952  |
|  Tranche B3 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 6.1231% 1/15/26 (f)(g)(s) | 1408497  | 1340270  |
| Diamond Sports Group LLC: |  |  |
|  1LN, term loan CME Term SOFR 1 Month Index + 8.000% 11.8939% 5/25/26 (f)(g)(s) | 2429077  | 2286976  |
|  2LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.1439% 8/24/26 (f)(g)(s) | 8477530  | 1340552  |
| DIRECTV Financing LLC 1LN, term loan 1 month U.S. LIBOR + 5.000% 9.0714% 8/2/27 (f)(g)(s) | 2074522 | 1983990 |
| Dotdash Meredith, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 7.844% 12/1/28 (f)(g)(s) | 4050272 | 3503485 |
| Entercom Media Corp. Tranche B 2LN, term loan 1 month U.S. LIBOR + 2.500% 6.5436% 11/17/24 (f)(g)(s) | 855669 | 630876 |
| Gray Television, Inc. Tranche D 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7677% 12/1/28 (f)(g)(s) | 1037163 | 1008080 |
| LCPR Loan Financing LLC 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.6231% 9/25/28 (f)(g)(s) | 950000 | 931000 |
| MJH Healthcare Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.3287% 1/28/29 (f)(g)(s) | 1263650 | 1220218 |
| Neptune Finco Corp. Tranche B, term loan CME Term SOFR 1 Month Index + 2.250% 6.1231% 7/17/25 (f)(g)(s) | 2324042 | 2221784 |
| Nexstar Broadcasting, Inc. Tranche B, term loan 1 month U.S. LIBOR + 2.500% 6.5714% 9/19/26 (f)(g)(s) | 2489159 | 2466856 |
| Numericable LLC: |  |  |
|  Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 7.1647% 7/31/25 (f)(g)(s) | 4367673  | 4182047  |
|  Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.680% 7.7666% 1/31/26 (f)(g)(s) | 6283230  | 6008339  |
|  Tranche B 13LN, term loan 3 month U.S. LIBOR + 4.000% 8.6497% 8/14/26 (f)(g)(s) | 1876332  | 1807527  |
| Recorded Books, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.019% 8/29/25 (f)(g)(s) | 235231 | 231114 |
| Scripps (E.W.) Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.8214% 1/7/28 (f)(g)(s) | 1069450 | 1037752 |
| Sinclair Television Group, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.58% 9/30/26 (f)(g)(s) | 1285250 | 1226617 |
| Springer Nature Deutschland GmbH Tranche B18 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.6741% 8/14/26 (f)(g)(s) | 1636183 | 1623404 |
| Univision Communications, Inc.: |  |  |
|  1LN, term loan CME Term SOFR 1 Month Index + 4.250% 7.7896% 6/10/29 (f)(g)(s) | 673313  | 663213  |
|  Tranche B 1LN, term loan:  |  |  |
|  1 month U.S. LIBOR + 3.250% 7.0039% 3/24/26 (f)(g)(s) | 2320616  | 2277104  |
|  1 month U.S. LIBOR + 3.250% 7.3214% 1/31/29 (f)(g)(s) | 3790950  | 3680368  |
| Virgin Media Bristol LLC Tranche N, term loan 1 month U.S. LIBOR + 2.500% 6.3731% 1/31/28 (f)(g)(s) | 2000000 | 1947180 |
|  |  | 63786639 |
| Wireless Telecommunication Services - 0.1% |  |  |
| Crown Subsea Communications Holding, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.5177% 4/27/27 (f)(g)(s) | 1552226 | 1512458 |
| Intelsat Jackson Holdings SA 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 7.4449% 2/1/29 (f)(g)(s) | 14058351 | 13562794 |
| SBA Senior Finance II, LLC Tranche B, term loan 1 month U.S. LIBOR + 1.750% 5.83% 4/11/25 (f)(g)(s) | 1085647 | 1078047 |
|  |  | 16153299 |
| TOTAL COMMUNICATION SERVICES |  | 121395962 |
| CONSUMER DISCRETIONARY - 1.5%  |  |  |
| Auto Components - 0.1% |  |  |
| American Trailer World Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.5787% 3/5/28 (f)(g)(s) | 1586378 | 1416842 |
| Avis Budget Car Rental LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.6865% 3/16/29 (f)(g)(s) | 810925 | 795380 |
| Clarios Global LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 4/30/26 (f)(g)(s) | 1868801 | 1836490 |
| Les Schwab Tire Centers Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.5799% 11/2/27 (f)(g)(s) | 1901138 | 1858362 |
| Novae LLC 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 9.6963% 12/22/28 (f)(g)(s) | 999975 | 899978 |
| PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.3214% 12/17/28 (f)(g)(s) | 1533413 | 1236958 |
| Power Stop LLC 1LN, term loan 1 month U.S. LIBOR + 4.750% 9.4849% 1/26/29 (f)(g)(s) | 1009925 | 747345 |
| Rough Country LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.1741% 7/28/28 (f)(g)(s) | 730750 | 680328 |
| Truck Hero, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 1/29/28 (f)(g)(s) | 1546450 | 1303657 |
|  |  | 10775340 |
| Automobiles - 0.0% |  |  |
| Bombardier Recreational Products, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 6.0714% 5/23/27 (f)(g)(s) | 682715 | 661380 |
| CWGS Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.3884% 6/3/28 (f)(g)(s) | 3973180 | 3580829 |
| HarbourVest Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 6.1607% 3/1/25 (f)(g)(s) | 1853103 | 1825769 |
| Thor Industries, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.125% 2/1/26 (f)(g)(s) | 305990 | 302930 |
|  |  | 6370908 |
| Distributors - 0.0% |  |  |
| BCPE Empire Holdings, Inc.: |  |  |
|  1LN, term loan:  |  |  |
|  CME Term SOFR 1 Month Index + 4.000% 7.7539% 6/11/26 (f)(g)(s) | 2333380  | 2264102  |
|  CME Term SOFR 1 Month Index + 4.620% 8.4537% 6/11/26 (f)(g)(s) | 1263650  | 1224843  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.0714% 6/11/26 (f)(g)(s) | 203463  | 196850  |
| Gloves Buyer, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.0714% 1/6/28 (f)(g)(s) | 655024 | 594978 |
|  |  | 4280773 |
| Diversified Consumer Services - 0.1% |  |  |
| Adtalem Global Education, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.0161% 8/12/28 (f)(g)(s) | 1478666 | 1458335 |
| GEMS MENASA Cayman Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 8.5664% 7/30/26 (f)(g)(s) | 3774516 | 3712387 |
| KUEHG Corp.: |  |  |
|  Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 12.3214% 8/22/25 (f)(g)(s) | 363000  | 348349  |
|  Tranche B, term loan 3 month U.S. LIBOR + 3.750% 7.8214% 2/21/25 (f)(g)(s) | 2601138  | 2488561  |
| Lakeshore Intermediate LLC 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.6092% 10/1/28 (f)(g)(s) | 679863 | 661166 |
| Learning Care Group (U.S.) No 2, Inc. Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 8.500% 12.9559% 3/13/25 (c)(f)(g)(s) | 1104575  | 1065915  |
|  3 month U.S. LIBOR + 3.250% 7.5859% 3/13/25 (f)(g)(s) | 1014410  | 944041  |
| Mckissock Investment Holdings Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 8.7372% 3/10/29 (f)(g)(s) | 1154200 | 1109475 |
| Ring Container Technologies Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 8/12/28 (f)(g)(s) | 1101675 | 1083497 |
| Signal Parent, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 4/3/28 (f)(g)(s) | 2024375 | 1279688 |
| Spin Holdco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.1441% 3/4/28 (f)(g)(s) | 13355908 | 11914539 |
| SSH Group Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 7.9241% 7/30/25 (f)(g)(s) | 598093 | 582070 |
| TKC Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 5.500% 9.18% 5/3/28 (f)(g)(s) | 1154012 | 962157 |
|  |  | 27610180 |
| Hotels, Restaurants & Leisure - 0.7% |  |  |
| 19Th Holdings Golf LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 6.8939% 2/7/29 (f)(g)(s) | 2648363 | 2416631 |
| Alterra Mountain Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 8/17/28 (f)(g)(s) | 2377331 | 2341671 |
| Aramark Services, Inc.: |  |  |
|  Tranche B 3LN, term loan 1 month U.S. LIBOR + 1.750% 5.8214% 3/11/25 (f)(g)(s) | 1446000  | 1421895  |
|  Tranche B-4 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.8214% 1/15/27 (f)(g)(s) | 1314825  | 1285518  |
| Arcis Golf LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.3214% 11/24/28 (f)(g)(s) | 975100 | 955598 |
| Bally's Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.1286% 10/1/28 (f)(g)(s) | 3285175 | 3118649 |
| BRE/Everbright M6 Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 8.9036% 9/9/26 (f)(g)(s) | 1613416 | 1579809 |
| Burger King Worldwide, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.8999% 11/19/26 (f)(g)(s) | 1701875 | 1667838 |
| Caesars Resort Collection LLC: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 7/20/25 (f)(g)(s) | 6213434  | 6165031  |
|  Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 6.8214% 12/22/24 (f)(g)(s) | 8595010  | 8529774  |
| Carnival Finance LLC Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 3.000% 5.8769% 6/30/25 (f)(g)(s) | 1863684  | 1789715  |
|  1 month U.S. LIBOR + 3.250% 6.1269% 10/18/28 (f)(g)(s) | 4498787  | 4215724  |
| Churchill Downs, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 6.08% 3/17/28 (f)(g)(s) | 985000 | 967763 |
| City Football Group Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.4567% 7/21/28 (f)(g)(s) | 10553782 | 9894171 |
| Dave & Buster's, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 9.1875% 6/29/29 (f)(g)(s) | 1062338 | 1052511 |
| Delta 2 SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 1/15/30 (g)(s)(t) | 3785000 | 3764902 |
| Equinox Holdings, Inc.: |  |  |
|  Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 10.6741% 9/8/24 (f)(g)(s) | 455000  | 288202  |
|  Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 6.6741% 3/8/24 (f)(g)(s) | 1962629  | 1452345  |
| Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.0865% 1/27/29 (f)(g)(s) | 15877884 | 15120032 |
| Flutter Financing B.V. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.0427% 7/4/28 (f)(g)(s) | 1980000 | 1964041 |
| Flynn Restaurant Group LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.3214% 11/22/28 (f)(g)(s) | 565725 | 534610 |
| Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 5.7539% 11/30/23 (f)(g)(s) | 2734914 | 2729799 |
| Four Seasons Hotels Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 11/30/29 (g)(s)(t) | 445000 | 444168 |
| Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 7.05% 10/20/24 (f)(g)(s) | 3665371 | 3628717 |
| GVC Holdings Gibraltar Ltd.: |  |  |
|  Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.5056% 10/31/29 (f)(g)(s) | 1260000  | 1245195  |
|  Tranche B4 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.1741% 3/16/27 (f)(g)(s) | 1086250  | 1069283  |
| Herschend Entertainment Co. LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.88% 8/27/28 (f)(g)(s) | 697950 | 687481 |
| Hilton Grand Vacations Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 8/2/28 (f)(g)(s) | 7582405 | 7501880 |
| Hilton Worldwide Finance LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.7661% 6/21/26 (f)(g)(s) | 1646634 | 1633296 |
| J&J Ventures Gaming LLC 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 4/26/28 (f)(g)(s) | 1044698 | 1000957 |
| MajorDrive Holdings IV LLC 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.125% 5/12/28 (f)(g)(s) | 1876250 | 1764069 |
| Marriott Ownership Resorts, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.8214% 8/31/25 (f)(g)(s) | 1050985 | 1036009 |
| Oravel Stays Singapore Pte Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 8.250% 11.86% 6/23/26 (f)(g)(s) | 918375 | 794394 |
| Pacific Bells LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 8.3148% 10/20/28 (f)(g)(s) | 1159221 | 1088705 |
| PCI Gaming Authority 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.5714% 5/29/26 (f)(g)(s) | 1484314 | 1463904 |
| PFC Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.500% 9.5696% 3/1/26 (f)(g)(s) | 1828870 | 1597207 |
| Playa Resorts Holding BV: |  |  |
|  Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 11/22/28 (g)(s)(t) | 1385000  | 1343021  |
|  Tranche B, term loan 3 month U.S. LIBOR + 2.750% 6.82% 4/27/24 (f)(g)(s) | 153836  | 153484  |
| PlayPower, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 9.1741% 5/10/26 (f)(g)(s) | 448029 | 341622 |
| Restaurant Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 7.8032% 4/1/29 (f)(g)(s) | 860675 | 844537 |
| Ryman Hospitality Properties, Inc. Tranche B, term loan 1 month U.S. LIBOR + 2.000% 6.08% 5/11/24 (f)(g)(s) | 306320 | 305171 |
| Scientific Games Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 6.8958% 4/7/29 (f)(g)(s) | 3172050 | 3106230 |
| Scientific Games Holdings LP term loan CME Term SOFR 1 Month Index + 3.500% 7.0974% 4/4/29 (f)(g)(s) | 3585000 | 3419194 |
| SeaWorld Parks & Entertainment, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.125% 8/25/28 (f)(g)(s) | 1089000 | 1066545 |
| Stars Group Holdings BV Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.8919% 7/16/26 (f)(g)(s) | 2842023 | 2803343 |
| Station Casinos LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.33% 2/7/27 (f)(g)(s) | 4209196 | 4109228 |
| Travelport Finance Luxembourg SARL 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 5.170% 12.4241% 2/28/25 (f)(g)(s) | 2030358  | 2016978  |
|  3 month U.S. LIBOR + 6.750% 10.4241% 5/30/26 (f)(g)(s) | 2174171  | 1461043  |
| United PF Holdings LLC: |  |  |
|  1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 12/30/26 (f)(g)(s) | 4265236  | 3614787  |
|  2LN, term loan 3 month U.S. LIBOR + 8.500% 12.1741% 12/30/27 (f)(g)(s) | 300000  | 273375  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 8.500% 12.1741% 12/30/26 (c)(f)(g)(s) | 436100  | 407754  |
| Whatabrands LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 7/21/28 (f)(g)(s) | 4786599 | 4546503 |
| Wyndham Hotels & Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 5.8214% 5/30/25 (f)(g)(s) | 753977 | 750071 |
|  |  | 128774380 |
| Household Durables - 0.0% |  |  |
| Mattress Firm, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.4327% 9/24/28 (f)(g)(s) | 1316700 | 1111295 |
| Osmosis Debt Merger Sub, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 7.5439% 7/30/28 (f)(g)(s) | 1987262 | 1884581 |
| Runner Buyer, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.500% 10.2349% 10/20/28 (f)(g)(s) | 925350 | 647745 |
| TGP Holdings III LLC: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 6/29/28 (f)(g)(s) | 687300  | 550101  |
|  Tranche DD 1LN, term loan 1 month U.S. LIBOR + 3.250% 4.2679% 6/29/28 (f)(g)(s)(u) | 90625  | 72534  |
| Weber-Stephen Products LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 10/30/27 (f)(g)(s) | 1145116 | 957317 |
|  |  | 5223573 |
| Internet & Direct Marketing Retail - 0.3% |  |  |
| Bass Pro Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 3/5/28 (f)(g)(s) | 41637833 | 39961911 |
| CNT Holdings I Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.239% 11/8/27 (f)(g)(s) | 1723750 | 1665849 |
| Harbor Freight Tools U.S.A., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.5039% 10/19/27 (f)(g)(s) | 3282386 | 3110750 |
| Red Ventures LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.5714% 11/8/24 (f)(g)(s) | 1878080 | 1856951 |
| Terrier Media Buyer, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 12/17/26 (f)(g)(s) | 8184740 | 7591346 |
| Uber Technologies, Inc. Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 3.500% 6.5696% 2/25/27 (f)(g)(s) | 1901057  | 1893339  |
|  1 month U.S. LIBOR + 3.500% 8.2349% 4/4/25 (f)(g)(s) | 4228205  | 4217635  |
|  |  | 60297781 |
| Leisure Products - 0.0% |  |  |
| Lids Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 8.9904% 12/14/26 (c)(f)(g)(s) | 1450000 | 1341250 |
| SP PF Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 8.5714% 12/21/25 (f)(g)(s) | 965000 | 655515 |
| SRAM LLC. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.8214% 5/12/28 (f)(g)(s) | 1477500 | 1446103 |
| Topgolf Callaway Brands Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 8.5714% 1/4/26 (f)(g)(s) | 1820452 | 1815336 |
|  |  | 5258204 |
| Multiline Retail - 0.0% |  |  |
| Franchise Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 8.6875% 3/10/26 (f)(g)(s) | 1722069 | 1655339 |
| Specialty Retail - 0.2% |  |  |
| Academy Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5177% 11/6/27 (f)(g)(s) | 3007747 | 2976737 |
| Adient U.S. LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 4/8/28 (f)(g)(s) | 701125 | 691485 |
| At Home Group, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7429% 7/24/28 (f)(g)(s) | 910800 | 721354 |
| Driven Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 3.5169% 11/17/28 (f)(g)(s) | 457700 | 434815 |
| Empire Today LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 8.8786% 4/1/28 (f)(g)(s) | 1987375 | 1491783 |
| Jo-Ann Stores LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 9.0769% 7/7/28 (f)(g)(s) | 873938 | 589908 |
| LBM Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.1207% 12/18/27 (f)(g)(s) | 4894340 | 4200225 |
| Michaels Companies, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.9241% 4/15/28 (f)(g)(s) | 2830321 | 2132958 |
| New SK Holdco Sub LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.350% 12.2139% 6/30/27 (f)(g)(s) | 1206139 | 1082510 |
| Petco Health & Wellness Co., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.9241% 3/4/28 (f)(g)(s) | 1108125 | 1072576 |
| RH: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.5714% 10/20/28 (f)(g)(s) | 1687950  | 1586673  |
|  Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.4365% 10/20/28 (f)(g)(s) | 4125000  | 3889091  |
| RVR Dealership Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7606% 2/8/28 (f)(g)(s) | 1728090 | 1563922 |
| Tory Burch LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.3214% 4/14/28 (f)(g)(s) | 3565957 | 3308923 |
| Victoria's Secret & Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.3941% 8/2/28 (f)(g)(s) | 2504178 | 2444704 |
| Woof Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.3153% 12/21/27 (f)(g)(s) | 1466207 | 1378235 |
|  |  | 29565899 |
| Textiles, Apparel & Luxury Goods - 0.1% |  |  |
| Canada Goose, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.1419% 10/7/27 (f)(g)(s) | 815506 | 792060 |
| Crocs, Inc. Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.6511% 2/17/29 (f)(g)(s) | 7330962 | 7065215 |
| Samsonite IP Holdings SARL Tranche B2 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 4/25/25 (f)(g)(s) | 1260174 | 1244422 |
|  |  | 9101697 |
| TOTAL CONSUMER DISCRETIONARY |  | 288914074 |
| CONSUMER STAPLES - 0.2%  |  |  |
| Beverages - 0.1% |  |  |
| Bengal Debt Merger Sub LLC: |  |  |
|  1LN, term loan CME TERM SOFR 3 MONTH INDEX + 3.250% 6.9032% 1/24/29 (f)(g)(s) | 3600975  | 3384917  |
|  2LN, term loan CME Term SOFR 1 Month Index + 6.000% 9.6532% 1/24/30 (f)(g)(s) | 700000  | 608125  |
| Triton Water Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.1741% 3/31/28 (f)(g)(s) | 5201030 | 4784948 |
|  |  | 8777990 |
| Food & Staples Retailing - 0.1% |  |  |
| 8th Avenue Food & Provisions, Inc.: |  |  |
|  2LN, term loan 3 month U.S. LIBOR + 7.750% 11.5039% 10/1/26 (f)(g)(s) | 98000  | 77175  |
|  Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.5039% 10/1/25 (f)(g)(s) | 278163  | 234352  |
| BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 5.8786% 2/3/24 (f)(g)(s) | 886425 | 885955 |
| Cardenas Merger Sub, LLC 1LN, term loan CME Term SOFR 1 Month Index + 6.750% 9.7949% 8/1/29 (f)(g)(s) | 990000 | 975566 |
| Froneri U.S., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.3214% 1/29/27 (f)(g)(s) | 1671525 | 1622566 |
| GOBP Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.8214% 10/22/25 (f)(g)(s) | 319343 | 317248 |
| JP Intermediate B LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 9.9147% 11/20/25 (f)(g)(s) | 2414612 | 1741539 |
| Shearer's Foods, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 9/23/27 (f)(g)(s) | 2193850 | 2083060 |
| United Natural Foods, Inc. Tranche B, term loan 1 month U.S. LIBOR + 3.250% 7.4509% 10/22/25 (f)(g)(s) | 418750 | 416334 |
|  |  | 8353795 |
| Food Products - 0.0% |  |  |
| Chobani LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 10/23/27 (f)(g)(s) | 1722815 | 1670063 |
| Del Monte Foods, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 8.2606% 5/16/29 (f)(g)(s) | 3115000 | 3015071 |
|  |  | 4685134 |
| Household Products - 0.0% |  |  |
| Diamond BC BV Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 7.1631% 9/29/28 (f)(g)(s) | 1533413 | 1478915 |
| Energizer Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.25% 12/16/27 (f)(g)(s) | 1197275 | 1171330 |
| Kronos Acquisition Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.4849% 12/22/26 (f)(g)(s) | 3535666 | 3349690 |
| Resideo Funding, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.723% 2/12/28 (f)(g)(s) | 930825 | 910468 |
|  |  | 6910403 |
| Personal Products - 0.0% |  |  |
| Conair Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4241% 5/17/28 (f)(g)(s) | 1970100 | 1652421 |
| Knowlton Development Corp., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 12/21/25 (f)(g)(s) | 2447516 | 2354706 |
|  |  | 4007127 |
| TOTAL CONSUMER STAPLES |  | 32734449 |
| ENERGY - 0.2%  |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Brazos Delaware II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 7.9386% 5/21/25 (f)(g)(s) | 1083802 | 1076573 |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Apro LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 6.8949% 11/14/26 (f)(g)(s) | 1583929 | 1532452 |
| BCP Renaissance Parent LLC Tranche B3 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.0532% 10/31/26 (f)(g)(s) | 1290198 | 1270845 |
| BW Gas & Convenience Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 3/17/28 (f)(g)(s) | 938125 | 912327 |
| Citgo Petroleum Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 6.250% 10.3214% 3/28/24 (f)(g)(s) | 3625554 | 3623742 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4241% 6/4/28 (f)(g)(s) | 8532000 | 8410419 |
| Delek U.S. Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.6865% 11/10/29 (f)(g)(s) | 3095000 | 2966031 |
| EG America LLC Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 4.250% 7.9241% 3/10/26 (f)(g)(s) | 1133632  | 1035618  |
|  3 month U.S. LIBOR + 4.000% 7.6741% 2/6/25 (f)(g)(s) | 6518045  | 5940611  |
| EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 7.6741% 2/6/25 (f)(g)(s) | 2134963 | 1945827 |
| GIP II Blue Holding LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 8.1741% 9/29/28 (f)(g)(s) | 4543670 | 4502005 |
| GIP III Stetson I LP Tranche B, term loan 3 month U.S. LIBOR + 4.250% 8.0039% 7/18/25 (f)(g)(s) | 2747646 | 2676895 |
| Limetree Bay Terminals LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8.8148% 2/15/24 (f)(g)(s) | 2667241 | 1851839 |
| Mesquite Energy, Inc.: |  |  |
|  1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(e)(g)(s) | 1224553  | 0  |
|  term loan 3 month U.S. LIBOR + 0.000% 0% (c)(e)(g)(s) | 528000  | 0  |
| WaterBridge Operating LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 9.1274% 6/21/26 (f)(g)(s) | 1091250 | 1045265 |
|  |  | 37713876 |
| TOTAL ENERGY |  | 38790449 |
| FINANCIALS - 0.5%  |  |  |
| Capital Markets - 0.1% |  |  |
| AssuredPartners, Inc. Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 3.500% 7.5714% 2/13/27 (f)(g)(s) | 1128100  | 1083213  |
|  1 month U.S. LIBOR + 3.500% 7.5714% 2/13/27 (f)(g)(s) | 1072672  | 1028960  |
|  CME Term SOFR 1 Month Index + 4.250% 2/13/27 (g)(s)(t) | 1595000  | 1564105  |
| Broadstreet Partners, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 1/27/27 (f)(g)(s) | 663300 | 638015 |
| Citadel Securities LP Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 2.500% 6.3432% 2/27/28 (f)(g)(s) | 2856500  | 2810082  |
|  CME Term SOFR 1 Month Index + 3.000% 6.8432% 2/2/28 (f)(g)(s) | 1070000  | 1061312  |
| Cypress Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 6.3214% 9/21/28 (f)(g)(s) | 859505 | 844893 |
| Deerfield Dakota Holding LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.8365% 4/9/27 (f)(g)(s) | 1032703 | 974428 |
| Franklin Square Holdings LP Tranche B, term loan 3 month U.S. LIBOR + 2.250% 6.375% 8/3/25 (c)(f)(g)(s) | 1072077 | 1058676 |
| Hightower Holding LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.2776% 4/21/28 (f)(g)(s) | 2203596 | 2054853 |
| Superannuation & Investments U.S. LLC 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 12/1/28 (f)(g)(s) | 1664925 | 1623302 |
|  |  | 14741839 |
| Diversified Financial Services - 0.1% |  |  |
| ACNR Holdings, Inc. term loan 20.3269% 9/16/25 (c)(f)(s) | 73404 | 73404 |
| Agellan Portfolio 9% 8/7/25 (c)(f)(s) | 239000 | 239000 |
| Finco I LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.5714% 6/27/25 (f)(g)(s) | 594253 | 590913 |
| Focus Financial Partners LLC: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.5865% 6/24/28 (f)(g)(s) | 740973  | 717951  |
|  Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 6/30/28 (g)(s)(t) | 2280000  | 2241536  |
| GT Polaris, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.1647% 9/24/27 (f)(g)(s) | 1051315 | 944869 |
| KREF Holdings X LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.4375% 9/1/27 (c)(f)(g)(s) | 1216544 | 1201338 |
| LHS Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 8.9365% 2/18/29 (f)(g)(s) | 2736250 | 2206102 |
| Mhp 2022-Mhil Mezz U.S. Secured Overnight Fin. Rate (SOFR) Index + 5.000% 8.7943% 1/9/24 (c)(f)(g)(s) | 3692270 | 3507657 |
| Nexus Buyer LLC: |  |  |
|  2LN, term loan 1 month U.S. LIBOR + 6.250% 10.3214% 11/5/29 (f)(g)(s) | 795000  | 736703  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 11/8/26 (f)(g)(s) | 1563074  | 1495080  |
| Sunbelt Mezz U.S. Secured Overnight Fin. Rate (SOFR) Index + 4.450% 8.3085% 1/21/27 (c)(f)(g)(s) | 2258104 | 2258104 |
| TransUnion LLC: |  |  |
|  Tranche B5 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.8214% 11/16/26 (f)(g)(s) | 1545737  | 1502951  |
|  Tranche B6 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.3214% 12/1/28 (f)(g)(s) | 1665357  | 1635797  |
| UFC Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 7.11% 4/29/26 (f)(g)(s) | 1239498 | 1216951 |
| Veritas Multifamily Portfolio 1 month U.S. LIBOR + 8.500% 12.3753% 11/15/23 (c)(f)(g)(s) | 3069200 | 2946432 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 9.3636% 2/9/27 (f)(g)(s) | 1880288 | 1793324 |
|  |  | 25308112 |
| Insurance - 0.3% |  |  |
| Acrisure LLC Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 3.500% 7.5714% 2/13/27 (f)(g)(s) | 5418469  | 5063343  |
|  1 month U.S. LIBOR + 4.250% 8.3214% 2/15/27 (f)(g)(s) | 2614429  | 2506584  |
|  CME Term SOFR 1 Month Index + 5.750% 9.9157% 2/15/27 (f)(g)(s) | 3240000  | 3207600  |
| Alliant Holdings Intermediate LLC: |  |  |
|  Tranche B, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 5/10/25 (f)(g)(s) | 1877564  | 1839712  |
|  Tranche B-2 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 5/9/25 (f)(g)(s) | 725625  | 710205  |
|  Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.4386% 11/12/27 (f)(g)(s) | 1856250  | 1799412  |
| AmWINS Group, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.3214% 2/19/28 (f)(g)(s) | 2889806 | 2827415 |
| Amynta Agency Borrower, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 2/28/25 (c)(g)(s)(t) | 815000 | 774250 |
| Asurion LLC: |  |  |
|  1LN, term loan CME Term SOFR 1 Month Index + 4.000% 7.6532% 8/17/28 (f)(g)(s) | 2783329  | 2434244  |
|  Tranche B 7LN, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 11/3/24 (f)(g)(s) | 6085116  | 5825221  |
|  Tranche B3 2LN, term loan 1 month U.S. LIBOR + 5.250% 9.3214% 1/31/28 (f)(g)(s) | 8625000  | 6632625  |
|  Tranche B4 2LN, term loan 1 month U.S. LIBOR + 5.250% 9.3214% 1/20/29 (f)(g)(s) | 1925000  | 1474223  |
|  Tranche B8 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 12/23/26 (f)(g)(s) | 7638739  | 6671140  |
|  Tranche B9 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 7/31/27 (f)(g)(s) | 2038950  | 1763182  |
| HUB International Ltd.: |  |  |
|  Tranche B 1LN, term loan:  |  |  |
|  1 month U.S. LIBOR + 3.250% 7.5268% 4/25/25 (f)(g)(s) | 4036700  | 3967228  |
|  CME Term SOFR 1 Month Index + 4.000% 8.2202% 11/10/29 (f)(g)(s) | 1020000  | 1003425  |
|  Tranche B, term loan 1 month U.S. LIBOR + 3.000% 7.326% 4/25/25 (f)(g)(s) | 9641125  | 9451098  |
| Ryan Specialty Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.1865% 9/1/27 (f)(g)(s) | 1897991 | 1883282 |
| USI, Inc.: |  |  |
|  1LN, term loan:  |  |  |
|  1 month U.S. LIBOR + 3.250% 6.9241% 12/2/26 (f)(g)(s) | 729396  | 716763  |
|  CME Term SOFR 1 Month Index + 3.750% 11/16/29 (g)(s)(t) | 825000  | 810711  |
|  Tranche B, term loan 3 month U.S. LIBOR + 2.750% 6.4241% 5/16/24 (f)(g)(s) | 3779011  | 3768392  |
|  |  | 65130055 |
| Thrifts & Mortgage Finance - 0.0% |  |  |
| Walker & Dunlop, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 6.4365% 12/16/28 (c)(f)(g)(s) | 1296780 | 1274086 |
| TOTAL FINANCIALS |  | 106454092 |
| HEALTH CARE - 0.6%  |  |  |
| Health Care Equipment & Supplies - 0.1% |  |  |
| Avantor Funding, Inc. Tranche B5 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.3214% 11/6/27 (f)(g)(s) | 2908028 | 2883310 |
| Embecta Corp. Tranche B 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 3.000% 6.5532% 3/31/29 (f)(g)(s) | 995000 | 955827 |
| ICU Medical, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 6.0067% 1/6/29 (f)(g)(s) | 1208925 | 1160568 |
| Insulet Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 5/4/28 (f)(g)(s) | 3912586 | 3841689 |
| Maravai Intermediate Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 6.955% 10/19/27 (f)(g)(s) | 2748444 | 2696911 |
| Mozart Borrower LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 10/23/28 (f)(g)(s) | 2676550 | 2539002 |
| Packaging Coordinators Midco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 7.1741% 11/30/27 (f)(g)(s) | 1250950 | 1203514 |
| Pathway Vet Alliance LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4241% 3/31/27 (f)(g)(s) | 1560799 | 1368493 |
|  |  | 16649314 |
| Health Care Providers & Services - 0.2% |  |  |
| Accelerated Health Systems LLC Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 4.250% 7.9532% 2/2/29 (f)(g)(s) | 1660838 | 1402577 |
| AHP Health Partners, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 8/23/28 (f)(g)(s) | 1251066 | 1216136 |
| Charlotte Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 9.0458% 2/12/28 (f)(g)(s) | 890000 | 842536 |
| Da Vinci Purchaser Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.8236% 12/13/26 (f)(g)(s) | 3687575 | 3457102 |
| Electron BidCo, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 11/1/28 (f)(g)(s) | 1223850 | 1186266 |
| Gainwell Acquisition Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 10/1/27 (f)(g)(s) | 15330468 | 14931875 |
| Horizon Pharma U.S.A., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.8125% 3/15/28 (f)(g)(s) | 1408550 | 1392704 |
| Icon Luxembourg Sarl Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9375% 7/3/28 (f)(g)(s) | 4609442 | 4583767 |
| MED ParentCo LP: |  |  |
|  1LN, term loan 1 month U.S. LIBOR + 4.250% 8.3214% 8/31/26 (f)(g)(s) | 1297191  | 1100342  |
|  2LN, term loan 1 month U.S. LIBOR + 8.250% 12.3214% 8/30/27 (f)(g)(s) | 485000  | 361325  |
| National Mentor Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4658% 3/2/28 (f)(g)(s) | 584146 | 412635 |
| Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 11/15/28 (f)(g)(s) | 5925225 | 5690468 |
| Pluto Acquisition I, Inc. term loan 1 month U.S. LIBOR + 4.000% 8.7349% 6/20/26 (f)(g)(s) | 1333125 | 986513 |
| Surgery Center Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.63% 8/31/26 (f)(g)(s) | 1787493 | 1751743 |
| U.S. Anesthesia Partners, Inc.: |  |  |
|  2LN, term loan 1 month U.S. LIBOR + 7.500% 11.2677% 10/1/29 (c)(f)(g)(s) | 285000  | 262200  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.0177% 10/1/28 (f)(g)(s) | 3281875  | 3135733  |
| Upstream Newco, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.0648% 11/20/26 (f)(g)(s) | 3126590 | 2821747 |
|  |  | 45535669 |
| Health Care Technology - 0.2% |  |  |
| Athenahealth Group, Inc.: |  |  |
|  Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.4106% 2/15/29 (f)(g)(s) | 18756036  | 17086749  |
|  Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (g)(s)(u) | 3186957  | 2903317  |
| Emerald TopCo, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 7/25/26 (f)(g)(s) | 809739 | 747997 |
| Imprivata, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 12/1/27 (f)(g)(s) | 1576000 | 1493260 |
| PointClickCare Technologies, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 5.9375% 12/29/27 (f)(g)(s) | 788000 | 774210 |
| Virgin Pulse, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.0714% 4/6/28 (f)(g)(s) | 2644789 | 2243654 |
| Zelis Payments Buyer, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 9/30/26 (f)(g)(s) | 2768842 | 2731767 |
|  |  | 27980954 |
| Life Sciences Tools & Services - 0.0% |  |  |
| PRA Health Sciences, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9375% 7/3/28 (f)(g)(s) | 1148445 | 1142048 |
| Pharmaceuticals - 0.1% |  |  |
| Elanco Animal Health, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.5177% 8/1/27 (f)(g)(s) | 4941818 | 4775822 |
| Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 5/5/28 (f)(g)(s) | 5578109 | 5529300 |
| Organon & Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.1875% 6/2/28 (f)(g)(s) | 4432605 | 4383846 |
| Perrigo Investments LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 6.6865% 4/20/29 (f)(g)(s) | 882788 | 868442 |
|  |  | 15557410 |
| TOTAL HEALTH CARE |  | 106865395 |
| INDUSTRIALS - 1.0%  |  |  |
| Aerospace & Defense - 0.1% |  |  |
| Gemini HDPE LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.42% 12/31/27 (f)(g)(s) | 927785 | 902967 |
| Maxar Technologies, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 8.4365% 6/9/29 (f)(g)(s) | 1271813 | 1222326 |
| TransDigm, Inc.: |  |  |
|  Tranche E 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9241% 5/30/25 (f)(g)(s) | 725301  | 714472  |
|  Tranche F 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9241% 12/9/25 (f)(g)(s) | 9645741  | 9491988  |
|  Tranche G 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9241% 8/22/24 (f)(g)(s) | 1377001  | 1370240  |
|  |  | 13701993 |
| Air Freight & Logistics - 0.0% |  |  |
| Dynasty Acquisition Co., Inc.: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 4/8/26 (f)(g)(s) | 1023054  | 981917  |
|  Tranche B2 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 4/4/26 (f)(g)(s) | 550029  | 527912  |
| Echo Global Logistics, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 11/23/28 (f)(g)(s) | 1915375 | 1759272 |
| STG Logistics, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 6.000% 10.1865% 3/24/28 (f)(g)(s) | 950225 | 897963 |
|  |  | 4167064 |
| Airlines - 0.1% |  |  |
| AAdvantage Loyalty IP Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.9926% 4/20/28 (f)(g)(s) | 5395000 | 5357451 |
| Air Canada Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.13% 8/11/28 (f)(g)(s) | 1401488 | 1383969 |
| Mileage Plus Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.250% 8.7771% 7/2/27 (f)(g)(s) | 2911750 | 2991823 |
| SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.9926% 10/20/27 (f)(g)(s) | 3020000 | 3060015 |
| United Airlines, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.1084% 4/21/28 (f)(g)(s) | 4910225 | 4841826 |
| WestJet Airlines Ltd. 1LN, term loan 3 month U.S. LIBOR + 3.000% 6.9386% 12/11/26 (f)(g)(s) | 650221 | 582110 |
|  |  | 18217194 |
| Building Products - 0.1% |  |  |
| Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.3247% 5/17/28 (f)(g)(s) | 3415612 | 2472664 |
| APi Group DE, Inc. Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 2.500% 6.5714% 10/1/26 (f)(g)(s) | 1240993  | 1227342  |
|  1 month U.S. LIBOR + 2.750% 6.8214% 1/3/29 (f)(g)(s) | 2564482  | 2535632  |
| DiversiTech Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.451% 12/22/28 (f)(g)(s) | 876354 | 808708 |
| Foley Products Co. LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 8.4532% 12/29/28 (f)(g)(s) | 1387902 | 1315912 |
| Griffon Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.0072% 1/24/29 (f)(g)(s) | 1918900 | 1881731 |
| Hunter Douglas, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.8588% 2/25/29 (f)(g)(s) | 9216900 | 8023680 |
| Ingersoll-Rand Services Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.5787% 2/28/27 (f)(g)(s) | 1647750 | 1630762 |
| Oscar AcquisitionCo LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 8.1532% 4/29/29 (f)(g)(s) | 3505000 | 3224600 |
| Specialty Building Products Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.2661% 10/15/28 (f)(g)(s) | 721375 | 635935 |
| Standard Industries, Inc./New Jersey Tranche B 1LN, term loan 6 month U.S. LIBOR + 2.250% 6.4251% 9/22/28 (f)(g)(s) | 987090 | 975373 |
|  |  | 24732339 |
| Commercial Services & Supplies - 0.4% |  |  |
| ABG Intermediate Holdings 2 LLC: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 9/27/24 (f)(g)(s) | 2825000  | 2797937  |
|  Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 6.000% 10.1865% 12/20/29 (f)(g)(s) | 880000  | 809600  |
|  Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.3287% 12/21/28 (f)(g)(s) | 5860312  | 5657663  |
| ADS Tactical, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.750% 9.7661% 3/19/26 (f)(g)(s) | 1748250 | 1564684 |
| All-Star Bidco AB: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.7349% 11/16/28 (f)(g)(s) | 595500  | 577635  |
|  Tranche B1 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.2349% 11/16/28 (f)(g)(s) | 1146338  | 1109082  |
| Allied Universal Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 5/14/28 (f)(g)(s) | 3930839 | 3710634 |
| APX Group, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.7365% 7/9/28 (f)(g)(s) | 1714650 | 1632930 |
| AVSC Holding Corp. Tranche B2 1LN, term loan 3 month U.S. LIBOR + 5.500% 8.6441% 10/15/26 (f)(g)(s) | 1536318 | 1391904 |
| Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 8.493% 6/21/24 (f)(g)(s) | 11528865 | 10141251 |
| Cimpress U.S.A., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 5/17/28 (f)(g)(s) | 496912 | 436040 |
| Clean Harbors, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 5.7539% 10/8/28 (f)(g)(s) | 511138 | 508265 |
| Congruex Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.750% 9.9942% 5/3/29 (f)(g)(s) | 1401488 | 1361195 |
| Covanta Holding Corp.: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.2287% 11/30/28 (f)(g)(s) | 1462546  | 1432081  |
|  Tranche C 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.2287% 11/30/28 (f)(g)(s) | 110105  | 107811  |
| Eagle 4 Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.9241% 7/12/28 (f)(g)(s) | 676293 | 668123 |
| Ensemble RCM LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.9442% 8/1/26 (f)(g)(s) | 1671109 | 1619589 |
| Filtration Group Corp.: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 10/21/28 (f)(g)(s) | 994975  | 968359  |
|  Tranche B, term loan 3 month U.S. LIBOR + 3.000% 6.7539% 3/29/25 (f)(g)(s) | 2041257  | 2012434  |
| Gateway Merger Sub 2021, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.250% 9.5382% 6/30/28 (f)(g)(s) | 641759 | 603253 |
| Harland Clarke Holdings Corp. 1LN, term loan CME Term SOFR 1 Month Index + 7.750% 12.1958% 6/16/26 (f)(g)(s) | 1088838 | 784649 |
| Indy U.S. Bidco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 3/5/28 (f)(g)(s) | 1132808 | 989791 |
| KNS Acquisitions, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 6.250% 10.4199% 4/21/27 (f)(g)(s) | 1602571 | 1463676 |
| Madison IAQ LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.8153% 6/21/28 (f)(g)(s) | 2616875 | 2481138 |
| Maverick Purchaser Sub LLC: |  |  |
|  Tranche B 1LN, term loan:  |  |  |
|  1 month U.S. LIBOR + 4.000% 7.7977% 1/23/27 (f)(g)(s) | 2150500  | 2118243  |
|  CME Term SOFR 1 Month Index + 4.000% 7.3925% 2/16/29 (f)(g)(s) | 2827913  | 2780206  |
|  Tranche B 2LN, term loan 1 month U.S. LIBOR + 8.750% 12.9199% 1/31/28 (f)(g)(s) | 1180000  | 1073800  |
| MHI Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 9.0714% 9/20/26 (f)(g)(s) | 1394046 | 1376621 |
| Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 4/11/29 (g)(s)(t) | 4160000 | 3733600 |
| Pilot Travel Centers LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 6.1865% 8/4/28 (f)(g)(s) | 4054300 | 3991783 |
| PowerTeam Services LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.1741% 3/6/25 (f)(g)(s) | 1745692 | 1425357 |
| RLG Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.0714% 7/8/28 (f)(g)(s) | 1017313 | 956701 |
| Sabert Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 8.625% 12/10/26 (f)(g)(s) | 2870649 | 2834765 |
| SuperMoose Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.4241% 8/29/25 (f)(g)(s) | 838338 | 724114 |
| The Brickman Group, Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.3365% 4/14/29 (f)(g)(s) | 1420539 | 1364896 |
| The GEO Group, Inc. Tranche 1B 1LN, term loan CME Term SOFR 1 Month Index + 7.120% 11.2115% 3/23/27 (f)(g)(s) | 644325 | 644125 |
| WMB Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.4365% 11/3/29 (f)(g)(s) | 1135000 | 1116556 |
| WTG Holdings III Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.375% 4/1/28 (f)(g)(s) | 597438 | 589223 |
|  |  | 69559714 |
| Construction & Engineering - 0.1% |  |  |
| JMC Steel Group, Inc. 1LN, term loan 1 month U.S. LIBOR + 2.000% 5.6039% 1/24/27 (f)(g)(s) | 1083748 | 1055755 |
| Pike Corp. Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 3.000% 6.76% 1/21/28 (f)(g)(s) | 1198630  | 1174094  |
|  CME Term SOFR 1 Month Index + 3.500% 7.5865% 1/21/28 (f)(g)(s) | 1050000  | 1036224  |
| Rockwood Service Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.3214% 1/23/27 (f)(g)(s) | 1935929 | 1888751 |
| SRS Distribution, Inc. Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 3.500% 7.2539% 6/4/28 (f)(g)(s) | 3829093  | 3671143  |
|  CME Term SOFR 1 Month Index + 3.500% 7.6865% 6/2/28 (f)(g)(s) | 994987  | 950521  |
| Traverse Midstream Partners Ll Tranche B, term loan CME Term SOFR 1 Month Index + 4.250% 8.4053% 9/27/24 (f)(g)(s) | 813969 | 807864 |
| USIC Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 5/7/28 (f)(g)(s) | 1331550 | 1274400 |
|  |  | 11858752 |
| Electrical Equipment - 0.0% |  |  |
| Alliance Laundry Systems LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.4087% 10/8/27 (f)(g)(s) | 529623 | 516515 |
| Array Technologies, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.9419% 10/14/27 (f)(g)(s) | 4297038 | 4098300 |
| AZZ, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 8.0787% 5/13/29 (f)(g)(s) | 1458558 | 1452184 |
| Vertiv Group Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.5549% 3/2/27 (f)(g)(s) | 3570961 | 3477224 |
|  |  | 9544223 |
| Machinery - 0.0% |  |  |
| Ali Group North America Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 6.2009% 7/23/29 (f)(g)(s) | 1405367 | 1385607 |
| CPM Holdings, Inc.: |  |  |
|  2LN, term loan 3 month U.S. LIBOR + 8.250% 12.0177% 11/15/26 (f)(g)(s) | 127677  | 123741  |
|  Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 7.2677% 11/15/25 (f)(g)(s) | 871962  | 856162  |
| TNT Crane & Rigging LLC 2LN, term loan 3 month U.S. LIBOR + 8.750% 12.4929% 4/16/25 (c)(f)(g)(s) | 418990 | 391755 |
|  |  | 2757265 |
| Professional Services - 0.1% |  |  |
| AlixPartners LLP Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.8214% 2/4/28 (f)(g)(s) | 1549197 | 1517253 |
| Cast & Crew Payroll LLC Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 3.500% 7.5714% 2/7/26 (f)(g)(s) | 2349215  | 2309419  |
|  CME Term SOFR 1 Month Index + 3.750% 7.8365% 12/30/28 (f)(g)(s) | 1557155  | 1529251  |
| CHG Healthcare Services, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 9/30/28 (f)(g)(s) | 736232 | 720852 |
| CoreLogic, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.625% 6/2/28 (f)(g)(s) | 5685331 | 4676184 |
| EAB Global, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 8/16/28 (f)(g)(s) | 630238 | 606490 |
| EmployBridge LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.4241% 7/19/28 (f)(g)(s) | 2692054 | 2175529 |
| Galaxy U.S. Opco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 8.8365% 4/29/29 (f)(g)(s) | 1120000 | 1020600 |
| Sitel Worldwide Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.83% 8/27/28 (f)(g)(s) | 1496222 | 1480631 |
| Vaco Holdings LLC 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 8.72% 1/21/29 (f)(g)(s) | 769188 | 733136 |
|  |  | 16769345 |
| Road & Rail - 0.0% |  |  |
| Genesee & Wyoming, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 5.6741% 12/30/26 (f)(g)(s) | 1950000 | 1929291 |
| Trading Companies & Distributors - 0.0% |  |  |
| Beacon Roofing Supply, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.3214% 5/19/28 (f)(g)(s) | 992438 | 975943 |
| Transportation Infrastructure - 0.1% |  |  |
| AIT Worldwide Logistics Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.4907% 4/6/28 (f)(g)(s) | 2178549 | 1982479 |
| ASP LS Acquisition Corp.: |  |  |
|  2LN, term loan 1 month U.S. LIBOR + 7.500% 10.3769% 5/7/29 (c)(f)(g)(s) | 295000  | 197650  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 7.3769% 4/30/28 (f)(g)(s) | 1262250  | 978244  |
| Brown Group Holding LLC Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.7412% 6/9/29 (f)(g)(s) | 1130000 | 1121525 |
| Einstein Merger Sub, Inc. 2LN, term loan 3 month U.S. LIBOR + 7.000% 11.2113% 11/23/29 (c)(f)(g)(s) | 780000 | 776100 |
| First Student Bidco, Inc.: |  |  |
|  Tranche B 1LN, term loan:  |  |  |
|  1 month U.S. LIBOR + 3.000% 6.6419% 7/21/28 (f)(g)(s) | 1554941  | 1459219  |
|  CME Term SOFR 1 Month Index + 4.000% 7.6532% 7/21/28 (f)(g)(s) | 1168831  | 1122078  |
|  Tranche C 1LN, term loan:  |  |  |
|  1 month U.S. LIBOR + 3.000% 6.6419% 7/21/28 (f)(g)(s) | 578309  | 542708  |
|  CME Term SOFR 1 Month Index + 4.000% 7.6532% 7/21/28 (f)(g)(s) | 81169  | 77922  |
| Worldwide Express, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 7/22/28 (f)(g)(s) | 1578075 | 1428821 |
|  |  | 9686746 |
| TOTAL INDUSTRIALS |  | 183899869 |
| INFORMATION TECHNOLOGY - 1.1%  |  |  |
| Communications Equipment - 0.1% |  |  |
| Anastasia Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 7.4241% 8/10/25 (f)(g)(s) | 3578482 | 2636268 |
| CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 7.3214% 4/4/26 (f)(g)(s) | 5998833 | 5757020 |
| Eos U.S. Finco LLC 1LN, term loan CME Term SOFR 1 Month Index + 6.000% 9.6123% 10/6/29 (f)(g)(s) | 1205000 | 1159813 |
| Radiate Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 9/25/26 (f)(g)(s) | 5275351 | 4615088 |
|  |  | 14168189 |
| Electronic Equipment & Components - 0.1% |  |  |
| Coherent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 6.5857% 7/1/29 (f)(g)(s) | 4420000 | 4367535 |
| DG Investment Intermediate Holdings, Inc.: |  |  |
|  2LN, term loan 1 month U.S. LIBOR + 6.750% 10.8214% 3/31/29 (f)(g)(s) | 315000  | 277200  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 3/31/28 (f)(g)(s) | 1367733  | 1307895  |
| Go Daddy Operating Co. LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 6.0714% 8/10/27 (f)(g)(s) | 1832813 | 1814484 |
| TTM Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 6.2677% 9/28/24 (f)(g)(s) | 2347994 | 2332333 |
|  |  | 10099447 |
| IT Services - 0.2% |  |  |
| Acuris Finance U.S., Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 7.7032% 2/16/28 (f)(g)(s) | 1312500 | 1287182 |
| AEA International Holdings Luxembourg SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4375% 9/7/28 (f)(g)(s) | 774150 | 760602 |
| Arches Buyer, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 12/4/27 (f)(g)(s) | 1270056 | 1152309 |
| Camelot Finance SA: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 10/31/26 (f)(g)(s) | 3289219  | 3232677  |
|  Tranche B, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 10/31/26 (f)(g)(s) | 1950608  | 1915009  |
| GoDaddy, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.3365% 10/21/29 (f)(g)(s) | 1878203 | 1871423 |
| GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 10.75% 5/31/25 (f)(g)(s) | 6139144 | 3622095 |
| Hunter U.S. Bidco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.9241% 8/19/28 (f)(g)(s) | 1990506 | 1940744 |
| Ion Trading Finance Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.4241% 3/26/28 (f)(g)(s) | 5227221 | 4991996 |
| Park Place Technologies LLC 1LN, term loan 1 month U.S. LIBOR + 5.000% 9.1865% 11/10/27 (f)(g)(s) | 2276301 | 2141999 |
| Peraton Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 2/1/28 (f)(g)(s) | 9150238 | 8921482 |
| Sabre GLBL, Inc.: |  |  |
|  Tranche B-1 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 12/17/27 (f)(g)(s) | 181978  | 167535  |
|  Tranche B-2 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 12/17/27 (f)(g)(s) | 290084  | 267060  |
| Tempo Acquisition LLC: |  |  |
|  1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Index + 3.000% 7.0865% 8/31/28 (f)(g)(s) | 2961834  | 2935918  |
|  Tranche B, term loan 1 month U.S. LIBOR + 2.750% 6.8214% 5/1/24 (f)(g)(s) | 224212  | 222307  |
| Verscend Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.0714% 8/27/25 (f)(g)(s) | 4462045 | 4424609 |
| VFH Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 7.0106% 1/13/29 (f)(g)(s) | 3895000 | 3778150 |
|  |  | 43633097 |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| Entegris, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 5.8924% 7/6/29 (f)(g)(s) | 4785000 | 4740452 |
| MKS Instruments, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 6.7606% 8/17/29 (f)(g)(s) | 3795000 | 3696975 |
|  |  | 8437427 |
| Software - 0.7% |  |  |
| A&V Holdings Midco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.370% 9.5378% 3/10/27 (f)(g)(s) | 1648661 | 1599201 |
| Applied Systems, Inc.: |  |  |
|  Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9/19/26 (g)(s)(t) | 500000  | 496720  |
|  Tranche B, term loan 1 month U.S. LIBOR + 3.000% 6.6741% 9/19/24 (f)(g)(s) | 1235000  | 1230085  |
| AppLovin Corp.: |  |  |
|  Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 6.6741% 10/25/28 (f)(g)(s) | 517644  | 484644  |
|  Tranche B, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 8/15/25 (f)(g)(s) | 2829456  | 2741036  |
| Aptean, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.9849% 4/23/26 (f)(g)(s) | 1131356 | 1078556 |
| Ascend Learning LLC: |  |  |
|  2LN, term loan 1 month U.S. LIBOR + 5.750% 9.8214% 12/10/29 (f)(g)(s) | 440380  | 373222  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 12/10/28 (f)(g)(s) | 7564159  | 7146013  |
| Byju's Alpha, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 6.000% 10.6897% 11/24/26 (f)(g)(s) | 2079288 | 1647835 |
| Central Parent, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 8.1123% 7/6/29 (f)(g)(s) | 6490000 | 6406668 |
| Ceridian HCM Holding, Inc. Tranche B, term loan 1 month U.S. LIBOR + 2.500% 6.5714% 4/30/25 (f)(g)(s) | 2282007 | 2227331 |
| ConnectWise LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.1741% 9/30/28 (f)(g)(s) | 2367113 | 2268877 |
| DCert Buyer, Inc.: |  |  |
|  1LN, term loan 3 month U.S. LIBOR + 4.000% 8.6956% 10/16/26 (f)(g)(s) | 5340427  | 5128732  |
|  Tranche B 2LN, term loan 1 month U.S. LIBOR + 7.000% 11.6956% 2/19/29 (f)(g)(s) | 1330000  | 1204488  |
| Epicor Software Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 7/31/27 (f)(g)(s) | 2830036 | 2729796 |
| Finastra U.S.A., Inc.: |  |  |
|  Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 10.6207% 6/13/25 (f)(g)(s) | 697000  | 532773  |
|  Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 6.8707% 6/13/24 (f)(g)(s) | 2149437  | 1940361  |
| Flexera Software LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.83% 3/3/28 (f)(g)(s) | 1347694 | 1296037 |
| Greeneden U.S. Holdings II LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.0714% 12/1/27 (f)(g)(s) | 2676944 | 2594976 |
| Hyland Software, Inc.: |  |  |
|  2LN, term loan 1 month U.S. LIBOR + 6.250% 10.3214% 7/10/25 (f)(g)(s) | 126720  | 119513  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 7/1/24 (f)(g)(s) | 3152621  | 3103377  |
| MA FinanceCo. LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.4179% 6/5/25 (f)(g)(s) | 593459 | 589008 |
| McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.6363% 3/1/29 (f)(g)(s) | 3467850 | 3287973 |
| MH Sub I LLC: |  |  |
|  1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 9/15/24 (f)(g)(s) | 3541891  | 3442293  |
|  Tranche B 2LN, term loan 1 month U.S. LIBOR + 6.250% 10.649% 2/23/29 (f)(g)(s) | 1660000  | 1487775  |
|  Tranche B, term loan 3 month U.S. LIBOR + 3.750% 7.8214% 9/15/24 (f)(g)(s) | 4288083  | 4168359  |
| Motus Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.0714% 12/10/28 (f)(g)(s) | 606950 | 571292 |
| NAVEX TopCo, Inc.: |  |  |
|  2LN, term loan 3 month U.S. LIBOR + 7.000% 11.08% 9/4/26 (f)(g)(s) | 100000  | 97750  |
|  Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 7.33% 9/5/25 (f)(g)(s) | 719550  | 710405  |
| NortonLifeLock, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 6.1865% 9/12/29 (f)(g)(s) | 4600000 | 4517568 |
| Open Text Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 11/16/29 (g)(s)(t) | 4585000 | 4449376 |
| Polaris Newco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 6/2/28 (f)(g)(s) | 9482135 | 8643535 |
| Project Boost Purchaser LLC 1LN, term loan 3 month U.S. LIBOR + 3.500% 7.5714% 5/30/26 (f)(g)(s) | 1717392 | 1657644 |
| Proofpoint, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.3196% 8/31/28 (f)(g)(s) | 4471213 | 4296567 |
| Rackspace Technology Global, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 7.38% 2/15/28 (f)(g)(s) | 3985658 | 2667641 |
| RealPage, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 4/22/28 (f)(g)(s) | 4021912 | 3843460 |
| Red Planet Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 9/30/28 (f)(g)(s) | 1345107 | 802585 |
| Renaissance Holdings Corp.: |  |  |
|  1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.2939% 3/17/29 (f)(g)(s) | 922688  | 887515  |
|  Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 7.3214% 5/31/25 (f)(g)(s) | 1615492  | 1544814  |
| Sophia LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.1741% 10/7/27 (f)(g)(s) | 6960031 | 6697289 |
| SS&C Technologies, Inc.: |  |  |
|  Tranche B 3LN, term loan 1 month U.S. LIBOR + 1.750% 5.5039% 4/16/25 (f)(g)(s) | 1237924  | 1214193  |
|  Tranche B 4LN, term loan 1 month U.S. LIBOR + 1.750% 5.5039% 4/16/25 (f)(g)(s) | 1034204  | 1014378  |
|  Tranche B 5LN, term loan 1 month U.S. LIBOR + 1.750% 5.5039% 4/16/25 (f)(g)(s) | 3810498  | 3736422  |
| STG-Fairway Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.8214% 1/31/27 (f)(g)(s) | 665216 | 652464 |
| UKG, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.8214% 5/4/26 (f)(g)(s) | 5869944 | 5710986 |
| Ultimate Software Group, Inc.: |  |  |
|  1LN, term loan 1 month U.S. LIBOR + 3.250% 6.9983% 5/3/26 (f)(g)(s) | 7485976  | 7220823  |
|  2LN, term loan 1 month U.S. LIBOR + 5.250% 8.9983% 5/3/27 (f)(g)(s) | 2665000  | 2438475  |
| VS Buyer LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 2/28/27 (f)(g)(s) | 3212227 | 3147983 |
|  |  | 125848814 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |
| Seattle Spinco, Inc.: |  |  |
|  Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.0106% 3/1/27 (f)(g)(s) | 5164283  | 5073909  |
|  Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.750% 6.8214% 6/21/24 (f)(g)(s) | 4360868  | 4306357  |
|  |  | 9380266 |
| TOTAL INFORMATION TECHNOLOGY |  | 211567240 |
| MATERIALS - 0.4%  |  |  |
| Chemicals - 0.2% |  |  |
| ARC Falcon I, Inc.: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 9/30/28 (f)(g)(s) | 2733400  | 2439068  |
|  Tranche B 2LN, term loan 1 month U.S. LIBOR + 7.000% 11.0714% 9/22/29 (c)(f)(g)(s) | 345000  | 301013  |
|  Tranche DD 1LN, term loan 1 month U.S. LIBOR + 3.750% 9/30/28 (g)(s)(u) | 402052  | 358759  |
| Aruba Investment Holdings LLC: |  |  |
|  1LN, term loan CME Term SOFR 1 Month Index + 4.750% 8.5439% 11/4/27 (f)(g)(s) | 1080000  | 1015200  |
|  2LN, term loan 1 month U.S. LIBOR + 7.750% 11.7936% 11/24/28 (f)(g)(s) | 485000  | 438115  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.0436% 11/24/27 (f)(g)(s) | 2553008  | 2465772  |
| Avient Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.3442% 8/29/29 (f)(g)(s) | 711538 | 707760 |
| Bakelite U.S. Holding Ltd. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 7.669% 5/27/29 (f)(g)(s) | 887775 | 825631 |
| Consolidated Energy Finance SA: |  |  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.3581% 5/7/25 (c)(f)(g)(s) | 3114763  | 2959025  |
|  Tranche B, term loan 3 month U.S. LIBOR + 2.500% 6.5714% 5/7/25 (f)(g)(s) | 1737419  | 1663578  |
| Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.370% 10/4/29 (g)(s)(t) | 4475000 | 4075606 |
| Groupe Solmax, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.3919% 5/27/28 (f)(g)(s) | 1422796 | 1124009 |
| Herens U.S. Holdco Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 7/3/28 (f)(g)(s) | 1653279 | 1514404 |
| Hexion Holdings Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 8.9345% 3/15/29 (f)(g)(s) | 3960075 | 3377944 |
| Hexion, Inc. 2LN, term loan CME Term SOFR 1 Month Index + 7.000% 11.4481% 2/9/30 (c)(f)(g)(s) | 675000 | 513000 |
| INEOS U.S. Petrochem LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.8214% 1/20/26 (f)(g)(s) | 2752338 | 2704172 |
| Luxembourg Investment Co. 428 SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 8.5532% 1/3/29 (f)(g)(s) | 766150 | 615471 |
| Manchester Acquisition Sub LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.750% 8.8467% 12/1/26 (f)(g)(s) | 1595450 | 1360121 |
| Messer Industries U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 6.1741% 3/1/26 (f)(g)(s) | 1272693 | 1252546 |
| Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4375% 11/9/28 (f)(g)(s) | 2869796 | 2740655 |
| Oxea Corp. Tranche B2, term loan 3 month U.S. LIBOR + 3.250% 7% 10/11/24 (f)(g)(s) | 643577 | 603354 |
| Starfruit U.S. Holdco LLC Tranche B, term loan 1 month U.S. LIBOR + 2.750% 7.1647% 10/1/25 (f)(g)(s) | 2396725 | 2333212 |
| The Chemours Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 5.83% 4/3/25 (f)(g)(s) | 2313097 | 2266835 |
| W.R. Grace Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.4375% 9/22/28 (f)(g)(s) | 1557155 | 1526012 |
|  |  | 39181262 |
| Construction Materials - 0.0% |  |  |
| Smyrna Ready Mix LLC Tranche B 1lN, term loan CME Term SOFR 1 Month Index + 4.250% 8.4365% 4/1/29 (c)(f)(g)(s) | 573563 | 562091 |
| VM Consolidated, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.1269% 3/27/28 (f)(g)(s) | 2121024 | 2102996 |
| White Capital Buyer LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.8365% 10/19/27 (f)(g)(s) | 2617043 | 2516627 |
|  |  | 5181714 |
| Containers & Packaging - 0.2% |  |  |
| AOT Packaging Products AcquisitionCo LLC 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 3/3/28 (f)(g)(s) | 2735942 | 2605985 |
| Berlin Packaging, LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.515% 3/11/28 (f)(g)(s) | 3051712 | 2918200 |
| Berry Global, Inc. Tranche Z 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.6286% 7/1/26 (f)(g)(s) | 2530575 | 2497677 |
| BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 7.0177% 4/3/24 (f)(g)(s) | 343499 | 332981 |
| Canister International Group, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.8214% 12/21/26 (f)(g)(s) | 2023125 | 1972547 |
| Charter NEX U.S., Inc. 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 12/1/27 (f)(g)(s) | 2065719 | 2009882 |
| Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 8.0037% 4/13/29 (f)(g)(s) | 11628100 | 11209721 |
| Graham Packaging Co., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 8/4/27 (f)(g)(s) | 2537861 | 2477587 |
| Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.2592% 2/9/26 (f)(g)(s) | 1068725 | 948942 |
| Pregis TopCo Corp. 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 4.000% 8.0714% 8/1/26 (f)(g)(s) | 742500  | 709088  |
|  1 month U.S. LIBOR + 4.000% 8.2009% 7/31/26 (f)(g)(s) | 729375  | 700200  |
| Reynolds Consumer Products LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.8214% 1/30/27 (f)(g)(s) | 2241193 | 2213806 |
| Reynolds Group Holdings, Inc. Tranche B 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 3.250% 7.0039% 2/5/26 (f)(g)(s) | 994937  | 979475  |
|  1 month U.S. LIBOR + 3.500% 7.2539% 9/24/28 (f)(g)(s) | 1534500  | 1510286  |
|  |  | 33086377 |
| Metals & Mining - 0.0% |  |  |
| Atkore International, Inc. Tranche B1LN, term loan 1 month U.S. LIBOR + 2.000% 6.1875% 5/26/28 (f)(g)(s) | 1016425 | 1008375 |
| Tiger Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 6/1/28 (f)(g)(s) | 987500 | 934422 |
|  |  | 1942797 |
| Paper & Forest Products - 0.0% |  |  |
| Journey Personal Care Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.9241% 3/1/28 (f)(g)(s) | 618734 | 442395 |
| TOTAL MATERIALS |  | 79834545 |
| REAL ESTATE - 0.0%  |  |  |
| Real Estate Management & Development - 0.0% |  |  |
| DTZ U.S. Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.8214% 8/21/25 (f)(g)(s) | 4379539 | 4266941 |
| Lightstone Holdco LLC: |  |  |
|  Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.750% 9.4787% 1/30/27 (f)(g)(s) | 1776142  | 1616290  |
|  Tranche C 1LN, term loan CME Term SOFR 1 Month Index + 5.750% 9.4787% 1/30/27 (f)(g)(s) | 100458  | 91416  |
|  |  | 5974647 |
| UTILITIES - 0.2%  |  |  |
| Electric Utilities - 0.2% |  |  |
| Brookfield WEC Holdings, Inc.: |  |  |
|  1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.8365% 8/1/25 (f)(g)(s) | 1830000  | 1815708  |
|  Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.8214% 8/1/25 (f)(g)(s) | 5763105  | 5650840  |
| ExGen Renewables IV, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 7.24% 12/15/27 (f)(g)(s) | 936311 | 926752 |
| Granite Generation LLC 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.8214% 11/1/26 (f)(g)(s) | 646982 | 629352 |
| PG&E Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.8125% 6/23/25 (f)(g)(s) | 14315049 | 14079423 |
| Vistra Operations Co. LLC Tranche B 3LN, term loan 1 month U.S. LIBOR + 1.750% 5.5336% 12/31/25 (f)(g)(s) | 3994414 | 3959024 |
|  |  | 27061099 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Esdec Solar Group BV Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.9199% 8/27/28 (c)(f)(g)(s) | 1848359 | 1783666 |
| Granite Acquisition, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.4241% 3/25/28 (f)(g)(s) | 740625 | 723731 |
| Natgasoline LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 7.625% 11/14/25 (f)(g)(s) | 962500 | 948063 |
| TerraForm Power Operating LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 6.4032% 5/20/29 (f)(g)(s) | 1027425 | 1019288 |
|  |  | 4474748 |
| Multi-Utilities - 0.0% |  |  |
| Osmose Utilities Services, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.2661% 6/17/28 (f)(g)(s) | 109723 | 103237 |
| TOTAL UTILITIES |  | 31639084 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $1,267,568,071) |  | <br> **1208069806** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Discover Bank 4.682% 8/9/28 (f) | 5039000 | 4853325 |
| KeyBank NA 6.95% 2/1/28  | 718000 | 756943 |
| Regions Bank 6.45% 6/26/37  | 8935000 | 9300566 |
| <br> **TOTAL BANK NOTES**<br> (Cost $15,953,593) |  | **14910834** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 0.2%** | &nbsp;&nbsp;**Fixed-Income Funds - 0.2%** | &nbsp;&nbsp;**Fixed-Income Funds - 0.2%** |
|  | Shares | Value ($)<br>|
| iShares Broad USD High Yield Corporate Bond ETF (v) | 508800 | 18036960 |
| iShares iBoxx $ High Yield Corporate Bond ETF (v) | 177800 | 13452348 |
| <br> **TOTAL FIXED-INCOME FUNDS**<br> (Cost $31,847,397) |  | **31489308** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.7%** | &nbsp;&nbsp;**Preferred Securities - 0.7%** | &nbsp;&nbsp;**Preferred Securities - 0.7%** | &nbsp;&nbsp;**Preferred Securities - 0.7%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 0.0%  |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| CAS Capital No 1 Ltd. 4% (Reg. S) (f)(h) |  | 1000000 | 695000 |
| Telefonica Europe BV 3.875% (Reg. S) (f)(h) | EUR | 2100000 | 2002244 |
|  |  |  | 2697244 |
| CONSUMER DISCRETIONARY - 0.1%  |  |  |  |
| Automobiles - 0.1% |  |  |  |
| Volkswagen International Finance NV: |  |  |  |
|  3.375% (Reg. S) (f)(h) | EUR | 2500000  | 2464921  |
|  3.748% (Reg. S) (f)(h) | EUR | 800000  | 722385  |
|  3.875% (Reg. S) (f)(h) | EUR | 9400000  | 8241032  |
|  4.625% (Reg. S) (f)(h) | EUR | 5150000  | 5096026  |
|  |  |  | 16524364 |
| CONSUMER STAPLES - 0.1%  |  |  |  |
| Food Products - 0.0% |  |  |  |
| Cosan Overseas Ltd. 8.25% (h) |  | 1486000 | 1434733 |
| Danone SA 1.75% (Reg. S) (f)(h) | EUR | 2600000 | 2665556 |
| Grupo Bimbo S.A.B. de CV 5.95% (d)(f)(h) |  | 840000 | 829500 |
|  |  |  | 4929789 |
| Tobacco - 0.1% |  |  |  |
| British American Tobacco PLC 3% (Reg. S) (f)(h) | EUR | 9510000 | 7938260 |
| TOTAL CONSUMER STAPLES |  |  | 12868049 |
| ENERGY - 0.0%  |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Gazprom PJSC Via Gaz Finance PLC 4.5985% (Reg. S) (e)(f)(h) |  | 910000 | 409500 |
| FINANCIALS - 0.2%  |  |  |  |
| Banks - 0.1% |  |  |  |
| AIB Group PLC 6.25% (Reg. S) (f)(h) | EUR | 1780000 | 1761970 |
| Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (f)(h) | EUR | 1800000 | 1819229 |
| Banco Do Brasil SA 6.25% (d)(f)(h) |  | 805000 | 723091 |
| Banco Mercantil del Norte SA: |  |  |  |
|  6.75% (d)(f)(h) |  | 1240000  | 1185440  |
|  7.625% (d)(f)(h) |  | 352000  | 317856  |
| Bank of America Corp. 5.125% (f)(h) |  | 530000 | 500797 |
| Bank of Nova Scotia: |  |  |  |
|  3 month U.S. LIBOR + 2.640% 6.5671% (f)(g)(h) |  | 2677000  | 2476225  |
|  4.9% (f)(h) |  | 1100000  | 1047750  |
| Barclays PLC: |  |  |  |
|  5.875% (Reg. S) (f)(h) | GBP | 1000000  | 1097501  |
|  7.125% (f)(h) | GBP | 250000  | 287000  |
|  8.875% (f)(h) | GBP | 1000000  | 1191809  |
| BBVA Bancomer SA Texas Branch: |  |  |  |
|  5.125% 1/18/33 (d)(f) |  | 485000  | 416154  |
|  5.35% 11/12/29 (d)(f) |  | 265000  | 253456  |
| BNP Paribas SA 6.625% (Reg. S) (f)(h) |  | 2230000 | 2146375 |
| Emirates NBD Bank PJSC 6.125% (Reg. S) (f)(h) |  | 980000 | 955684 |
| Georgia Bank Joint Stock Co. 11.125% (Reg. S) (f)(h) |  | 200000 | 193000 |
| HSBC Holdings PLC 6.375% (f)(h) |  | 2550000 | 2428875 |
| Itau Unibanco Holding SA 6.125% (d)(f)(h) |  | 1140000 | 1083713 |
| Lloyds Banking Group PLC 5.125% (f)(h) | GBP | 220000 | 242500 |
| NBK Tier 1 Financing 2 Ltd. 4.5% (d)(f)(h) |  | 850000 | 770568 |
| NBK Tier 1 Ltd. 3.625% (d)(f)(h) |  | 340000 | 291720 |
| Societe Generale 7.875% (Reg. S) (f)(h) |  | 900000 | 886140 |
| Stichting AK Rabobank Certificaten 6.5% (Reg. S) (f)(g)(h) | EUR | 1545650 | 1588298 |
| Tinkoff Credit Systems 6% (d)(f)(h) |  | 390000 | 161119 |
|  |  |  | 23826270 |
| Capital Markets - 0.1% |  |  |  |
| Credit Suisse Group AG 7.5% (Reg. S) (f)(h) |  | 7755000 | 6397875 |
| UBS Group AG 7% (Reg. S) (f)(h) |  | 644000 | 637560 |
|  |  |  | 7035435 |
| Insurance - 0.0% |  |  |  |
| QBE Insurance Group Ltd.: |  |  |  |
|  5.25% (Reg. S) (f)(h) |  | 4059000  | 3531329  |
|  5.875% (d)(f)(h) |  | 2110000  | 1935800  |
|  |  |  | 5467129 |
| TOTAL FINANCIALS |  |  | 36328834 |
| HEALTH CARE - 0.1%  |  |  |  |
| Pharmaceuticals - 0.1% |  |  |  |
| Bayer AG 2.375% 11/12/79 (Reg. S) (f) | EUR | 7200000 | 6818011 |
| INDUSTRIALS - 0.0%  |  |  |  |
| Marine - 0.0% |  |  |  |
| DP World Salaam 6% (Reg. S) (f)(h) |  | 1015000 | 1004850 |
| Road & Rail - 0.0% |  |  |  |
| National Express Group PLC 4.25% (Reg. S) (f)(h) | GBP | 900000 | 878953 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| AerCap Holdings NV 5.875% 10/10/79 (f) |  | 3500000 | 3243730 |
| TOTAL INDUSTRIALS |  |  | 5127533 |
| INFORMATION TECHNOLOGY - 0.0%  |  |  |  |
| IT Services - 0.0% |  |  |  |
| Network i2i Ltd.: |  |  |  |
|  3.975% (d)(f)(h) |  | 350000  | 298441  |
|  5.65% (d)(f)(h) |  | 1015000  | 962322  |
|  |  |  | 1260763 |
| MATERIALS - 0.0%  |  |  |  |
| Construction Materials - 0.0% |  |  |  |
| CEMEX S.A.B. de CV 5.125% (d)(f)(h) |  | 2015000 | 1773200 |
| REAL ESTATE - 0.1%  |  |  |  |
| Real Estate Management & Development - 0.1% |  |  |  |
| Aroundtown SA 3.375% (Reg. S) (f)(h) | EUR | 6000000 | 3184236 |
| AT Securities BV 5.25% (Reg. S) (f)(h) |  | 5250000 | 2908500 |
| Citycon Oyj 4.496% (Reg. S) (f)(h) | EUR | 1555000 | 992048 |
| CPI Property Group SA 3.75% (Reg. S) (f)(h) | EUR | 3955000 | 2085608 |
| Grand City Properties SA 1.5% (Reg. S) (f)(h) | EUR | 6000000 | 2747683 |
| Heimstaden Bostad AB: |  |  |  |
|  3.248% (Reg. S) (f)(h) | EUR | 5790000  | 4644127  |
|  3.625% (Reg. S) (f)(h) | EUR | 1410000  | 889738  |
| Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (f)(h) | EUR | 2605000 | 1074140 |
|  |  |  | 18526080 |
| UTILITIES - 0.1%  |  |  |  |
| Electric Utilities - 0.1% |  |  |  |
| Electricite de France SA: |  |  |  |
|  5.25% (Reg. S) (f)(h) |  | 9240000  | 9124500  |
|  5.625% (Reg. S) (f)(h) |  | 2370000  | 2227800  |
| Enel SpA 2.5% (Reg. S) (f)(h) | EUR | 3760000 | 3824621 |
| SSE PLC: |  |  |  |
|  3.74% (Reg. S) (f)(h) | GBP | 1920000  | 2092877  |
|  4% (Reg. S) (f)(h) | EUR | 2760000  | 2613571  |
|  |  |  | 19883369 |
| Multi-Utilities - 0.0% |  |  |  |
| ELM BV for Firmenich International SA 3.75% (Reg. S) (f)(h) | EUR | 705000 | 698776 |
| Veolia Environnement SA 2% (Reg. S) (f)(h) | EUR | 3500000 | 2977417 |
|  |  |  | 3676193 |
| TOTAL UTILITIES |  |  | 23559562 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $165,151,753) |  |  | <br> **125893140** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 9.7%** | &nbsp;&nbsp;**Money Market Funds - 9.7%** | &nbsp;&nbsp;**Money Market Funds - 9.7%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 3.86% (w) | 1850958511 | 1851328702 |
| Fidelity Securities Lending Cash Central Fund 3.86% (w)(x) | 15352240 | 15353775 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $1,866,680,280) |  | **1866682477** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount (a) | Notional<br> Amount (a) | Value ($) |
| Put Options - 0.0% |  |  |  |  |
| Option with an exercise rate of 4.875% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly. | 1/18/23 | EUR | 19250000 | 224768 |
| Option with an exercise rate of 5.25% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly. | 1/18/23 | EUR | 19550000 | 143588 |
| Option with an exercise rate of 6.50% on a credit default swap with BNP Paribas SA to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly. | 12/21/22 | EUR | 24700000 | 10504 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $1,142,270) |  |  |  | <br> **378860** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 116.1%**<br> (Cost $24,249,507,714)<br>| <br>**22285525161** |
| **NET OTHER ASSETS (LIABILITIES) - (16.1)%**  | **(3091457139)** |
| **NET ASSETS - 100.0%** | **19194068022** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| Ginnie Mae |  |  |
| 2% 12/1/52 | (31050000) | (26364794) |
| 2% 12/1/52 | (12800000) | (10868579) |
| 2% 12/1/52 | (31350000) | (26619526) |
| 2% 12/1/52 | (22700000) | (19274745) |
| 2% 12/1/52 | (19250000) | (16345323) |
| 2% 12/1/52 | (46700000) | (39653330) |
| 2% 12/1/52 | (15550000) | (13203625) |
| 2% 12/1/52 | (15400000) | (13076259) |
| 2.5% 12/1/52 | (15300000) | (13423862) |
| 2.5% 12/1/52 | (30800000) | (27023199) |
| 2.5% 12/1/52 | (30800000) | (27023199) |
| 2.5% 12/1/52 | (15300000) | (13423862) |
| 2.5% 12/1/52 | (19200000) | (16845631) |
| 2.5% 12/1/52 | (19400000) | (17021106) |
| 2.5% 12/1/52 | (30900000) | (27110937) |
| 3% 12/1/52 | (34050000) | (30710907) |
| 3% 12/1/52 | (20350000) | (18354389) |
| 3.5% 12/1/52 | (46700000) | (43324276) |
| 4% 12/1/52 | (10900000) | (10403340) |
| TOTAL GINNIE MAE  |  | (410070889) |
| Uniform Mortgage Backed Securities |  |  |
| 1.5% 12/1/37 | (9100000) | (7953289) |
| 1.5% 12/1/37 | (36300000) | (31725757) |
| 1.5% 12/1/52 | (45050000) | (34994894) |
| 2% 12/1/37 | (9500000) | (8533970) |
| 2% 12/1/37 | (30900000) | (27757859) |
| 2% 12/1/37 | (51500000) | (46263099) |
| 2% 12/1/37 | (15450000) | (13878930) |
| 2% 12/1/52 | (47550000) | (39106903) |
| 2% 12/1/52 | (95100000) | (78213806) |
| 2% 12/1/52 | (23800000) | (19574013) |
| 2% 12/1/52 | (23800000) | (19574013) |
| 2% 12/1/52 | (4750000) | (3906578) |
| 2% 12/1/52 | (23750000) | (19532891) |
| 2% 12/1/52 | (95700000) | (78707269) |
| 2% 12/1/52 | (95700000) | (78707269) |
| 2% 12/1/52 | (77475000) | (63718345) |
| 2% 12/1/52 | (47350000) | (38942416) |
| 2% 12/1/52 | (3900000) | (3207506) |
| 2% 12/1/52 | (10775000) | (8861764) |
| 2.5% 12/1/37 | (10500000) | (9697735) |
| 2.5% 12/1/37 | (27600000) | (25491189) |
| 2.5% 12/1/37 | (10500000) | (9697735) |
| 2.5% 12/1/37 | (27600000) | (25491189) |
| 2.5% 12/1/52 | (70700000) | (60415356) |
| 2.5% 12/1/52 | (23550000) | (20124210) |
| 2.5% 12/1/52 | (17000000) | (14527030) |
| 2.5% 12/1/52 | (23550000) | (20124210) |
| 2.5% 12/1/52 | (23200000) | (19825124) |
| 2.5% 12/1/52 | (9500000) | (8118046) |
| 3% 12/1/52 | (9900000) | (8763821) |
| 3% 12/1/52 | (12700000) | (11242477) |
| 3% 12/1/52 | (11800000) | (10445766) |
| 3% 12/1/52 | (23550000) | (20847270) |
| 3.5% 12/1/52 | (15400000) | (14110250) |
| 3.5% 12/1/52 | (3300000) | (3023625) |
| 4.5% 12/1/52 | (26150000) | (25455404) |
| 5% 12/1/52 | (1200000) | (1194749) |
| 5% 12/1/52 | (6700000) | (6670684) |
| 5% 12/1/52 | (3550000) | (3534467) |
| 5% 12/1/52 | (8800000) | (8761496) |
| 5% 12/1/52 | (6250000) | (6222653) |
| 5% 12/1/52 | (8800000) | (8761496) |
| 5% 12/1/52 | (1200000) | (1194749) |
| 5% 12/1/52 | (10000000) | (9956245) |
| 5.5% 12/1/52 | (18950000) | (19166147) |
| 5.5% 12/1/52 | (3750000) | (3792773) |
| 6% 12/1/52 | (5025000) | (5140418) |
| 6% 12/1/52 | (1050000) | (1074117) |
| 6% 12/1/52 | (5925000) | (6061090) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | (1012092092) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $1,402,960,905) |  | <br> **(1422162981)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Bond Index Contracts |  |  |  |  |  |
| ASX 10 Year Treasury Bond Index Contracts (Australia) | 38 | Dec 2022 | 3112112 | 13920 | 13920 |
| Eurex Euro-Bund Contracts (Germany) | 142 | Dec 2022 | 20817161 | (258465) | (258465) |
| Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 57 | Dec 2022 | 9389438 | 48749 | 48749 |
| TME 10 Year Canadian Note Contracts (Canada) | 177 | Mar 2023 | 16545352 | 102574 | 102574 |
| **TOTAL BOND INDEX CONTRACTS** |  |  |  |  | (93222) |
| Treasury Contracts |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1139 | Mar 2023 | 233904328 | 622704 | 622704 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 494 | Mar 2023 | 53633734 | 321784 | 321784 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 343 | Mar 2023 | 43561000 | 562229 | 562229 |
| **TOTAL TREASURY CONTRACTS** |  |  |  |  | 1506717 |
| TOTAL PURCHASED |  |  |  |  | 1413495 |
| Sold |  |  |  |  |  |
| Bond Index Contracts |  |  |  |  |  |
| Eurex Euro-Bobl Contracts (Germany) | 67 | Dec 2022 | 8368516 | 101031 | 101031 |
| ICE Long Gilt Contracts (United Kingdom) | 125 | Mar 2023 | 15817400 | 132857 | 132857 |
| **TOTAL BOND INDEX CONTRACTS** |  |  |  |  | 233888 |
| Treasury Contracts |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 672 | Mar 2023 | 76272000 | (610142) | (610142) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 1028 | Mar 2023 | 130556000 | (1261888) | (1261888) |
| **TOTAL TREASURY CONTRACTS** |  |  |  |  | (1872030) |
| TOTAL SOLD |  |  |  |  | (1638142) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(224647)** |
| The notional amount of futures purchased as a percentage of Net Assets is 1.9% | The notional amount of futures purchased as a percentage of Net Assets is 1.9% | The notional amount of futures purchased as a percentage of Net Assets is 1.9% | The notional amount of futures purchased as a percentage of Net Assets is 1.9% | The notional amount of futures purchased as a percentage of Net Assets is 1.9% | The notional amount of futures purchased as a percentage of Net Assets is 1.9% |
| The notional amount of futures sold as a percentage of Net Assets is 1.2% | The notional amount of futures sold as a percentage of Net Assets is 1.2% | The notional amount of futures sold as a percentage of Net Assets is 1.2% | The notional amount of futures sold as a percentage of Net Assets is 1.2% | The notional amount of futures sold as a percentage of Net Assets is 1.2% | The notional amount of futures sold as a percentage of Net Assets is 1.2% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| USD | 2625681 | EUR | 2539000 | Brown Brothers Harriman & Co | 12/01/22 | (16402) |
| USD | 33485 | AUD | 50000 | State Street Bank and Trust Co | 12/02/22 | (453) |
| CAD | 197000 | USD | 147663 | Bank of America, N.A. | 12/08/22 | (1193) |
| CAD | 410000 | USD | 305051 | Brown Brothers Harriman & Co | 12/08/22 | (215) |
| EUR | 1406000 | USD | 1442205 | Bank of America, N.A. | 12/08/22 | 21708 |
| EUR | 1193000 | USD | 1234312 | Brown Brothers Harriman & Co | 12/08/22 | 7827 |
| EUR | 3925000 | USD | 4078428 | Goldman Sachs Bank USA | 12/08/22 | 8242 |
| EUR | 509000 | USD | 529817 | JPMorgan Chase Bank, N.A. | 12/08/22 | 149 |
| EUR | 125000 | USD | 129484 | JPMorgan Chase Bank, N.A. | 12/08/22 | 664 |
| EUR | 2269000 | USD | 2353620 | JPMorgan Chase Bank, N.A. | 12/08/22 | 8840 |
| EUR | 2276000 | USD | 2339631 | JPMorgan Chase Bank, N.A. | 12/08/22 | 30118 |
| EUR | 408000 | USD | 423336 | JPMorgan Chase Bank, N.A. | 12/08/22 | 1469 |
| GBP | 393000 | USD | 470559 | Brown Brothers Harriman & Co | 12/08/22 | 3224 |
| USD | 33917 | AUD | 50000 | BNP Paribas S.A. | 12/08/22 | (30) |
| USD | 25453 | AUD | 38000 | State Street Bank and Trust Co | 12/08/22 | (347) |
| USD | 326474 | CAD | 442000 | JPMorgan Chase Bank, N.A. | 12/08/22 | (2153) |
| USD | 333595 | CAD | 443000 | JPMorgan Chase Bank, N.A. | 12/08/22 | 4224 |
| USD | 3175472 | EUR | 3083000 | BNP Paribas S.A. | 12/08/22 | (34517) |
| USD | 206082591 | EUR | 198693000 | BNP Paribas S.A. | 12/08/22 | (794573) |
| USD | 1411611 | EUR | 1353000 | Brown Brothers Harriman & Co | 12/08/22 | 2881 |
| USD | 369049 | GBP | 312000 | Bank of America, N.A. | 12/08/22 | (7084) |
| USD | 564279 | GBP | 473000 | Bank of America, N.A. | 12/08/22 | (5948) |
| USD | 618193 | GBP | 514000 | HSBC Bank | 12/08/22 | (1462) |
| USD | 1397535 | GBP | 1174000 | JPMorgan Chase Bank, N.A. | 12/08/22 | (17786) |
| USD | 112902432 | GBP | 94949000 | Royal Bank of Canada | 12/08/22 | (1563772) |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **(2356589)** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 89346 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (2445935) |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount<sup>(1)</sup> | Notional<br> Amount<sup>(1)</sup> | Value ($) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |
| CMBX N.A. AAA Index Series 12 | Aug 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 24350000 | 241810 | (317) | 241493 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 9060000 | 123946 | (27737) | 96209 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 9000000 | 123125 | (123021) | 104 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 1900000 | 25993 | (16485) | 9508 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 3770000 | 51576 | (41737) | 9839 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 560000 | 7661 | (5022) | 2639 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 6700000 | 91660 | (138575) | (46915) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 3070000 | 41999 | 13690 | 55689 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly |  | 3760000 | 51439 | (44817) | 6622 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly |  | 5620000 | 76885 | (107580) | (30695) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly |  | 580000 | 7935 | (866) | 7069 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly |  | 2050000 | 28045 | (28715) | (670) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly |  | 2950000 | 40358 | (11793) | 28565 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Merrill Lynch Capital Services, Inc. | (0.5%) | Monthly |  | 10660000 | 145835 | (183013) | (37178) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 1840000 | 25172 | (31323) | (6151) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 3740000 | 51165 | (52169) | (1004) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 4000000 | 54722 | (27492) | 27230 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 2390000 | 32697 | (17097) | 15600 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 2500000 | 34202 | (13480) | 20722 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 1890000 | 25856 | (17927) | 7929 |
| Intesa Sanpaolo SpA | Dec 2027 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR | 5000000 | 7583 | (31045) | (23462) |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **1289664** | **(906521)** | **383143** |

---

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency<br> Clearinghouse /<br> Counterparty<sup>(1)</sup> | Maturity<br> Date | Notional<br> Amount<sup>(2)</sup> | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<sup>(3)</sup> | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| 3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2024 | 27295000 | (247988) | 0 | (247988) |
| 2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2027 | 14268000 | (117690) | 0 | (117690) |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2032 | 214000 | (2601) | 0 | (2601) |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2052 | 783000 | (23560) | 0 | (23560) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  | **(391839)** | **0** | **(391839)** |

---

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

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

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

(4)Represents floating rate.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian dollar |
| CAD | - | Canadian dollar |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| USD | - | U.S. dollar |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

(b) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $9,430,628 or 0.0% of net assets.

(c) Level 3 security

(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $4,067,552,964 or 21.2% of net assets.

(e) Non-income producing - Security is in default.

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

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

(h) Security is perpetual in nature with no stated maturity date.

(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $11,503,553.

(j) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $967,759.

(k) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts. At period end, the value of securities pledged amounted to $1,356,407.

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

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

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

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

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

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

(r) Non-income producing

(s) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(t) The coupon rate will be determined upon settlement of the loan after period end.

(u) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $3,656,977 and $3,316,477, respectively.

(v) Security or a portion of the security is on loan at period end.

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

(x) Investment made with cash collateral received from securities on loan.

---

| | | |
|:---|:---|:---|
| Additional information on each restricted holding is as follows: | Additional information on each restricted holding is as follows: | Additional information on each restricted holding is as follows: |
| Security | Acquisition Date | Acquisition Cost ($)<br>|
| Chesapeake Energy Corp. | 2/10/21 | 3324 |
| Mesquite Energy, Inc. 15% 7/15/23 | 7/10/20 - 1/18/22 | 521057 |
| Mesquite Energy, Inc. 15% 7/15/23 | 11/05/20 - 1/18/22 | 899094 |

---

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 1357368977 | 1807675435 | 1313715710 | 13245226 | - | - | 1851328702 | 3.8% |
| Fidelity Securities Lending Cash Central Fund 3.86% | 534738895 | 2736500081 | 3255885201 | 305831 | - | - | 15353775 | 0.0% |
| Total | 1892107872 | 4544175516 | 4569600911 | 13551057 | - | - | 1866682477 |  |

---

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

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

**Investment Valuation**

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

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

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

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

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

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

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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

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

Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.

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

Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

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

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

**Derivative Instruments**

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

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

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

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

Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.

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

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

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

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

Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.

The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.

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

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

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

Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.

The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.

Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

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

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

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

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

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Salem Street Trust

- **b. Investment Company Act file number:** 811-02105

- **c. CIK number of Registrant:** 0000035315

- **d. LEI of Registrant:** S4W85DGKOEJ24DPRB829

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

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

- **b. EDGAR series identifier (if any):** S000062237

- **c. LEI of Series:** 549300PXI48DGSRO4U72

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $23709122771.59

**Total Liabilities:** $4577330548.73

**Net Assets:** $19131792222.86

**Delayed Delivery Securities:** $2969033740.28

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 224550.96116550 | **1-Year:** 1185138.93072470 | **5-Year:** 3063511.55607792 | **10-Year:** 3213322.85893347 | **30-Year:** 2629158.48335074

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

- **3-Month:** 145313.29265782 | **1-Year:** 457645.69432995 | **5-Year:** 574397.68940927 | **10-Year:** 96622.14202381 | **30-Year:** 12264.38217330

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000201533 | -4.29%               | -0.82%               | 3.57%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-144767227.90           | $-755660945.18                             |
| Month 2  | $-57133395.98            | $-163679439.47                             |
| Month 3  | $-58420481.22            | $652132481.66                              |

**Designated Index Information**

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

- **Index Identifier:** 19807815

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3145 GO 4/36                                                                                         | CUSIP: 31396NCS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      68389 | PA      | $55622.95      | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DAVIDS BRIDAL INC                                                                | DAVIDS BRIDAL INC RT                                                                                     | CUSIP: N/A<br>LEI: YEMD6E68QLMSL3ZMES44       | Long             | EC               | CORP              | US        |        295 | NS      | $0.00          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/39 #AC4396                                                                                  | CUSIP: 31417N3E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3112 | PA      | $3087.84       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RADIATE HOLDCO LLC / RADIATE FIN INC                                             | RADIATE HOLDCO LLC / RADIATE FIN INC 6.5% 09/15/2028 144A                                                | CUSIP: 75026JAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5929000 | PA      | $3199881.30    | 0.02%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 1MDB GLOBAL INVESTMENTS LTD                                                      | 1MDB GLOBAL INVESTMENTS LTD 4.4% 03/09/2023 REGS                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | VG        |    5200000 | PA      | $5087225.00    | 0.03%             | 2023-03-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#737823                                                                         | CUSIP: 31402TVQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44848 | PA      | $44332.42      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                              | NIGERIA REPUBLIC 7.625% 11/21/2025 144A                                                                  | CUSIP: 65412JAJ2<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    1040000 | PA      | $956800.00     | 0.01%             | 2025-11-21      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2022-SFR2 TR                                                  | TRICON RESIDENTIAL 2022-SFR2 TR 7.507% 07/17/2040 144A                                                   | CUSIP: 89616TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1407000 | PA      | $1327701.90    | 0.01%             | 2040-07-17      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 07/51#BT1461                                                                                | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372360 | PA      | $308519.90     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                        | EGYPT (ARAB) REPUBLIC OF 8.7002% 03/01/2049 144A                                                         | CUSIP: 03846JW89<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     930000 | PA      | $620775.00     | 0.00%             | 2049-03-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                              | GSCOFI SWAP CY451600 12/16/72 B                                                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    5620000 | NC      | $76884.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2034#775792                                                                         | CUSIP: 31404Q2Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13754 | PA      | $13598.91      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 05/20/2046#AS9175                                                                           | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63922 | PA      | $60083.68      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #745127                                                                                  | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33002 | PA      | $32688.82      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 12/39 #711029                                                                                 | CUSIP: 36297F4N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8915 | PA      | $8991.60       | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 1/38 #889371                                                                                  | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89421 | PA      | $93909.57      | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/33 #577996                                                                                  | CUSIP: 36201BC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2127 | PA      | $2129.38       | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                             | LIFE 2021-BMR MTG G TR 1ML+305.6 03/15/2036 144A                                                         | CUSIP: 53218CAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3679257 | PA      | $3430129.61    | 0.02%             | 2038-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                     | CHARLES RIVER LABS INTL INC 3.75% 03/15/2029 144A                                                        | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     850000 | PA      | $739602.86     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                       | HILCORP ENERGY I LP/FIN CO 6.25% 11/01/2028 144A                                                         | CUSIP: 431318AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     555000 | PA      | $528533.44     | 0.00%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/25 #322201                                                                                  | CUSIP: 31374R3J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        796 | PA      | $810.67        | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 6/35 #828385                                                                                  | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4249 | PA      | $4427.70       | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PAKISTAN, ISLAMIC REP OF                                                         | PAKISTAN ISLAMIC REP OF 6% 04/08/2026 144A                                                               | CUSIP: 695847AS2<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |     955000 | PA      | $391655.05     | 0.00%             | 2026-04-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                    | PG and E TERM B 1LN 06/23/2025                                                                           | CUSIP: 69338CAH4<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | LON              | CORP              | US        |   14315049 | PA      | $14079423.01   | 0.07%             | 2025-06-23      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 8/33 #604578                                                                                  | CUSIP: 36200MUB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3014 | PA      | $3089.93       | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                      | PETROBRAS GLOBAL FINANCE BV 6.875% 01/20/2040                                                            | CUSIP: 71645WAQ4<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     485000 | PA      | $449170.63     | 0.00%             | 2040-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 04/01/2032#J36710                                                                           | CUSIP: 31307TN31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22666 | PA      | $21691.92      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                        | BANK OF IRELAND (UNGTD) 1.375%/VAR 08/11/2031 REGS                                                       | CUSIP: N/A<br>LEI: 635400C8EK6DRI12LJ39       | Long             | DBT              | CORP              | IE        |    5545000 | PA      | $4854430.91    | 0.03%             | 2031-08-11      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 3.2% 02/23/2023                                                            | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6170000 | PA      | $6147788.00    | 0.03%             | 2023-02-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 7.5% 06/01/2027#250951                                                                         | CUSIP: 31371FWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        575 | PA      | $595.58        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                       | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                                        | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4763000 | PA      | $4448280.96    | 0.02%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 5.125% 02/17/2028                                                                     | CUSIP: 900123CP3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     755000 | PA      | $649300.00     | 0.00%             | 2028-02-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 05/01/2043#AT6734                                                                         | CUSIP: 3138WUPU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18289 | PA      | $16755.59      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 11/39 #719736                                                                                 | CUSIP: 3620A5SZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        919 | PA      | $964.85        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2011-C3                                        | JPMCC 2011-C3 G CSTR 02/15/2046 144A                                                                     | CUSIP: 46635TBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202000 | PA      | $16028.64      | 0.00%             | 2046-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 2/30 #535143                                                                                  | CUSIP: 31384VP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1163 | PA      | $1223.65       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AK9019                                                                                  | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73202 | PA      | $70741.88      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAMB COML MTG TR 2019-LIFE                                                       | CAMB COML MTG TR 2019-LIFE 1ML+325 12/15/2037 144A                                                       | CUSIP: 12482HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2992000 | PA      | $2731312.72    | 0.01%             | 2037-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 TR                                                                  | AASET 2021-2 TR 2.798% 01/15/2047 144A                                                                   | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   22071308 | PA      | $17210459.66   | 0.09%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG 1.494%/VAR 08/10/2027 144A                                                                  | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   11454000 | PA      | $9842249.47    | 0.05%             | 2027-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| RESTAURANT TECHNOLOGIES INC                                                      | EAGLE PARENT CORP. TERM B 1LN 04/01/2029                                                                 | CUSIP: 26972CAC6<br>LEI: 5493001IZARCKDSJPT54 | Long             | LON              | CORP              | US        |     860675 | PA      | $844537.34     | 0.00%             | 2029-04-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                 | VIRGIN MEDIA SECD FIN PLC 4.5% 08/15/2030 144A                                                           | CUSIP: 92769XAR6<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    4900000 | PA      | $4092071.88    | 0.02%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q01985                                                                         | CUSIP: 3132GFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6159 | PA      | $6278.84       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 8/36 #657024                                                                                  | CUSIP: 36294Q4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1656 | PA      | $1758.22       | 0.00%             | 2036-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | DEUTSCHE BANK AG 4.5% 04/01/2025                                                                         | CUSIP: 251525AP6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   43904000 | PA      | $41628807.79   | 0.22%             | 2025-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                            | ARGENTINA REPUBLIC OF STEP 07/09/2030                                                                    | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   11215675 | PA      | $2966546.04    | 0.02%             | 2030-07-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                                  | NORTONLIFELOCK TERM B 1LN 9/12/2029                                                                      | CUSIP: 66877AAD0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | LON              | CORP              | US        |    4600000 | PA      | $4517568.00    | 0.02%             | 2029-09-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GRAHAM PACKAGING CO INC                                                          | GRAHAM PACKAGING TERM B 1LN 08/04/2027                                                                   | CUSIP: 38469EAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2537861 | PA      | $2477586.65    | 0.01%             | 2027-08-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PACTIV EVERGREEN GROUP HOLDINGS INC                                              | PACTIV EVERGREEN TERM B 1LN 09/24/2028                                                                   | CUSIP: 76173FAY3<br>LEI: 5493002QNV81KCX40V06 | Long             | LON              | CORP              | US        |    1534500 | PA      | $1510285.59    | 0.01%             | 2028-09-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2006-15 OP 0% 3/36                                                                                   | CUSIP: 31395BTU7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      96891 | PA      | $81576.06      | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/27 #437435                                                                                 | CUSIP: 36207N4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         87 | PA      | $89.66         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2045#Q33578                                                                         | CUSIP: 3132QP6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77657 | PA      | $73207.83      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2021-SAVE                                                | WELLS FARGO COML MTG TR 2021-SAVE E 1ML+365 02/15/2040 144A                                              | CUSIP: 95003LAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140898 | PA      | $123032.65     | 0.00%             | 2040-02-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2047#CA0623                                                                         | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128599 | PA      | $127373.97     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 1/41 #734151                                                                                  | CUSIP: 3620AMTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109708 | PA      | $105989.31     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 04/20/2043#AD9075                                                                           | CUSIP: 36180NCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     355491 | PA      | $335588.19     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 6/32 #644164                                                                                  | CUSIP: 31390ETV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        926 | PA      | $981.92        | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/41 #773113                                                                                  | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1704 | PA      | $1648.21       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2044#Q24839                                                                         | CUSIP: 3132M5BG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6880 | PA      | $6700.69       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 09/01/2032#BM1884                                                                           | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300263 | PA      | $286827.76     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC                                                   | ALLIANT HOLDINGS TERM B4 1LN 11/12/2027                                                                  | CUSIP: 01881UAJ4<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |    1856250 | PA      | $1799411.63    | 0.01%             | 2027-11-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 8/25 #395849                                                                                  | CUSIP: 36205NWJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        380 | PA      | $388.24        | 0.00%             | 2025-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HARBOR FREIGHT TOOLS USA INC                                                     | HARBOR FREIGHT TOOLS TERM B 1LN 10/19/2027                                                               | CUSIP: 41151PAP0<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |    3282386 | PA      | $3110749.83    | 0.02%             | 2027-10-19      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GRAY TELEVISION INC                                                              | GRAY TELEVISION TERM D 1LN 12/01/2028                                                                    | CUSIP: 389376AZ7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |    1037162 | PA      | $1008080.46    | 0.01%             | 2028-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/40 #AE3886                                                                                 | CUSIP: 31419EJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40844 | PA      | $40624.89      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                            | BX 2022-LP2 G TSFR1M+411.27 02/15/39 144A                                                                | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1804150 | PA      | $1663374.48    | 0.01%             | 2039-02-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/31 #549552                                                                                  | CUSIP: 36213BQD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        182 | PA      | $189.99        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAIDU INC                                                                        | BAIDU INC 2.375% 10/09/2030                                                                              | CUSIP: 056752AT5<br>LEI: 254900AL64IANZYI1E02 | Long             | DBT              | CORP              | KY        |     345000 | PA      | $277014.30     | 0.00%             | 2030-10-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #479607                                                                                 | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91720 | PA      | $88606.79      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                                     | BX 2021-MFM1 G 1ML+390 01/15/2034 144A                                                                   | CUSIP: 05608VAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114000 | PA      | $103184.43     | 0.00%             | 2034-01-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 03/20/2047#MA4322                                                                             | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1201597 | PA      | $1165275.14    | 0.01%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN28                                                                   | BANK 2020-BN28 2.5% 03/15/2063 144A                                                                      | CUSIP: 06540YBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252000 | PA      | $146220.35     | 0.00%             | 2063-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                                   | ADLER GROUP SA 2.25% 04/27/2027 REGS                                                                     | CUSIP: N/A<br>LEI: 391200OYYFJ3DWAMEC69       | Long             | DBT              | CORP              | LU        |     900000 | PA      | $379298.70     | 0.00%             | 2027-04-27      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 3/34 #773883                                                                                  | CUSIP: 31404NXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26284 | PA      | $25976.60      | 0.00%             | 2034-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/27 #455891                                                                                 | CUSIP: 36208NNG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         69 | PA      | $69.59         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 6.182% 6/37 #848188                                                                             | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5886 | PA      | $6045.22       | 0.00%             | 2037-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                      | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                                       | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7809000 | PA      | $7221802.25    | 0.04%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | NATWEST GRP PLC(UNGTD) 4.8% 04/05/2026                                                                   | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    9111000 | PA      | $8879676.08    | 0.05%             | 2026-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 3.536% 02/15/2053                                                         | CUSIP: 61770KBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115000 | PA      | $87660.64      | 0.00%             | 2053-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VALVOLINE INC                                                                    | VALVOLINE INC 4.25% 02/15/2030 144A                                                                      | CUSIP: 92047WAD3<br>LEI: 549300CMHPBEY6VPOT75 | Long             | DBT              | CORP              | US        |    1255000 | PA      | $1219745.66    | 0.01%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 2/VAR 02/07/2028 REGS                                                               | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |    1865000 | PA      | $1915656.55    | 0.01%             | 2028-02-07      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/25 #410082                                                                                  | CUSIP: 36206FRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $5.61          | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 4.875% 04/16/2043                                                                     | CUSIP: 900123CB4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1500000 | PA      | $975000.00     | 0.01%             | 2043-04-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 2/20/43 #MA0782                                                                             | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67004 | PA      | $61747.48      | 0.00%             | 2043-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 10/39 #726394                                                                                 | CUSIP: 3620AC7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9899 | PA      | $9796.80       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #462816                                                                                  | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        273 | PA      | $281.00        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARUBA INVESTMENT HOLDINGS LLC                                                    | ANGUS CHEMICAL TERM 2LN 11/24/2028                                                                       | CUSIP: 04317JAF5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     485000 | PA      | $438115.05     | 0.00%             | 2028-11-24      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| C AND S GROUP ENTERPRISES LLC                                                    | C AND S GROUP ENTERPRISES LLC 5% 12/15/2028 144A                                                         | CUSIP: 12467AAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4885000 | PA      | $3627182.65    | 0.02%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2022-NWPT                                           | CREDIT SUISSE MORTGAGE TRUST 2022-NWPT TSFR1M+419.1 09/15/2027 144A                                      | CUSIP: 12663MAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1610000 | PA      | $1571424.72    | 0.01%             | 2024-09-09      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                     | BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A                                                         | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11116503 | PA      | $9079580.75    | 0.05%             | 2041-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 3/28 #420501                                                                                  | CUSIP: 31379JDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1386 | PA      | $1436.59       | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIRST ADVANTAGE HOLDINGS LLC                                                     | FIRST ADVANTAGE TERM B1 1LN 01/31/2027                                                                   | CUSIP: 78477MAF8<br>LEI: 549300MRQE5MQEH3BI02 | Long             | LON              | CORP              | US        |     665216 | PA      | $652463.88     | 0.00%             | 2027-01-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PROVINCE CORDOBA                                                                 | PROVINCE CORDOBA STEP 06/01/2027 144A                                                                    | CUSIP: 74408DAD6<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | CORP              | AR        |     640167 | PA      | $412827.69     | 0.00%             | 2027-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 10/41 #005203                                                                              | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1430972 | PA      | $1384962.39    | 0.01%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 11/41 #Q04295                                                                                 | CUSIP: 3132GKNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100712 | PA      | $97474.23      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2052#SD0927                                                                         | CUSIP: 3132DNA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3296335 | PA      | $3060066.80    | 0.02%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 05/01/2043#Q18136                                                                         | CUSIP: 3132J9PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4720 | PA      | $4622.58       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KOREA REPUBLIC OF                                                                | KOREA REPUBLIC OF 1% 09/16/2030                                                                          | CUSIP: 50064FAS3<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |     855000 | PA      | $677236.95     | 0.00%             | 2030-09-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                                                            | DP WORLD CRESCENT LTD 3.7495% 01/30/2030 144A                                                            | CUSIP: 26139PAC7<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |    1415000 | PA      | $1293221.56    | 0.01%             | 2030-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORPORATION                                                      | ENTEGRIS ESCROW CORPORATION 5.95% 06/15/2030 144A                                                        | CUSIP: 29365BAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4030000 | PA      | $3764217.75    | 0.02%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 7.375% 09/18/2037                                                                   | CUSIP: 195325BK0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     205000 | PA      | $189625.00     | 0.00%             | 2037-09-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| POWER STOP LLC                                                                   | POWER STOP TERM 1LN 01/26/2029                                                                           | CUSIP: 73931HAH6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1009925 | PA      | $747344.50     | 0.00%             | 2029-01-26      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #474003                                                                                  | CUSIP: 36209KRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         95 | PA      | $97.75         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 01/01/2051#FM7062                                                                         | CUSIP: 3140XAZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10633427 | PA      | $9208896.93    | 0.05%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/01/2042#Q12164                                                                         | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24421 | PA      | $23636.18      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2011-C3                                                        | WFRBS 2011-C3 F 5% 03/15/44                                                                              | CUSIP: 92935VAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239015 | PA      | $21.01         | 0.00%             | 2044-03-15      | Fixed         | 0.05%                 | No            |                  3 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 3.242% 9/1/41#1B8659                                                                            | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6788 | PA      | $6812.35       | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 3.5% 02/15/2025 144A                                               | CUSIP: 92564RAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $84705.49      | 0.00%             | 2025-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PECF USS INTERMEDIATE HOLDING III CORP                                           | UNITED SITE SERVICES TERM B 1LN 12/17/2028                                                               | CUSIP: 69291LAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1533412 | PA      | $1236957.86    | 0.01%             | 2028-12-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 5/34 #574784                                                                                  | CUSIP: 36200WRD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        599 | PA      | $614.03        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | ALTRIA GROUP INC 4.5% 05/02/2043                                                                         | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    7299000 | PA      | $5507497.75    | 0.03%             | 2043-05-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 8/40 #A93451                                                                                  | CUSIP: 312941ZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10994 | PA      | $10948.11      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/28 #406815                                                                                  | CUSIP: 31378R3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3153 | PA      | $3283.30       | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 03/01/2052#CB3037                                                                           | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1713271 | PA      | $1414181.57    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| Arc Falcon I Inc                                                                 | ARCLIN TERM DD 1LN 09/30/2028                                                                            | CUSIP: 03880YAD6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     402052 | PA      | $358758.95     | 0.00%             | 2028-09-30      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/31 #566254                                                                                 | CUSIP: 36213WBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $41.74         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/29 #489711                                                                                  | CUSIP: 36210EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        402 | PA      | $416.66        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2012-C1                                                          | UBSCM 2012-C1 F CSTR 5/10/45 144A                                                                        | CUSIP: 90269GAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418000 | PA      | $21658.71      | 0.00%             | 2045-05-10      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 3.75% 04/15/2027                                                                        | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   12950000 | PA      | $12266984.50   | 0.06%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 2/30 #532153                                                                                  | CUSIP: 31384SE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $92.37         | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AH4987                                                                                  | CUSIP: 3138A6RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22845 | PA      | $22085.82      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #479494                                                                                 | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227499 | PA      | $219666.18     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MKS INSTRUMENTS INC                                                              | MKS INSTRUMENTS TERM B 1LN 08/17/2029                                                                    | CUSIP: 55314NAS3<br>LEI: 549300KEQATBHAGVF505 | Long             | LON              | CORP              | US        |    3795000 | PA      | $3696975.15    | 0.02%             | 2029-08-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 11/40 #004853                                                                              | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1185385 | PA      | $1147856.81    | 0.01%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 4.87% 1/35 #735833                                                                              | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6955 | PA      | $6937.32       | 0.00%             | 2035-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                               | CNX RESOURCES CORP 7.375% 01/15/2031 144A                                                                | CUSIP: 12653CAK4<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |    1330000 | PA      | $1330718.20    | 0.01%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIRST STUDENT BIDCO INC                                                          | FIRST STUDENT and FIRST TRANSIT TERM B 1LN 07/21/2028                                                    | CUSIP: 33718FAE0<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |    1168831 | PA      | $1122077.92    | 0.01%             | 2028-07-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/38 #889733                                                                                  | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15063 | PA      | $15837.97      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                                                    | CORECIVIC INC 8.25% 04/15/2026                                                                           | CUSIP: 21871NAB7<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |    6570000 | PA      | $6711573.91    | 0.04%             | 2026-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORPORATION                                                      | ENTEGRIS ESCROW CORPORATION 4.75% 04/15/2029 144A                                                        | CUSIP: 29365BAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4285000 | PA      | $3878287.94    | 0.02%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JP INTERMEDIATE B LLC                                                            | JUICE PLUS+ TERM B 11/20/2025                                                                            | CUSIP: 46650KAB7<br>LEI: 549300PC0CHCVUMNS121 | Long             | LON              | CORP              | US        |    2414612 | PA      | $1741539.18    | 0.01%             | 2025-11-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| MESQUITE ENERGY INC                                                              | MESQUITE ENERGY INC CONV 15% 07/15/2023                                                                  | CUSIP: 59073XAB1<br>LEI: 549300SB0HTIM17TVR61 | Long             | DBT              | CORP              | US        |     521057 | PA      | $3446792.06    | 0.02%             | 2023-07-15      | Fixed         | 0.15%                 | Yes           |                  3 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                   | CANADIAN NATL RESOURCES LTD 5.85% 02/01/2035                                                             | CUSIP: 136385AG6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    3955000 | PA      | $3863831.00    | 0.02%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP 1ML+262.49 11/15/2038 144A                                                             | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     552000 | PA      | $514652.84     | 0.00%             | 2038-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 11/35 #842191                                                                                 | CUSIP: 31407VUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9620 | PA      | $10031.79      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/45#AZ1207                                                                                | CUSIP: 3138YSKV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61278 | PA      | $59455.73      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK4                                                                   | BANK 2017-BNK4 D 3.357% 05/15/2050 144A                                                                  | CUSIP: 06541FAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     782000 | PA      | $558218.74     | 0.00%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 4.279% 03/15/2032 144A                                                                    | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   46121000 | PA      | $39156689.80   | 0.20%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2048#BM5106                                                                         | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7045122 | PA      | $7002230.24    | 0.04%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                           | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+ 11/15/2038 144A                                              | CUSIP: 26863LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $88693.60      | 0.00%             | 2038-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                      | AUST 10Y BOND FUT DEC22 XMZ2                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         38 | NC      | $13920.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GS MTG SECS TR 2015-GC34                                                         | GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048                                                | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    9115059 | PA      | $250799.93     | 0.00%             | 2048-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL BV                                                          | EQUATE PETROCHEMICAL BV 4.25% 11/03/2026 144A                                                            | CUSIP: 29441WAC9<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |     325000 | PA      | $308100.00     | 0.00%             | 2026-11-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/25 #412531                                                                                 | CUSIP: 36206JHG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         51 | PA      | $51.72         | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                            | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                                   | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    6781000 | PA      | $6645194.74    | 0.03%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 08/01/2050#FM4050                                                                           | CUSIP: 3140X7QC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6387883 | PA      | $5729482.20    | 0.03%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                          | NEW FORTRESS ENERGY INC 6.5% 09/30/2026 144A                                                             | CUSIP: 644393AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16065000 | PA      | $15526099.58   | 0.08%             | 2026-09-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 11/29 #500162                                                                                 | CUSIP: 36210RTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        160 | PA      | $169.43        | 0.00%             | 2029-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2046#AR9310                                                                           | CUSIP: 36193GKX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15804 | PA      | $14854.67      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #713866                                                                                  | CUSIP: 36297KCB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1697 | PA      | $1710.39       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 12/01/2052 #TBA                                                                               | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -175550000 | PA      | $-149060856.74 | -0.78%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ACNR HOLDINGS INC                                                                | ACNR HOLDINGS INC                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       5205 | NS      | $520500.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                       | BMO 2022-C1 MORTGAGE TRUST CSTR 02/15/2042 144A                                                          | CUSIP: 05609MDC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441000 | PA      | $281781.58     | 0.00%             | 2042-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | VIATRIS INC 3.85% 06/22/2040                                                                             | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    4583000 | PA      | $3156944.00    | 0.02%             | 2040-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #732113                                                                                  | CUSIP: 31402LK27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4125 | PA      | $4080.27       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CPM HLDGS INC                                                                    | CPM HOLDINGS TERM 2LN 11/15/2026                                                                         | CUSIP: 12654NAE3<br>LEI: 549300FBUISJCXV8IB65 | Long             | LON              | CORP              | US        |     127677 | PA      | $123740.50     | 0.00%             | 2026-11-15      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                              | SPRINT CAPITAL CORP 6.875% 11/15/2028                                                                    | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    2499000 | PA      | $2647965.39    | 0.01%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BCPE EMPIRE HLDGS INC                                                            | IMPERIAL DADE TERM B 1LN 06/11/2026                                                                      | CUSIP: 05550HAK1<br>LEI: 549300O2G0VI2955B626 | Long             | LON              | CORP              | US        |     203462 | PA      | $196849.97     | 0.00%             | 2026-06-11      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                                                                 | AMWINS GROUP INC 4.875% 06/30/2029 144A                                                                  | CUSIP: 031921AB5<br>LEI: 549300SJE7MUB8NMRG61 | Long             | DBT              | CORP              | US        |    4995000 | PA      | $4316338.84    | 0.02%             | 2029-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOBP HLDGS INC                                                                   | GROCERY OUTLET TERM B 1LN 10/22/2025                                                                     | CUSIP: 3621LEAM8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     319343 | PA      | $317247.71     | 0.00%             | 2025-10-22      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                                                           | CORP ANDINA DE FOMENTO 2.375% 05/12/2023                                                                 | CUSIP: 219868CC8<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | VE        |   15300000 | PA      | $15089777.54   | 0.08%             | 2023-05-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| APX GROUP INC                                                                    | VIVINT/APX TERM B 1LN 07/09/2028                                                                         | CUSIP: 00213NAM4<br>LEI: 549300OMQVKPRU98OE64 | Long             | LON              | CORP              | US        |    1714650 | PA      | $1632929.78    | 0.01%             | 2028-07-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDGS S A                                                       | INTELSAT TERM 1LN 02/01/2029                                                                             | CUSIP: N/A<br>LEI: 8XJ8KF85PBKK1TLMFN29       | Long             | LON              | CORP              | LU        |   14058351 | PA      | $13562793.92   | 0.07%             | 2029-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/41 #738240                                                                                  | CUSIP: 3620ASEM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4884 | PA      | $4935.28       | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/34 #605443                                                                                  | CUSIP: 36200NS85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1886 | PA      | $1889.68       | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 7/42 #AA5451                                                                                  | CUSIP: 36178DBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83985 | PA      | $79115.15      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 11/01/2040#                                                                               | CUSIP: 312943UM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3933 | PA      | $3916.83       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-XL A 1ML+85 10/15/2036 144A                                                                | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12577087 | PA      | $12355491.27   | 0.06%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 11/27 #462363                                                                                 | CUSIP: 36208VTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         46 | PA      | $46.70         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 1ML+ 02/15/2036                                                           | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      33549 | PA      | $3130.34       | 0.00%             | 2036-02-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| A and V HOLDINGS MIDCO LLC                                                       | AVI-SPL TERM B 1LN 03/10/2027                                                                            | CUSIP: 00254JAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1648661 | PA      | $1599201.06    | 0.01%             | 2027-03-10      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/41 #AH4121                                                                                  | CUSIP: 3138A5SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10818 | PA      | $10458.80      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 06/15/2033#614485                                                                         | CUSIP: 36290QUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        930 | PA      | $930.03        | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                              | RED ROCK RESORTS TERM B 1LN 02/07/2027                                                                   | CUSIP: 85769EAZ4<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |    4209196 | PA      | $4109227.79    | 0.02%             | 2027-02-07      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 2/26 #331387                                                                                  | CUSIP: 31375DCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        407 | PA      | $414.38        | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF GEORGIA JSC                                                              | GEORGIA BK JT STK CO 11.125/VAR PERP REGS                                                                | CUSIP: N/A<br>LEI: 549300RPLD8RXL49Z691       | Long             | EP               | CORP              | GE        |     200000 | PA      | $193000.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 06/01/2045#AZ1973                                                                         | CUSIP: 3138YTFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26331 | PA      | $25564.79      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/23 #190240                                                                                  | CUSIP: 31368HHR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $8.59          | 0.00%             | 2023-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.5% 04/19/2026                                                              | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7461000 | PA      | $7153841.15    | 0.04%             | 2026-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/30 #535336                                                                                  | CUSIP: 31384VV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $54.83         | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRE/EVERBRIGHT M6 BORROWER LLC                                                   | MOTEL 6 TERM B 1LN 09/09/2026                                                                            | CUSIP: 05601QAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1613416 | PA      | $1579808.59    | 0.01%             | 2026-09-09      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                        | FNS 343 16 5.5% 5/34                                                                                     | CUSIP: 3136FA6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      23095 | PA      | $3881.72       | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                   | OMAN SULTANATE 6.75% 01/17/2048 144A                                                                     | CUSIP: 682051AJ6<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    1661000 | PA      | $1521891.25    | 0.01%             | 2048-01-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 05/01/2043#AB9251                                                                         | CUSIP: 31417GH58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10849 | PA      | $9939.58       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LEBANON REPUBLIC OF                                                              | LEBANON REPUBLIC OF 5.8% 12/31/2049 REGS                                                                 | CUSIP: N/A<br>LEI: 529900QPC4K9S1KHL354       | Long             | DBT              | NUSS              | LB        |    1113000 | PA      | $66223.50      | 0.00%             | 2049-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 3/26 #339167                                                                                  | CUSIP: 31375MW41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $65.62         | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| POWER TEAM SERVICES LLC                                                          | ARTERA SERVICES TERM B 1LN 03/06/2025                                                                    | CUSIP: 73937UAK4<br>LEI: 549300J2G34D0WX8Z443 | Long             | LON              | CORP              | US        |    1745692 | PA      | $1425357.18    | 0.01%             | 2025-03-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PROPERTIES LP                                                          | RYMAN HOSPITALITY TERM B 05/11/2024                                                                      | CUSIP: 74958NAG1<br>LEI: 549300SJMSMA2471GA96 | Long             | LON              | CORP              | US        |     306320 | PA      | $305171.08     | 0.00%             | 2024-05-11      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JOURNEY PERSONAL CARE CORP                                                       | DOMTAR PERSONAL CARE TERM B 1LN 03/01/2028                                                               | CUSIP: 48114NAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     618734 | PA      | $442395.04     | 0.00%             | 2028-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                  | FLATIRON CLO LT 3ML+111 07/19/2034 144A                                                                  | CUSIP: 33883PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8589000 | PA      | $8313241.57    | 0.04%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 6/41 #757631                                                                                  | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8169 | PA      | $7887.48       | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNR 1993-207 H 6.5% 11/23                                                                                | CUSIP: 31359E3G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       5869 | PA      | $5855.32       | 0.00%             | 2023-11-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                                                 | LENOVO GROUP LTD 3.421% 11/02/2030 144A                                                                  | CUSIP: 526250AB1<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |     930000 | PA      | $731742.60     | 0.00%             | 2030-11-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #773499                                                                                 | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14143 | PA      | $13660.56      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/28 #458926                                                                                  | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        565 | PA      | $581.86        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                             | EMIRATE OF ABU DHABI 3.125% 09/30/2049 144A                                                              | CUSIP: 29135LAF7<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    3170000 | PA      | $2298844.38    | 0.01%             | 2049-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.262%/VAR 01/29/2034 REGS                                                          | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |     940000 | PA      | $991431.81     | 0.01%             | 2034-01-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                    | AIB GROUP PLC 2.25%/VAR 04/04/2028 REGS                                                                  | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |    5000000 | PA      | $4663157.52    | 0.02%             | 2028-04-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                   | CSMC 2019-ICE4 1ML+143 05/15/2036 144A                                                                   | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5191000 | PA      | $5046975.19    | 0.03%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CEZ AS                                                                           | CEZ AS 2.375% 04/06/2027 REGS                                                                            | CUSIP: N/A<br>LEI: 529900S5R9YHJHYKKG94       | Long             | DBT              | CORP              | CZ        |     750000 | PA      | $715547.78     | 0.00%             | 2027-04-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 02/01/2052#RA6823                                                                           | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7820565 | PA      | $6455309.84    | 0.03%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 5/37 #917965                                                                                  | CUSIP: 31411XZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5006 | PA      | $5249.62       | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 10/20/2044#MA2304                                                                           | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     412972 | PA      | $403844.40     | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON YDS 2019-55HY MTG TR                                                      | HUDSON YDS 2019-55HY F CSTR 12/10/2041 144A                                                              | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378000 | PA      | $256568.33     | 0.00%             | 2041-12-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3.5% 11/01/2033#G16677                                                                         | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3716076 | PA      | $3603209.92    | 0.02%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 6/36 #745640                                                                                  | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52364 | PA      | $54742.86      | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2022-C14                                                    | BBCMS Mortgage Trust 2022-C14 2.946% 02/15/2055                                                          | CUSIP: 07336AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | XX        |     589000 | PA      | $495430.58     | 0.00%             | 2055-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                       | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    2906000 | PA      | $2075886.34    | 0.01%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2052#                                                                               | CUSIP: 3133KNWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3047232 | PA      | $2810725.48    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/41 #752909                                                                                  | CUSIP: 36230MGS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10661 | PA      | $10559.21      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #745236                                                                                  | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54556 | PA      | $54035.02      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                                 | ANCESTRY.COM TERM B 1LN 12/04/2027                                                                       | CUSIP: 03952HAD6<br>LEI: 2549009ADY4208OH2Y47 | Long             | LON              | CORP              | US        |    1270056 | PA      | $1152309.48    | 0.01%             | 2027-12-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                                             | SRS DISTRIBUTION TERM B 1LN 06/02/2028                                                                   | CUSIP: 78466YAQ1<br>LEI: 549300ZQ3XP75BCYM468 | Long             | LON              | CORP              | US        |     994987 | PA      | $950521.47     | 0.00%             | 2028-06-02      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 08/42#Q10245                                                                              | CUSIP: 3132HLHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1521449 | PA      | $1429357.89    | 0.01%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                                     | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   18053000 | PA      | $11486221.25   | 0.06%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STILLWATER MINING COMPANY                                                        | STILLWATER MINING COMPANY 4% 11/16/2026 144A                                                             | CUSIP: 86074QAP7<br>LEI: 6354007DPCY4ZN2MRR73 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $991515.00     | 0.01%             | 2026-11-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 4.431/VAR 01/23/2030                                                                      | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    8668000 | PA      | $8197788.48    | 0.04%             | 2030-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2012-H03 FA 1ML+70 1/20/62 RVM                                                                       | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     234202 | PA      | $232828.23     | 0.00%             | 2062-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 4/42 #G06973                                                                                  | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     634423 | PA      | $613607.19     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 3.85% 06/01/2060                                                                            | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $14590765.80   | 0.08%             | 2060-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRIC CORP LTD                                                         | ISRAEL ELECTRIC CORP LTD 3.75% 02/22/2032 144A REGS                                                      | CUSIP: N/A<br>LEI: 254900JW7GE35YNJGJ55       | Long             | DBT              | CORP              | IL        |    1085000 | PA      | $944787.62     | 0.00%             | 2032-02-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 2/29 #C21724                                                                                  | CUSIP: 31293J4H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.19         | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FRESNILLO PLC                                                                    | FRESNILLO PLC 4.25% 10/02/2050 144A                                                                      | CUSIP: 358070AB6<br>LEI: 549300JXWH1UV5J0XV81 | Long             | DBT              | CORP              | GB        |     505000 | PA      | $380265.00     | 0.00%             | 2050-10-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 07/01/2043#V80169                                                                         | CUSIP: 3132L5FJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40117 | PA      | $36787.15      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                             | WR GRACE HOLDING LLC 5.625% 08/15/2029 144A                                                              | CUSIP: 92943GAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4425000 | PA      | $3648147.00    | 0.02%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS BRANCH                                                    | BBVA BANCOMER SA TEXAS 5.35%/VAR 11/12/2029 144A                                                         | CUSIP: 05533UAE8<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | EP               | CORP              | US        |     265000 | PA      | $253455.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 7% 2/32 #003202                                                                                  | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8802 | PA      | $9231.24       | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                                         | GS MTG SECS TR 2020-GC45 3.21854% 12/13/2039 144A                                                        | CUSIP: 36258YAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399000 | PA      | $257030.57     | 0.00%             | 2039-12-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| RUSSIA FEDN MINISTRY FINANCE                                                     | RUSSIA FEDN MINISTRY FINANCE 5.1% 03/28/2035 REGS                                                        | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | RU        |     600000 | PA      | $252000.00     | 0.00%             | 2035-03-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP 3.85% 02/01/2025                                                        | CUSIP: 11120VAA1<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    5199000 | PA      | $4987231.94    | 0.03%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #741215                                                                                  | CUSIP: 3620AVN81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7762 | PA      | $7688.34       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3% 05/15/2032 144A                                    | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18025000 | PA      | $14127183.88   | 0.07%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 01/43#AL3597                                                                              | CUSIP: 3138EK7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6340 | PA      | $6123.53       | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 6.39% 12/36 #1J1448                                                                             | CUSIP: 3128NHTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17543 | PA      | $17774.22      | 0.00%             | 2036-12-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| KOSMOS ENERGY LTD                                                                | KOSMOS ENERGY LTD 7.125% 04/04/2026 144A                                                                 | CUSIP: 500688AC0<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |    2695000 | PA      | $2397370.94    | 0.01%             | 2026-04-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.5% 11/30/2028                                                                                | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   75000000 | PA      | $65774414.25   | 0.34%             | 2028-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/32 #551697                                                                                  | CUSIP: 36213D3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        191 | PA      | $193.04        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C11                                                       | WFRBS 2013-C11 D CSTR 3/45                                                                               | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     443749 | PA      | $409043.97     | 0.00%             | 2045-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AK8228                                                                                  | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161017 | PA      | $155586.40     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 06/15/2042#799330                                                                           | CUSIP: 36177ULL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21511 | PA      | $20757.60      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE ENERGY CORP                                                           | CHESAPEAKE ENERGY CORP PIPE                                                                              | CUSIP: N/A<br>LEI: X2MT1W32SPAZ9WSKLE78       | Long             | EC               | CORP              | US        |        351 | NS      | $36328.50      | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| CLEAN HARBORS INC                                                                | CLEAN HARBORS TERM B 1LN 10/08/2028                                                                      | CUSIP: 18449EAF7<br>LEI: 5493000SJVZVZJKHJF48 | Long             | LON              | CORP              | US        |     511138 | PA      | $508264.91     | 0.00%             | 2028-10-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2011-H12 FA 1ML+49 5/61                                                                              | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     373577 | PA      | $370034.15     | 0.00%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                       | BETHP 2021 3ML+113 01/15/2035 144A                                                                       | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12522000 | PA      | $12107621.98   | 0.06%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                                            | FREEPORT INDONESIA PT 6.2% 04/14/2052 144A                                                               | CUSIP: 69377FAC0<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |     365000 | PA      | $314812.50     | 0.00%             | 2052-04-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 05/01/2038#G31067                                                                         | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1775738 | PA      | $1718366.69    | 0.01%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2012-C6                                  | MORGAN STAN BAML TR-2012-C6 F CSTR 11/15/2045 144A                                                       | CUSIP: 61761DAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378000 | PA      | $304453.67     | 0.00%             | 2045-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                          | BANK NOVA SCOTIA BC 6.567140%/VAR PERP                                                                   | CUSIP: 064159KJ4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | EP               | CORP              | CA        |    2677000 | PA      | $2476225.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/01/2045#AZ9666                                                                           | CUSIP: 3140E2W49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11673 | PA      | $11325.69      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US ANESTHESIA PARTNERS INC                                                       | US ANESTHESIA PARTNERS TERM B 1LN 09/22/2028                                                             | CUSIP: 90350HAL3<br>LEI: 549300J001GMNRO7SQ51 | Long             | LON              | CORP              | US        |    3281875 | PA      | $3135732.99    | 0.02%             | 2028-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 5.5% 01/15/2028 144A                        | CUSIP: 87470LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2843000 | PA      | $2580022.50    | 0.01%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/40 #751249                                                                                 | CUSIP: 36230KL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3206 | PA      | $3099.17       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                 | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                                      | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29080248 | PA      | $798904.19     | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A96783                                                                                  | CUSIP: 312945RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26028 | PA      | $25918.99      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 3.737%/VAR 04/24/2024                                                                     | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   45366000 | PA      | $45052726.90   | 0.24%             | 2024-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES XXXIV CLO LTD                                                               | ARES XXXIV CLO LTD 3ML+125 04/17/2033 144A                                                               | CUSIP: 04015GAP4<br>LEI: 549300VDFIIXSFET0S73 | Long             | ABS-CBDO         | CORP              | KY        |    8452000 | PA      | $8218767.06    | 0.04%             | 2033-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                                               | STICHTING AK RABOBANK CERTIFICATEN 6.5% PERP REGS                                                        | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | EP               | CORP              | NL        |    1545650 | PA      | $1588298.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                                             | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     772722 | PA      | $713284.47     | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 6.22% 3/37 #910296                                                                              | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7322 | PA      | $7321.67       | 0.00%             | 2037-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/46#Q38782                                                                                | CUSIP: 3132QVXL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232436 | PA      | $226023.13     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA SPA                                                      | AUTOSTRADE PER LITALIA SPA 2.25% 01/25/2032 REGS                                                         | CUSIP: N/A<br>LEI: 815600149448CEB9B230       | Long             | DBT              | CORP              | IT        |    1500000 | PA      | $1225774.77    | 0.01%             | 2032-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                   | OMAN SULTANATE 5.375% 03/08/2027 144A                                                                    | CUSIP: 682051AE7<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     170000 | PA      | $165537.50     | 0.00%             | 2027-03-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                     | BBIRD 2016-1A AA 2.487% 12/16/2041 144A                                                                  | CUSIP: 09228YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1037056 | PA      | $943710.13     | 0.00%             | 2041-12-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                | CHILE REPUBLIC OF 3.5% 01/31/2034                                                                        | CUSIP: 168863DV7<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     280000 | PA      | $243040.00     | 0.00%             | 2034-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RACKSPACE HOSTING INC                                                            | RACKSPACE HOSTING INC 3.5% 02/15/2028 144A                                                               | CUSIP: 750098AB1<br>LEI: 549300QTYCKLMFSE8I97 | Long             | DBT              | CORP              | US        |    2245000 | PA      | $1538610.75    | 0.01%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2137 PG 6% 3/29                                                                                      | CUSIP: 3133TJR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      16848 | PA      | $17132.98      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 7.00% 9/36 #C02621                                                                                  | CUSIP: 31292J4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4971 | PA      | $5349.45       | 0.00%             | 2036-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/32 #556039                                                                                  | CUSIP: 36213JV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $117.57        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2303 ZV 6% 4/31                                                                                      | CUSIP: 3133TSTH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      10934 | PA      | $11140.36      | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 7/39 #782727                                                                                  | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42381 | PA      | $42709.48      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAP LTD                                                                 | PETRONAS CAP LTD 3.404% 04/28/2061 144A                                                                  | CUSIP: 71675CAE8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     415000 | PA      | $292259.60     | 0.00%             | 2061-04-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 10/01/2051#RA5998                                                                           | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2459970 | PA      | $2193736.42    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2004-32 GS 650-1ML 5/34                                                                              | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      36192 | PA      | $2959.85       | 0.00%             | 2034-05-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 6/29 #C28186                                                                                  | CUSIP: 31293SCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        189 | PA      | $193.32        | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                          | SAUDI ARABIA KINGDOM OF 3.45% 02/02/2061 144A                                                            | CUSIP: 80413TAW9<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    1055000 | PA      | $755182.19     | 0.00%             | 2061-02-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 09/01/2043#AT7263                                                                         | CUSIP: 3138WVB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19822 | PA      | $18160.15      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2010-H27 FA 1ML+38 12/60                                                                             | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     304940 | PA      | $301307.79     | 0.00%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE CD 2016-CD2 MTG TR                                           | CD 2016-CD2 D CSTR 11/49                                                                                 | CUSIP: 12515AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     299000 | PA      | $167531.73     | 0.00%             | 2049-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2015-1R                                                                 | CSMC SER 2015-1R 1ML+28 05/27/2037 144A                                                                  | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     497893 | PA      | $482303.16     | 0.00%             | 2037-05-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ABG INTERMEDIATE HLDGS 2 LLC                                                     | AUTHENTIC BRANDS TERM B1 1LN 12/21/2028                                                                  | CUSIP: 00076VAZ3<br>LEI: 54930020NXD0RJB64985 | Long             | LON              | CORP              | US        |    5860312 | PA      | $5657662.88    | 0.03%             | 2028-12-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/39 #720055                                                                                  | CUSIP: 3620A55Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4939 | PA      | $4887.29       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2022S-FR1 TR                                                  | TRICON RESIDENTIAL 2022S-FR1 TR 5.344% 04/17/2039 144A                                                   | CUSIP: 89616QAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1081000 | PA      | $988895.99     | 0.01%             | 2039-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                       | VOLKSWAGEN INTL FINANCE NV 3.875%/VAR PERP REGS                                                          | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    9400000 | PA      | $8241031.68    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BHP TRUST 2019-BXHP                                                              | BHP TRUST 2019-BXHP F 1ML+293.798 08/15/2036 144A                                                        | CUSIP: 05550TAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     319900 | PA      | $294647.25     | 0.00%             | 2036-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MOFT TR 2020-ABC                                                                 | MOFT TR 2020-ABC E CSTR 02/01/2042 144A                                                                  | CUSIP: 55317BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194000 | PA      | $121903.39     | 0.00%             | 2042-02-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 11/39 #710497                                                                                 | CUSIP: 36297FKJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22259 | PA      | $21528.89      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                   | WALT DISNEY CO 3.8% 03/22/2030                                                                           | CUSIP: 254687FQ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   20840000 | PA      | $19576335.55   | 0.10%             | 2030-03-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES 2019                                                       | TRICON AMERICAN HOMES 2019 3.745% 03/17/2038 144A                                                        | CUSIP: 89612LAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     525000 | PA      | $469249.83     | 0.00%             | 2038-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC                                                                 | MICHAELS COS INC 5.25% 05/01/2028 144A                                                                   | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    1020000 | PA      | $747083.68     | 0.00%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2021                                                | CREDIT SUISSE MORTGAGE TRUST 2021-BRIT A 1ML+345.92 05/15/2023 144A                                      | CUSIP: 12658RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     929160 | PA      | $864425.05     | 0.00%             | 2023-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CROWNROCK L P / CROWNROCK FIN INC                                                | CROWNROCK LP / CROWNROCK FIN INC 5.625% 10/15/2025 144A                                                  | CUSIP: 228701AF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     180000 | PA      | $175725.00     | 0.00%             | 2025-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                | CHILE REPUBLIC OF 4.34% 03/07/2042                                                                       | CUSIP: 168863DY1<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     360000 | PA      | $307980.00     | 0.00%             | 2042-03-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                       | J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A                                   | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2354000 | PA      | $2029454.96    | 0.01%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2131 BG 6% 3/29                                                                                      | CUSIP: 3133TK2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     106860 | PA      | $108703.90     | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.8% 02/15/2029                                                                                  | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    2198000 | PA      | $2115431.80    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 6.05% 01/11/2040                                                            | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     980000 | PA      | $982633.75     | 0.01%             | 2040-01-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 11/01/2042#AB6904                                                                         | CUSIP: 31417DU68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443772 | PA      | $402358.39     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 2/42 #Q06088                                                                                  | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36268 | PA      | $35088.41      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/28 #323317                                                                                  | CUSIP: 31374TDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        844 | PA      | $873.85        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2017-30 AI 5.5% 05/47                                                                                | CUSIP: 3136AWQD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     555800 | PA      | $100534.95     | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                                             | SRS DISTRIBUTION INC 6% 12/01/2029 144A                                                                  | CUSIP: 78471RAD8<br>LEI: 549300ZQ3XP75BCYM468 | Long             | DBT              | CORP              | US        |     870000 | PA      | $712646.88     | 0.00%             | 2029-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DBCCRE 2014-ARCP MORTGAGE TRUST                                                  | DBCCRE 2014-ARCP MORTGAGE TRUST VAR 01/10/2034 144A                                                      | CUSIP: 23305MAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     818000 | PA      | $722024.14     | 0.00%             | 2034-01-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 07/15/2046#AT7536                                                                           | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39975 | PA      | $38587.36      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABG INTERMEDIATE HLDGS 2 LLC                                                     | AUTHENTIC BRANDS TERM B 2LN 12/20/2029                                                                   | CUSIP: 00076VAY6<br>LEI: 54930020NXD0RJB64985 | Long             | LON              | CORP              | US        |     880000 | PA      | $809600.00     | 0.00%             | 2029-12-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROUP INC                                                    | SINCLAIR BROADCASTING NEW TL B 1LN 09/30/2026                                                            | CUSIP: 82925BAE5<br>LEI: 549300CQGEN0CH65UD62 | Long             | LON              | CORP              | US        |    1285250 | PA      | $1226616.90    | 0.01%             | 2026-09-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                | BX TRUST 2022-IND TSFR1M+478.6 04/15/2024 144A                                                           | CUSIP: 05609WAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2216076 | PA      | $2063359.99    | 0.01%             | 2037-04-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| DBGS 2019-1735 MTG TR                                                            | DBGS 2019-1735 F CSTR 04/10/2037 144A                                                                    | CUSIP: 23307EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     665000 | PA      | $440633.72     | 0.00%             | 2037-04-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 06/45#AY8126                                                                                | CUSIP: 3138YNA49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43290 | PA      | $42070.25      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/27 #461545                                                                                 | CUSIP: 36208UWE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $59.64         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/31 #545304                                                                                 | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        737 | PA      | $781.17        | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 5.375% 06/01/2029 144A                                                            | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4537350.00    | 0.02%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2019-10K                                                | NATIXIS COML MTG SECS TR 2019-10K CSTR 05/15/2039 144A                                                   | CUSIP: 63874UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     768000 | PA      | $538746.70     | 0.00%             | 2039-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                  | FOX CORP 5.476% 01/25/2039                                                                               | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    3552000 | PA      | $3270968.32    | 0.02%             | 2039-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELECTRON BIDCO INC                                                               | EXAMWORKS TERM B 1LN 11/01/2028                                                                          | CUSIP: 28542CAC3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1223850 | PA      | $1186265.57    | 0.01%             | 2028-11-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/29 #523195                                                                                 | CUSIP: 31384GGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $140.92        | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #452204                                                                                  | CUSIP: 36208JKR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        126 | PA      | $127.51        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHOBANI LLC                                                                      | CHOBANI TERM B 1LN 10/23/2027                                                                            | CUSIP: 17026YAH2<br>LEI: 549300ISVDMZ91KNTR38 | Long             | LON              | CORP              | US        |    1722815 | PA      | $1670062.58    | 0.01%             | 2027-10-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 5/39 #698329                                                                                  | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11572 | PA      | $11449.31      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 4/40 #723745                                                                                  | CUSIP: 3620AABN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20163 | PA      | $19971.68      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 4% 05/01/2037#C91938                                                                           | CUSIP: 3128P8EK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2923260 | PA      | $2872627.70    | 0.02%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 07/01/2043#Q20360                                                                         | CUSIP: 3132JMMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11689 | PA      | $11392.27      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE8538                                                                           | CUSIP: 31419KPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73649 | PA      | $71156.13      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B21 MTG TR                                                        | BENCHMARK 2020-B21 MTG TR 2% 12/17/2053 144A                                                             | CUSIP: 08163LBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     446000 | PA      | $262022.06     | 0.00%             | 2053-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX 2021-VOLT                                                                     | BX 2021-VOLT G 1ML+245 09/15/2023 144A                                                                   | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230000 | PA      | $212058.21     | 0.00%             | 2036-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                         | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                       | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8074224 | PA      | $6810688.26    | 0.04%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                       | MARSH and MCLENNAN COS INC 4.375% 03/15/2029                                                             | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    7831000 | PA      | $7621737.12    | 0.04%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 5.3% 08/15/2052                                                                         | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    3368000 | PA      | $3093705.84    | 0.02%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                       | JPMCC 2018-WPT XAFX CSTR 07/23 144A                                                                      | CUSIP: 46645WAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19961000 | PA      | $75442.60      | 0.00%             | 2033-07-05      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | LEVEL 3 FINANCING INC 4.25% 07/01/2028 144A                                                              | CUSIP: 527298BR3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    6430000 | PA      | $5034621.07    | 0.03%             | 2028-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GAINWELL ACQUISITION CORP                                                        | GAINWELL TERM B 1LN 10/01/2027                                                                           | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   15330468 | PA      | $14931875.48   | 0.08%             | 2027-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 12/35 #848501                                                                                 | CUSIP: 31408DU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1334 | PA      | $1321.77       | 0.00%             | 2035-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAS CAPITAL NO 1 LTD                                                             | CAS CAPITAL NO 1 LIMITED 4%/VAR PERP REGS                                                                | CUSIP: N/A<br>LEI: 254900REJZW5L9QRTD85       | Long             | EP               | CORP              | VG        |    1000000 | PA      | $695000.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                    | AIB GROUP PLC 1.875%/VAR 11/19/2029 REGS                                                                 | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |    4000000 | PA      | $3790281.43    | 0.02%             | 2029-11-19      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2043#AC9441                                                                           | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41699 | PA      | $40251.93      | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US FOODS INC 4.625% 06/01/2030 144A                                                                      | CUSIP: 90290MAE1<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     580000 | PA      | $514697.80     | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.75% 04/01/2033 144A                                 | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15215000 | PA      | $14739226.95   | 0.08%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | LEVEL 3 TERM B 1LN 03/01/2027                                                                            | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |    1530621 | PA      | $1454564.67    | 0.01%             | 2027-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 9/39 #723333                                                                                  | CUSIP: 3620A9SW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12840 | PA      | $12706.37      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 7.75% 09/01/2029 144A                                                                 | CUSIP: 903724AU6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     170000 | PA      | $39928.75      | 0.00%             | 2029-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                                                                        | PIKE CORP 5.5% 09/01/2028 144A                                                                           | CUSIP: 721283AA7<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |    7505000 | PA      | $6704516.70    | 0.04%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 09/20/2051#MA7590                                                                             | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12810877 | PA      | $11629778.58   | 0.06%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2010-135 ZA 4.5% 12/40                                                                               | CUSIP: 31398SE82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     493884 | PA      | $495257.76     | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2041#AI7563                                                                         | CUSIP: 3138AMMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2578 | PA      | $2564.16       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 1.95% 02/15/2028 144A                                                                       | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3204000 | PA      | $2708036.79    | 0.01%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STERICYCLE INC                                                                   | STERICYCLE INC 3.875% 01/15/2029 144A                                                                    | CUSIP: 858912AG3<br>LEI: B8PTJH2P0AXSWSMP2136 | Long             | DBT              | CORP              | US        |    2080000 | PA      | $1809600.00    | 0.01%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2051#FM9568                                                                           | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10498210 | PA      | $8701599.97    | 0.05%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                 | KINDER MORGAN ENERGY PTNRS LP 6.55% 09/15/2040                                                           | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     686000 | PA      | $692622.16     | 0.00%             | 2040-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/31 #596248                                                                                  | CUSIP: 31387WL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        262 | PA      | $278.04        | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                            | FX Forward: USD/GBP settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5948.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.625% 06/15/2035                                                                    | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    3392000 | PA      | $2384915.20    | 0.01%             | 2035-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROVINCE CORDOBA                                                                 | PROVINCE CORDOBA STEP 12/10/2025 144A                                                                    | CUSIP: 74408DAC8<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | CORP              | AR        |    1645009 | PA      | $1303669.63    | 0.01%             | 2025-12-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 8.00% 3/37 #922475                                                                                  | CUSIP: 31412D2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3659 | PA      | $4033.49       | 0.00%             | 2037-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                         | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95460 | PA      | $87625.95      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 5/35 #812274                                                                                  | CUSIP: 31406KMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1368 | PA      | $1447.99       | 0.00%             | 2035-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DAVE and BUSTERS INC                                                             | DAVE and BUSTER'S TERM B 1LN 06/29/2029                                                                  | CUSIP: 23833EAV6<br>LEI: 549300JAVWTAY1FT5Z45 | Long             | LON              | CORP              | US        |    1062338 | PA      | $1052510.88    | 0.01%             | 2029-06-29      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| CATALENT PHARMA SOLUTIONS                                                        | CATALENT PHARMA SOLUTIONS 3.5% 04/01/2030 144A                                                           | CUSIP: 14879EAK4<br>LEI: 549300HALRZ339MSTH85 | Long             | DBT              | CORP              | US        |    2980000 | PA      | $2428700.00    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/29 #520975                                                                                 | CUSIP: 31384DXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $123.98        | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AT0228                                                                           | CUSIP: 36193XHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12460 | PA      | $11712.10      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 08/44#AW6267                                                                              | CUSIP: 3138XV6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177880 | PA      | $182402.70     | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 10/34 #605529                                                                                 | CUSIP: 36200NVW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2072 | PA      | $2173.25       | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 3.869%/VAR 01/12/2029 144A                                                          | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    6719000 | PA      | $5366673.66    | 0.03%             | 2029-01-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 5.64% 4/36 #1J0058                                                                              | CUSIP: 3128LUB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10312 | PA      | $10387.67      | 0.00%             | 2036-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C9                                  | MSBAM 13-C9 D CSTR 5/15/46                                                                               | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     938000 | PA      | $856601.95     | 0.00%             | 2046-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| STG LOGISTICS INC                                                                | STG LOGISTICS TERM 1LN 03/24/2028                                                                        | CUSIP: 75620FAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     950225 | PA      | $897962.63     | 0.00%             | 2028-03-24      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                             | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                                | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    7550000 | PA      | $6441275.10    | 0.03%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 5.00% 3/23 #889255                                                                             | CUSIP: 31410G5Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $80.02         | 0.00%             | 2023-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | VISTRA ENERGY TERM B-3 12/31/25                                                                          | CUSIP: 88233FAK6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | LON              | CORP              | US        |    3994414 | PA      | $3959023.94    | 0.02%             | 2025-12-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 06/15/2043#AE4597                                                                         | CUSIP: 36180XDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14903 | PA      | $14123.32      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 01/01/2041#                                                                                 | CUSIP: 312946FC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45778 | PA      | $44336.61      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2045#BA5012                                                                         | CUSIP: 3140E9SA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1219 | PA      | $1207.66       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 6.25% 6/36 #886983                                                                              | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5232 | PA      | $5286.66       | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                   | EXTENDED STAY AMER TR 2021-ESH F 1ML+370 07/15/2038 144A                                                 | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1868432 | PA      | $1757197.06    | 0.01%             | 2038-07-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 11/31 #556007                                                                                 | CUSIP: 36213JU86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1015 | PA      | $1065.12       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2043#Q21524                                                                         | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8908 | PA      | $8679.05       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                              | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1% 08/12/2027 REGS                                                   | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | DBT              | CORP              | SE        |     950000 | PA      | $664631.43     | 0.00%             | 2027-08-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/33 #255034                                                                                 | CUSIP: 31371LHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        863 | PA      | $853.33        | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 3/39 #782604                                                                                  | CUSIP: 36241K3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1344 | PA      | $1389.13       | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 12/35 #866182                                                                                 | CUSIP: 31409BJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2237 | PA      | $2216.09       | 0.00%             | 2035-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C44                                                 | WELLS FARGO COML MTG TR 2018-C44 3% 05/15/2051 144A                                                      | CUSIP: 95001JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1512000 | PA      | $1041836.49    | 0.01%             | 2051-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2020-C8                                                             | BBCMS MTG TR 2020-C8 2.25% 10/15/2053 144A                                                               | CUSIP: 05552AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     830000 | PA      | $470198.65     | 0.00%             | 2053-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2034#255228                                                                         | CUSIP: 31371LPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16185 | PA      | $16011.34      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                   | MCDONALDS CORP 3.5% 07/01/2027                                                                           | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    3551000 | PA      | $3396752.02    | 0.02%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 01/01/2044#Q24349                                                                         | CUSIP: 3132M4QA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30900 | PA      | $30095.57      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP G 1ML+297.38 11/15/2038 144A                                                           | CUSIP: 78472UAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2415000 | PA      | $2190845.74    | 0.01%             | 2038-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 5% 02/01/2028 144A                                                                | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12475000 | PA      | $11467768.50   | 0.06%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                              | HUNGARY REPUBLIC OF 2.125% 09/22/2031 144A                                                               | CUSIP: 445545AM8<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |     285000 | PA      | $212022.19     | 0.00%             | 2031-09-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 10/42 #AP6486                                                                                 | CUSIP: 3138MAF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11201 | PA      | $10500.72      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFILIATED MANAGERS GROUP INC                                                    | AFFILIATED MANAGERS GROUP INC 3.5% 08/01/2025                                                            | CUSIP: 008252AN8<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | DBT              | CORP              | US        |    7624000 | PA      | $7339670.62    | 0.04%             | 2025-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                       | VOLKSWAGEN INTL FINANCE NV 3.748%/VAR PERP REGS                                                          | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |     800000 | PA      | $722384.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 5.5% 12/01/2052 #TBA                                                                           | CUSIP: 01F0526C1<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -18950000 | PA      | $-19166147.49  | -0.10%            | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2051#CB2420                                                                           | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2663101 | PA      | $2375299.35    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 6/32 #644809                                                                                  | CUSIP: 31390FKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2531 | PA      | $2637.33       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | LEVEL 3 FINANCING INC 4.625% 09/15/2027 144A                                                             | CUSIP: 527298BN2<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1685000.00    | 0.01%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #776738                                                                                  | CUSIP: 31404R4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34893 | PA      | $34518.02      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                                                                  | 180 MEDICAL INC 3.875% 10/15/2029 144A                                                                   | CUSIP: 682357AA6<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |    1805000 | PA      | $1534083.63    | 0.01%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 03/01/2051#QC0031                                                                         | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27290 | PA      | $21270.91      | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 6.34% 5/36 #872506                                                                              | CUSIP: 31409JKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11672 | PA      | $11764.42      | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| NATIONAL MENTOR HOLDINGS INC                                                     | NATIONAL MENTOR TERM B 1LN 03/02/2028                                                                    | CUSIP: 63689EAR6<br>LEI: 5493004QULJVJP3CNZ62 | Long             | LON              | CORP              | US        |     584146 | PA      | $412634.65     | 0.00%             | 2028-03-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AZZ INC                                                                          | AZZ TERM B 1LN 05/13/2029                                                                                | CUSIP: 00247NAG7<br>LEI: 549300HD1X2NFLWPYC83 | Long             | LON              | CORP              | US        |    1462933 | PA      | $1456539.67    | 0.01%             | 2029-05-13      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ZIGGO BV                                                                         | ZIGGO BV 4.875% 01/15/2030 144A                                                                          | CUSIP: 98955DAA8<br>LEI: 213800TQASLF9JXH5J59 | Long             | DBT              | CORP              | NL        |    1265000 | PA      | $1075250.00    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 7/27 #250990                                                                                  | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $51.75         | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 06/01/2051#CB0850                                                                           | CUSIP: 3140QK5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4521202 | PA      | $4030475.90    | 0.02%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 11/01/2044#AL7307                                                                         | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     936624 | PA      | $943797.02     | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMENTUM GOVERNMENT SERVICES HOLDINGS LLC                                         | AECOM TERM B 2LN 01/31/2028                                                                              | CUSIP: 02351UAB0<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |    1180000 | PA      | $1073800.00    | 0.01%             | 2028-01-31      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2042#G07492                                                                         | CUSIP: 3128M9UR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3081 | PA      | $3067.71       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                                  | IHS HOLDING LTD 5.625% 11/29/2026 144A                                                                   | CUSIP: 44963HAA3<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |     720000 | PA      | $565335.00     | 0.00%             | 2026-11-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 03/01/2043#Q16049                                                                         | CUSIP: 3132J7EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26388 | PA      | $25734.56      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TR 2017-WWP                                                      | WORLDWIDE PLAZA TR 2017-WWP E CSTR 11/10/2036 144A                                                       | CUSIP: 98162JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198000 | PA      | $117986.26     | 0.00%             | 2036-11-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 04/01/2046#AS7000                                                                           | CUSIP: 3138WGX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3604057 | PA      | $3277074.03    | 0.02%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 4/42 #Q07441                                                                                  | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16282 | PA      | $15746.42      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 05/15/2043#AC4237                                                                         | CUSIP: 36179DV64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22141 | PA      | $20514.92      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #449219                                                                                  | CUSIP: 36208FAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        172 | PA      | $174.10        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOTHEBYS                                                                         | SOTHEBYS 7.375% 10/15/2027 144A                                                                          | CUSIP: 835898AH0<br>LEI: 549300P5BAAMQQ7VL735 | Long             | DBT              | CORP              | US        |    6195000 | PA      | $6033899.03    | 0.03%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/29 #323968                                                                                 | CUSIP: 31374TZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        185 | PA      | $192.60        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                                                    | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     484325 | PA      | $30975.76      | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                     | ENTEGRIS INC 3.625% 05/01/2029 144A                                                                      | CUSIP: 29362UAD6<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $908850.00     | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/01/2046#BC4760                                                                         | CUSIP: 3140F0JE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     485413 | PA      | $456270.92     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION INC                                                     | ADTALEM GLOBAL EDUCATION TERM B 1LN 08/12/2028                                                           | CUSIP: 00737RAE0<br>LEI: 549300Z467EZLMODV621 | Long             | LON              | CORP              | US        |    1478666 | PA      | $1458334.73    | 0.01%             | 2028-08-12      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/31 #254058                                                                                  | CUSIP: 31371KE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $318.26        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RLG HOLDINGS LLC                                                                 | RESOURCE LABEL GROUP TERM B 1LN 07/08/2028                                                               | CUSIP: 74970AAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1017312 | PA      | $956701.02     | 0.01%             | 2028-07-08      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/28 #402895                                                                                  | CUSIP: 31378MRQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        282 | PA      | $292.18        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2046#BM5199                                                                         | CUSIP: 3140J9X55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1311504 | PA      | $1304452.96    | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 11/01/2051#QD1240                                                                           | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     952009 | PA      | $845257.79     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019 1ML+145 10/15/2036 144A                                                                    | CUSIP: 056054AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15080700 | PA      | $14529316.43   | 0.08%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 8/32 #C01385                                                                                  | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4068 | PA      | $4273.94       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 04/15/2043#AB2712                                                                         | CUSIP: 36178NAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62735 | PA      | $58127.05      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENEZUELA, REPUBLIC OF                                                           | VENEZUELA REPUBLIC OF 11.95% 08/05/2031 REGS                                                             | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | VE        |     938300 | PA      | $82069.56      | 0.00%             | 2031-08-05      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2046#AL8907                                                                         | CUSIP: 3138ET3R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61103 | PA      | $57434.29      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ERO COPPER CORP                                                                  | ERO COPPER CORP 6.5% 02/15/2030 144A                                                                     | CUSIP: 296006AA7<br>LEI: 549300KL8A21SEIO8I47 | Long             | DBT              | CORP              | CA        |    4530000 | PA      | $3490931.25    | 0.02%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2013-GC15                                                  | CITIGROUP COML MTG TR 2013-GC15 D CSTR 09/10/2046 144A                                                   | CUSIP: 17321JAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1126036.44    | 0.01%             | 2046-09-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2050#CA5122                                                                           | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4093996 | PA      | $3683541.48    | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                       | VOLKSWAGEN INTL FINANCE NV 0 PERP REGS                                                                   | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    5150000 | PA      | $5096025.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/24 #371692                                                                                  | CUSIP: 36204J2Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $43.86         | 0.00%             | 2024-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 04/43#AB9891                                                                                | CUSIP: 36178W7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131515 | PA      | $124152.24     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 08/15/2043#AD8363                                                                         | CUSIP: 36180MJG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7703 | PA      | $7300.15       | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 4.625% 12/01/2030 144A                                                                  | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    5107000 | PA      | $3238642.35    | 0.02%             | 2030-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #449982                                                                                  | CUSIP: 36208F2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        241 | PA      | $248.63        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/32 #565952                                                                                  | CUSIP: 36213VWM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        786 | PA      | $821.76        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3415 PC 5% 12/37                                                                                     | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      46873 | PA      | $46707.27      | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/27 #353501                                                                                  | CUSIP: 36203MU24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189 | PA      | $194.38        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVT VAR 08/01/2041 144A                                                                         | CUSIP: 903724AW2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     530000 | PA      | $155621.25     | 0.00%             | 2041-08-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT OWNERSHIP RESORTS INC                                                   | MARRIOTT OWNERSHIP RESORTS INC 4.75% 01/15/2028                                                          | CUSIP: 57164PAF3<br>LEI: BW4532OH033VURR0IT68 | Long             | DBT              | CORP              | US        |     775000 | PA      | $679853.90     | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/23 #351525                                                                                  | CUSIP: 36203KPJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $14.52         | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #481133                                                                                  | CUSIP: 36209TPS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        696 | PA      | $716.65        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                   | HALLIBURTON CO 4.85% 11/15/2035                                                                          | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    3103000 | PA      | $2908189.97    | 0.02%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#737833                                                                         | CUSIP: 31402TV28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39465 | PA      | $39042.16      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BFLD TR 2020 -OBRK                                                               | BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A                                                            | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6971000 | PA      | $6874733.98    | 0.04%             | 2028-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                             | TTM TECHNOLOGIES INC 4% 03/01/2029 144A                                                                  | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |    5530000 | PA      | $4691333.58    | 0.02%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #396096                                                                                  | CUSIP: 31378D7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        633 | PA      | $659.58        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PERRIGO INVESTMENTS LLC                                                          | PERRIGO TERM B 1LN 04/20/2029                                                                            | CUSIP: N/A<br>LEI: 549300POZGC78VHAAJ73       | Long             | LON              | CORP              | US        |     882788 | PA      | $868442.20     | 0.00%             | 2029-04-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2017-COR2                                                                   | COMM 2017-COR2 D 3% 09/10/2050 144A                                                                      | CUSIP: 12595EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202000 | PA      | $147377.97     | 0.00%             | 2050-09-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 12/36 #901643                                                                                 | CUSIP: 31410YWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1252 | PA      | $1340.77       | 0.00%             | 2036-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 4.125% 12/15/2026                                                                  | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   11765000 | PA      | $11492003.18   | 0.06%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.834% 10/23/2055        | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1915147.76    | 0.01%             | 2055-10-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+172.21 10/15/2036 144A                                         | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11589000 | PA      | $10647338.12   | 0.06%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 5.6% 02/15/2041                                                                                | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   10536000 | PA      | $10153951.89   | 0.05%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY CAPITAL INC                                                        | SPIRIT RLTY CAP INC SER A 6% PFD PERP                                                                    | CUSIP: 84860W201<br>LEI: 549300LTU6LVPZSHMJ25 | Long             | EP               | CORP              | US        |      10200 | NS      | $229704.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 03/15/2042#796180                                                                           | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14587 | PA      | $14080.29      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST 2021-SFR6                                             | PROGRESS RESIDENTIAL TRUST 2021-SFR6 3.422% 07/17/2038 144A                                              | CUSIP: 74333HAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     315000 | PA      | $261419.32     | 0.00%             | 2038-07-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SA                                                          | ENFRAGEN ENERGIA SUR SA 5.375% 12/30/2030 144A                                                           | CUSIP: 29280LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |    1715000 | PA      | $1127505.31    | 0.01%             | 2030-12-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2007-66 SA -1ML+3960 7/37                                                                            | CUSIP: 31396WYX8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      32495 | PA      | $44555.14      | 0.00%             | 2037-07-25      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 4.95% 04/01/2024                                                          | CUSIP: 681936BB5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    9727000 | PA      | $9591550.55    | 0.05%             | 2024-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 08/15/2042#AB6802                                                                         | CUSIP: 36178TRX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15548 | PA      | $14275.11      | 0.00%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WASH MULTIFAMILY ACQUISITION INC                                                 | WASH MULTIFAMILY ACQUISITION INC 5.75% 04/15/2026 144A                                                   | CUSIP: 93710WAA3<br>LEI: 549300AS7PRY5PHG6L12 | Long             | DBT              | CORP              | US        |    5690000 | PA      | $5333350.80    | 0.03%             | 2026-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMM 2015-3BP MTG TR                                                             | COMM 2015-3BP MTG TR 3.238% 02/10/35 144A                                                                | CUSIP: 12592TAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     845000 | PA      | $694965.69     | 0.00%             | 2035-02-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC 4% 10/01/2023                                                                               | CUSIP: 29250NAF2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    5655000 | PA      | $5591237.10    | 0.03%             | 2023-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.5% 06/02/2041                                                                      | CUSIP: 71654QAZ5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     255000 | PA      | $163200.00     | 0.00%             | 2041-06-02      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                    | COMMSCOPE INC 4.75% 09/01/2029 144A                                                                      | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    1006000 | PA      | $847212.96     | 0.00%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                        | VOYA CLO 2020-2 LTD/LLC 3ML+116 07/19/2034 144A                                                          | CUSIP: 92918HAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8182000 | PA      | $7941179.19    | 0.04%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2002-7 FC 1ML+75 1/32                                                                                | CUSIP: 31392B2Z8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       2598 | PA      | $2608.95       | 0.00%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 6.00% 5/32 #003238                                                                               | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33065 | PA      | $34214.63      | 0.00%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VASA TR 2021-VASA                                                                | VASA TR 2021-VASA F 1ML+390 04/15/2060 144A                                                              | CUSIP: 92230AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     767000 | PA      | $700082.32     | 0.00%             | 2039-07-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 08/15/2042#798467                                                                         | CUSIP: 36177TMR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41412 | PA      | $39960.54      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/23 #366568                                                                                 | CUSIP: 36204DFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $41.86         | 0.00%             | 2023-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 7.00% 8/26 #C90997                                                                             | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7028 | PA      | $7154.99       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FIN CORP                           | DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FIN CORP 7.125% 06/01/2028 144A                            | CUSIP: 24665FAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3517000 | PA      | $3258078.46    | 0.02%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SINOPEC GROUP OVERSEAS DEV 2018 LTD                                              | SINOPEC GROUP OVERSEAS DEV 2018 LTD 2.7% 05/13/2030 144A                                                 | CUSIP: 82939GAP3<br>LEI: 549300C6OZZ8LTVR8209 | Long             | DBT              | CORP              | VG        |     325000 | PA      | $284628.50     | 0.00%             | 2030-05-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 8.407%/VAR 11/14/2032 REGS                                                          | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |    1350000 | PA      | $1683739.43    | 0.01%             | 2032-11-14      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 1/40 #732376                                                                                  | CUSIP: 3620AKT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5228 | PA      | $5266.71       | 0.00%             | 2040-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                             | ROMANIA REPUBLIC OF 3% 02/27/2027 144A                                                                   | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     652000 | PA      | $585496.00     | 0.00%             | 2027-02-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WOOF HOLDINGS LLC                                                                | WELLPET TERM B 1LN 12/21/2027                                                                            | CUSIP: 98082EAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1466207 | PA      | $1378234.88    | 0.01%             | 2027-12-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO XII LTD / TRAPEZA CDO XII INC                                        | TRAP 2007-12A B 3ML+56 4/42                                                                              | CUSIP: 89413GAG3<br>LEI: 5493000R4ICCD2N68609 | Long             | ABS-CBDO         | CORP              | KY        |     934000 | PA      | $706298.27     | 0.00%             | 2042-04-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFINITY GAMING LLC                                                              | AFFINITY GAMING LLC 6.875% 12/15/2027 144A                                                               | CUSIP: 00842XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3755000 | PA      | $3221189.20    | 0.02%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GEMS MENASA CAYMAN LTD                                                           | GEMS EDUCATION TERM B 1LN 07/30/2026                                                                     | CUSIP: N/A<br>LEI: 213800KB2HCLUSOQ2G49       | Long             | LON              | CORP              | KY        |    3783976 | PA      | $3721691.41    | 0.02%             | 2026-07-30      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | REALTY INCOME CORP 3.4% 01/15/2028                                                                       | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    3355000 | PA      | $3103036.28    | 0.02%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 3.05% 06/05/2023                                                                           | CUSIP: 02005NBK5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   20571000 | PA      | $20295716.62   | 0.11%             | 2023-06-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 0.0% 05/01/2041#1B8124                                                                          | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13513 | PA      | $13614.05      | 0.00%             | 2041-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 7/39 #AA9055                                                                                  | CUSIP: 31416TBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1195 | PA      | $1187.36       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS INC                                                              | ASSUREDPARTNERS INC 5.625% 01/15/2029 144A                                                               | CUSIP: 04624VAB5<br>LEI: 549300HNDSDQWQ3L2P80 | Long             | DBT              | CORP              | US        |    1015000 | PA      | $862750.00     | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 8/27 #928600                                                                             | CUSIP: 31412LUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2538 | PA      | $2585.06       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 9/39 #710868                                                                                  | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81437 | PA      | $84401.55      | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 12/39 #728451                                                                                 | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17173 | PA      | $17330.68      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | VISTRA OPERATIONS CO LLC 5.625% 02/15/2027 144A                                                          | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2730000 | PA      | $2641147.04    | 0.01%             | 2027-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2043#AB9376                                                                         | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171215 | PA      | $161577.89     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 6.50% 2/27 #D97196                                                                             | CUSIP: 3128E37H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1745 | PA      | $1769.19       | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-SG1                                                 | WELLS FARGO COML MTG TR 2020-C57 D 2.5% 08/15/2053 144A                                                  | CUSIP: 95002XAC9<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |     581000 | PA      | $372610.46     | 0.00%             | 2053-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/40 #737442                                                                                  | CUSIP: 3620ARHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7122 | PA      | $6884.41       | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 11/39 #709884                                                                                 | CUSIP: 36297EUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2868 | PA      | $3024.64       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 05/25/2037                                                           | CUSIP: 31396VYS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      25192 | PA      | $3105.27       | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAP                                                               | TELECOM ITALIA CAP 7.2% 07/18/2036                                                                       | CUSIP: 87927VAR9<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |    1334000 | PA      | $1105752.60    | 0.01%             | 2036-07-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2042#794559                                                                           | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11654 | PA      | $11253.92      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #464694                                                                                  | CUSIP: 36208YGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         62 | PA      | $63.73         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIMPRESS USA INC                                                                 | CIMPRESS TERM B 1LN 05/17/2028                                                                           | CUSIP: N/A<br>LEI: 549300IW5HMWD8APDH34       | Long             | LON              | CORP              | US        |     496912 | PA      | $436040.08     | 0.00%             | 2028-05-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2034#AB8011                                                                         | CUSIP: 31417E3V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19923 | PA      | $19675.82      | 0.00%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 01/01/2041#AB2091                                                                           | CUSIP: 31416XKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59782 | PA      | $57786.93      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                                | UNITED KINGDOM G.B. and N.IRELAND 2.25% 09/07/2023 REGS                                                  | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |   10645000 | PA      | $12713115.50   | 0.07%             | 2023-09-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/31 #253907                                                                                  | CUSIP: 31371KAG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $125.69        | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                        | SAUDI ARABIAN OIL COMPANY 4.375% 04/16/2049 144A                                                         | CUSIP: 80414L2F1<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     555000 | PA      | $482850.00     | 0.00%             | 2049-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 8/27 #780618                                                                                  | CUSIP: 36225AVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         87 | PA      | $89.75         | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | FX Forward: EUR/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $1469.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/40 #748482                                                                                  | CUSIP: 3620C4RB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33126 | PA      | $33455.84      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/41 #AI0729                                                                                  | CUSIP: 3138ADY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2083 | PA      | $2071.83       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/29 #501931                                                                                  | CUSIP: 36210TSU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        115 | PA      | $117.36        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC        | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028 144A          | CUSIP: 03969YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     445000 | PA      | $375418.23     | 0.00%             | 2028-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                              | UNITED AIRLINES TERM B 1LN 04/21/2028                                                                    | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |    4910225 | PA      | $4841825.57    | 0.03%             | 2028-04-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                      | SUNOCO LP / SUNOCO FIN CORP 4.5% 05/15/2029                                                              | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1440000 | PA      | $1246877.57    | 0.01%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2042#Q13425                                                                         | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107458 | PA      | $104795.30     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STARS GROUP HOLDINGS BV                                                          | FLUTTER ENTERTAINMENT TERM B 1LN 07/16/2026                                                              | CUSIP: N/A<br>LEI: 549300RNFXC8F8RT6R13       | Long             | LON              | CORP              | NL        |    2842023 | PA      | $2803343.06    | 0.01%             | 2026-07-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP                                    | RETAIL OPPTY INVTS PRTNRSHP LP 5% 12/15/2023                                                             | CUSIP: 76132FAA5<br>LEI: 549300KH0PNTJK9NTE57 | Long             | DBT              | CORP              | US        |     737000 | PA      | $727387.96     | 0.00%             | 2023-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/28 #469082                                                                                  | CUSIP: 36209ECT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79 | PA      | $81.15         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 03/15/2042#773367                                                                         | CUSIP: 36176Q6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10771 | PA      | $10400.66      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 11/01/2049#SD7509                                                                           | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32710102 | PA      | $29491993.53   | 0.15%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 4.5% 04/16/2050                                                                       | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    1090000 | PA      | $839845.00     | 0.00%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                   | CANADIAN NATL RESOURCES LTD 2.95% 07/15/2030                                                             | CUSIP: 136385BA8<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   12000000 | PA      | $10251901.44   | 0.05%             | 2030-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTJET AIRLINES LIMITED                                                         | WESTJET AIRLINES TERM 1LN 12/11/2026                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | CA        |     650221 | PA      | $582110.24     | 0.00%             | 2026-12-11      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 3/26 #303780                                                                                  | CUSIP: 31373UM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.18         | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAIN SYS INC DEL                                                       | ADVANCED DRAIN SYS INC DEL 5% 09/30/2027 144A                                                            | CUSIP: 00790RAA2<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |    4020000 | PA      | $3746941.50    | 0.02%             | 2027-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NBM US HOLDINGS INC                                                              | NBM US HOLDINGS INC 6.625% 08/06/2029 144A                                                               | CUSIP: 62877VAB7<br>LEI: 5493008K1QMSP0J8UC24 | Long             | DBT              | CORP              | US        |    1555000 | PA      | $1490661.88    | 0.01%             | 2029-08-06      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DYNEX CAPITAL INC                                                                | DYNEX CAP INC 6.9%/VAR PFD PERP C                                                                        | CUSIP: 26817Q878<br>LEI: 5CIJ4S9HAEBWILA19B65 | Long             | EP               | CORP              | US        |      11400 | NS      | $247266.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 6/29 #500286                                                                                  | CUSIP: 31383DXP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1920 | PA      | $2002.84       | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 03/01/2041#MA4287                                                                           | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20550 | PA      | $17630.23      | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 12/27 #435445                                                                                 | CUSIP: 36207LWE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        268 | PA      | $273.66        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/28 #527248                                                                                 | CUSIP: 31384LWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $186.98        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/27 #401093                                                                                 | CUSIP: 31378KRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        536 | PA      | $558.41        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/23 #351159                                                                                  | CUSIP: 36203KB45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16 | PA      | $15.68         | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 09/45#AS5764                                                                              | CUSIP: 3138WFMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7540603 | PA      | $7097325.53    | 0.04%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GEMINI HDPE LLC                                                                  | GEMINI HDPE TERM B 1LN 12/31/2027                                                                        | CUSIP: 36866KAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     927785 | PA      | $902967.17     | 0.00%             | 2027-12-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLAR LNG LTD                                                                    | GOLAR LNG LTD 7% 10/20/2025 144A                                                                         | CUSIP: N/A<br>LEI: 213800C2VSFZG3EZLO34       | Long             | DBT              | CORP              | BM        |    1365000 | PA      | $1288474.69    | 0.01%             | 2025-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 06/01/2052#CB3852                                                                           | CUSIP: 3140QPH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15839842 | PA      | $15164731.81   | 0.08%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                      | GSMS 2021-IP B 1ML+125 10/15/2036 144A                                                                   | CUSIP: 36262MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1550000 | PA      | $1433459.84    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029 144A                                                           | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    6037000 | PA      | $5495585.06    | 0.03%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | IL ST TAXM 7.35% 7/01/35                                                                                 | CUSIP: 452152GS4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2753214 | PA      | $2922717.86    | 0.02%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                                         | GS MTG SECS TR 2020-GC45 2.85% 02/13/2053 144A                                                           | CUSIP: 36258YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     525000 | PA      | $351013.64     | 0.00%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 12/31 #622219                                                                                 | CUSIP: 31389DG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1624 | PA      | $1686.02       | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/32 #553437                                                                                  | CUSIP: 36213FZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        358 | PA      | $375.27        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JO ANN STORES LLC                                                                | JO-ANN STORES TERM B 1LN 07/07/2028                                                                      | CUSIP: 47759DAE5<br>LEI: 549300GM65RR2EMGLI48 | Long             | LON              | CORP              | US        |     873938 | PA      | $589907.81     | 0.00%             | 2028-07-07      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                               | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                       | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4942129 | PA      | $4324546.71    | 0.02%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/27 #401788                                                                                 | CUSIP: 31378LJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $85.68         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/31 #570131                                                                                 | CUSIP: 36200RLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1163 | PA      | $1220.57       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 11/35 #843567                                                                                 | CUSIP: 31407XFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1697 | PA      | $1779.21       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                              | SIRIUS XM RADIO INC 4% 07/15/2028 144A                                                                   | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    6905000 | PA      | $6102777.10    | 0.03%             | 2028-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 5/40 #733155                                                                                  | CUSIP: 3620ALQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9891 | PA      | $9975.72       | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | REALTY INCOME CORP 3.25% 01/15/2031                                                                      | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    2129000 | PA      | $1859728.83    | 0.01%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 11/01/2051#RA6239                                                                           | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2066419 | PA      | $1710199.45    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                            | REYNOLDS AMERICAN INC 5.85% 08/15/2045                                                                   | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   12953000 | PA      | $11327253.30   | 0.06%             | 2045-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 4/23 #190215                                                                                  | CUSIP: 31368HGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $23.29         | 0.00%             | 2023-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                             | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  329570000 | PA      | $237998461.37  | 1.24%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2049#FM1534                                                                         | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5651239 | PA      | $5615508.71    | 0.03%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BYJU'S ALPHA INC                                                                 | BYJU'S TERM B 1LN 11/24/2026                                                                             | CUSIP: N/A<br>LEI: 254900EAJ040Y8AVVN71       | Long             | LON              | CORP              | US        |    2079288 | PA      | $1647835.34    | 0.01%             | 2026-11-24      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 11/01/2036#FS2499                                                                         | CUSIP: 3140XHX51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5649747 | PA      | $5230610.23    | 0.03%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US 10YR NOTE FUT (CBT)MAR23 TYH3                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -693 | NC      | $-629209.35    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ORSTED A/S                                                                       | ORSTED A/S 5.125% 09/13/2034 REGS                                                                        | CUSIP: N/A<br>LEI: W9NG6WMZIYEU8VEDOG48       | Long             | DBT              | CORP              | DK        |    1350000 | PA      | $1677559.76    | 0.01%             | 2034-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/31 #544721                                                                                  | CUSIP: 36212VD22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        174 | PA      | $182.37        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                      | GARTNER INC 4.5% 07/01/2028 144A                                                                         | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    1835000 | PA      | $1727505.70    | 0.01%             | 2028-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LTD                                                           | SIRIUS REAL ESTATE LTD 1.125% 06/22/2026 REGS                                                            | CUSIP: N/A<br>LEI: 213800NURUF5W8QSK566       | Long             | DBT              | CORP              | GG        |    1300000 | PA      | $1039630.37    | 0.01%             | 2026-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GHANA REPUBLIC OF                                                                | GHANA REPUBLIC OF 8.627% 06/16/2049 144A                                                                 | CUSIP: 374422AH6<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     605000 | PA      | $198629.06     | 0.00%             | 2049-06-16      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/43#AL7261                                                                           | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299531 | PA      | $281195.24     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP 5.125% 05/15/2032                                                                     | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    4986000 | PA      | $4676917.86    | 0.02%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                                                 | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                                                 | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3244559 | PA      | $2960299.54    | 0.02%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 09/01/2047#BJ0197                                                                           | CUSIP: 3140H1GF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26051 | PA      | $25415.29      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/27 #417739                                                                                 | CUSIP: 31379FBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1231 | PA      | $1275.37       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033                                                              | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   53314000 | PA      | $51411471.25   | 0.27%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                                    | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    4708000 | PA      | $4007709.72    | 0.02%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 5/41 #005055                                                                               | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     358678 | PA      | $356533.27     | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGEAN PLC                                                                     | ENERGEAN PLC 6.5% 04/30/2027 144A                                                                        | CUSIP: 29280EAA7<br>LEI: 549300RVMKU0CYUZBB05 | Long             | DBT              | CORP              | GB        |     770000 | PA      | $708400.00     | 0.00%             | 2027-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 04/01/2045#Q32912                                                                         | CUSIP: 3132QPGW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25873 | PA      | $25191.30      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 12/40 #AE3713                                                                                 | CUSIP: 31419EDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4211 | PA      | $4188.48       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST 2021-SFR8                                             | PROGRESS RESIDENTIAL TRUST 2021-SFR8 4.005% 10/17/2038 144A                                              | CUSIP: 74333TAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1347000 | PA      | $1118299.61    | 0.01%             | 2038-10-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SP PF BUYER LLC                                                                  | PURE FISHING TERM B 1LN 12/21/2025                                                                       | CUSIP: 78471PAB6<br>LEI: 549300U8UI4Y1KEUGM58 | Long             | LON              | CORP              | US        |     965000 | PA      | $655514.85     | 0.00%             | 2025-12-21      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019 IMC B 1ML+130 04/15/2034                                                                   | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6526000 | PA      | $6270551.48    | 0.03%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/29 #511461                                                                                  | CUSIP: 31383SFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $24.43         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 6.375%/VAR PERP                                                                        | CUSIP: 404280AT6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | EP               | CORP              | GB        |    2550000 | PA      | $2428875.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 5.11% 4/38 #1B3803                                                                              | CUSIP: 3128JPDH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8890 | PA      | $8917.18       | 0.00%             | 2038-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                             | WR GRACE TERM B 1LN 09/22/2028                                                                           | CUSIP: 92943HAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1557155 | PA      | $1526012.27    | 0.01%             | 2028-09-22      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2 LLC                                                              | VOYA CLO 2019-2 LLC 3ML+127 07/20/2032 144A                                                              | CUSIP: 92917RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13214000 | PA      | $12939347.01   | 0.07%             | 2032-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                        | SAUDI ARABIAN OIL COMPANY 1.625% 11/24/2025 144A                                                         | CUSIP: 80414L2H7<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    1725000 | PA      | $1574062.50    | 0.01%             | 2025-11-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #779843                                                                                 | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19031 | PA      | $18381.52      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIBERT STREET TRUST                                                              | LBTY 2016-225L E CSTR 02/36 144A                                                                         | CUSIP: 902055AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     523000 | PA      | $434911.37     | 0.00%             | 2036-02-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | FX Forward: USD/EUR settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-794572.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                              | SIRIUS XM RADIO INC 5.5% 07/01/2029 144A                                                                 | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     695000 | PA      | $647114.50     | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOLDINGS CORP                                                        | RENAISSANCE LEARNING TERM 1LN 03/17/2029                                                                 | CUSIP: 75972JAG9<br>LEI: 549300UKKEC0Y6TXNF09 | Long             | LON              | CORP              | US        |     922688 | PA      | $887514.65     | 0.00%             | 2029-03-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 3/42 #Q07242                                                                                  | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55829 | PA      | $54029.68      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2601 TB 5.5 4/23                                                                                     | CUSIP: 31393P4T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        309 | PA      | $309.95        | 0.00%             | 2023-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                             | HEATHROW FUNDING LTD 7.125% 02/14/2024 REGS                                                              | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |    3705000 | PA      | $4472486.26    | 0.02%             | 2024-02-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENEZUELA, REPUBLIC OF                                                           | VENEZUELA REPUBLIC OF 9.25% 09/15/2027                                                                   | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    4549000 | PA      | $398037.50     | 0.00%             | 2027-09-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2011-C3                                                        | WFRBS 2011-C3 D CSTR 3/44                                                                                | CUSIP: 92935VAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     736257 | PA      | $294502.95     | 0.00%             | 2044-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 8/34 #605311                                                                                  | CUSIP: 36200NN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11404 | PA      | $11967.24      | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A96766                                                                                  | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14244 | PA      | $14182.60      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UKG INC                                                                          | ULTIMATE SOFTWARE TERM 1LN 05/04/2026                                                                    | CUSIP: 90385KAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5869944 | PA      | $5710986.27    | 0.03%             | 2026-05-04      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.50% 1/31 #435013                                                                                  | CUSIP: 36207LGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1498 | PA      | $1608.82       | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CHEVRON PHIL CHEM LLC /CHEV LP                                                   | CHEVRON PHIL CHEM LLC /CHEV LP 5.125% 04/01/2025 144A                                                    | CUSIP: 166754AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12132000 | PA      | $12169996.09   | 0.06%             | 2025-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2020-NNN                                       | J P MORGAN CHASE COML MTG SECS TR 2020-NNN GFX CSTR 01/16/2037 144A                                      | CUSIP: 46652BBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252000 | PA      | $202960.90     | 0.00%             | 2037-01-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                          | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                                   | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     764000 | PA      | $678177.82     | 0.00%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/34 #774493                                                                                  | CUSIP: 31404PNJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10865 | PA      | $10751.46      | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                              | BANCO BILBAO VIZ ARGENTARIA SA 5.875/VAR PERP REGS                                                       | CUSIP: N/A<br>LEI: K8MS7FD7N5Z2WQ51AZ71       | Long             | EP               | CORP              | ES        |    1800000 | PA      | $1819228.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/25 #318732                                                                                  | CUSIP: 31374NA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $94.19         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 3.125% 07/27/2026                                                                         | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   39505000 | PA      | $37054889.63   | 0.19%             | 2026-07-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 3.627% 6/1/41#1B8372                                                                            | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17646 | PA      | $17830.12      | 0.00%             | 2041-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                     | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                             | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4739526 | PA      | $3696811.06    | 0.02%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                               | VORNADO REALTY LP 2.15% 06/01/2026                                                                       | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    3551000 | PA      | $3001291.35    | 0.02%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                                          | ARGENTUM NETHERLANDS BV 5.75%/VAR 08/15/2050 REGS                                                        | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |    7415000 | PA      | $6971375.38    | 0.04%             | 2050-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                           | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3974000 | PA      | $4259081.69    | 0.02%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 2.355% 03/15/2032                                                             | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   51205000 | PA      | $41103780.95   | 0.21%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2010-H03 FA 1ML+55 3/60                                                                              | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     723973 | PA      | $718344.88     | 0.00%             | 2060-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITY FINANCE PLC                                                 | THAMES WATER UTILITY FIN PLC 1.875% 01/24/2024 REGS                                                      | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |     890000 | PA      | $1033806.05    | 0.01%             | 2024-01-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2021-1                                                           | BARINGS CLO LTD 2021-1A A 3ML+102 04/25/2034 144A                                                        | CUSIP: 06762EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14004000 | PA      | $13564540.48   | 0.07%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 12/01/2052 #TBA                                                                               | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -10900000 | PA      | $-10403340.41  | -0.05%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR REPUBLIC OF                                                          | EL SALVADOR REPUBLIC OF 6.375% 01/18/2027 144A                                                           | CUSIP: 283875AS1<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |     105000 | PA      | $42938.44      | 0.00%             | 2027-01-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 08/15/2033#615865                                                                         | CUSIP: 36290SFE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21340 | PA      | $21341.92      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PREMIER ENTERTAINMENT SU                                                         | PREMIER ENTERTAINMENT SU 5.625% 09/01/2029 144A                                                          | CUSIP: 74052HAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4350000 | PA      | $3480000.00    | 0.02%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                              | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                                    | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    3971000 | PA      | $3087452.50    | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 4/31 #571639                                                                                  | CUSIP: 31386SBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2806 | PA      | $2999.97       | 0.00%             | 2031-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/27 #397256                                                                                 | CUSIP: 31378FH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        290 | PA      | $302.57        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                                      | MCAFEE TERM B 1LN 03/01/2029                                                                             | CUSIP: 57906HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3467850 | PA      | $3287972.62    | 0.02%             | 2029-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/41 #773473                                                                                  | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14043 | PA      | $13569.10      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/31 #474760                                                                                  | CUSIP: 36209LMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        362 | PA      | $377.49        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 05/01/2041#AL0292                                                                         | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1538 | PA      | $1565.73       | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                   | CSMC 2019-ICE4 1ML+265.535 05/15/2036 144A                                                               | CUSIP: 12653VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378000 | PA      | $362081.06     | 0.00%             | 2036-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2034#796262                                                                         | CUSIP: 31405QTT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12787 | PA      | $12664.59      | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHWEST FIBER LLC                                                              | ZIPLY FIBER TERM B 1LN 04/30/2027                                                                        | CUSIP: 66743UAE6<br>LEI: 254900LE3FBC16P2QY79 | Long             | LON              | CORP              | US        |    2453946 | PA      | $2391370.27    | 0.01%             | 2027-04-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AS6967                                                                           | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44078 | PA      | $41430.71      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                             | EMIRATE OF ABU DHABI 1.7% 03/02/2031 144A                                                                | CUSIP: 29135LAM2<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    1090000 | PA      | $897410.63     | 0.00%             | 2031-03-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 12/01/2042#C04320                                                                           | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1163854 | PA      | $1068344.67    | 0.01%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 12/33 #A16699                                                                                 | CUSIP: 31296RNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12266 | PA      | $12391.32      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                                                           | CUSIP: 3136A7HT2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      81047 | PA      | $2864.73       | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2017-134 BA 2.5% 11/46                                                                               | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1050938 | PA      | $950235.09     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                             | HEATHROW FUNDING LTD 2.625% 03/16/2028 REGS                                                              | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |    2800000 | PA      | $2729997.32    | 0.01%             | 2028-03-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 1/26 #425073                                                                                  | CUSIP: 36206YFN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        256 | PA      | $259.89        | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ADAMS HOMES INC                                                                  | ADAMS HOMES INC 7.5% 02/15/2025 144A                                                                     | CUSIP: 00623PAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     280000 | PA      | $233386.30     | 0.00%             | 2025-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                     | CHS/CMNTY HEALTH SYSTEMS INC 6.875% 04/15/2029 144A                                                      | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    2610000 | PA      | $1396350.00    | 0.01%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN AND HAMILTON INC                                                      | BOOZ ALLEN AND HAMILTON INC 3.875% 09/01/2028 144A                                                       | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    7030000 | PA      | $6335717.20    | 0.03%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 2.159/VAR 09/15/2029 144A                                                                    | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    5025000 | PA      | $4076282.16    | 0.02%             | 2029-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC                                      | SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC 21-25A A 3ML+98 04/19/2034 144A                              | CUSIP: 87167WAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14155000 | PA      | $13692527.84   | 0.07%             | 2034-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #466901                                                                                  | CUSIP: 36209BU22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        198 | PA      | $203.27        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/27 #396088                                                                                  | CUSIP: 31378D6Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.54         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC        | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 6% 06/15/2027 144A             | CUSIP: 03969YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1760000 | PA      | $1718129.60    | 0.01%             | 2027-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A97152                                                                                  | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23063 | PA      | $22967.02      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2042#AO6386                                                                         | CUSIP: 3138LXCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10470 | PA      | $9831.79       | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2046#G60393                                                                         | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7706 | PA      | $7259.40       | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/35 #830810                                                                                  | CUSIP: 31407HAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        637 | PA      | $665.23        | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                | PERU REPUBLIC OF 3% 01/15/2034                                                                           | CUSIP: 715638DU3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     610000 | PA      | $494405.00     | 0.00%             | 2034-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| POINTCLICKCARE TECHNOLOGIES INC                                                  | POINTCLICKCARE TECHNOLOGIES TERM B 1LN 12/29/27                                                          | CUSIP: N/A<br>LEI: 5493001Z0LHHBZLVDX36       | Long             | LON              | CORP              | CA        |     788000 | PA      | $774210.00     | 0.00%             | 2027-12-29      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ACCELERATED HEALTH SYSTEMS LLC                                                   | ATHLETICO PHYSICAL THERAPY TERM B 1LN 02/02/2029                                                         | CUSIP: 04747LAM5<br>LEI: 549300FAKU4HJQC25564 | Long             | LON              | CORP              | US        |    1660838 | PA      | $1402577.27    | 0.01%             | 2029-02-02      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/33 #621780                                                                                 | CUSIP: 36290YXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6212 | PA      | $6212.16       | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| POWER TEAM SERVICES LLC                                                          | POWER TEAM SERVICES LLC 9.033% 12/04/2025 144A                                                           | CUSIP: 73939VAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |     630000 | PA      | $524122.20     | 0.00%             | 2025-12-04      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 6.875% 01/29/2026 144A                                                                | CUSIP: 25714PDJ4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    1378000 | PA      | $1392469.00    | 0.01%             | 2026-01-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPERATING LLC                                                       | CHARTER COMMUNICATIONS TERM B2 1LN 02/01/2027                                                            | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |    8570673 | PA      | $8348778.16    | 0.04%             | 2027-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                    | AIA GROUP LTD 0.88%/VAR 09/09/2033 REGS                                                                  | CUSIP: N/A<br>LEI: ZP5ILWVSYE4LJGMMVD57       | Long             | DBT              | CORP              | HK        |    1160000 | PA      | $935289.79     | 0.00%             | 2033-09-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                               | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 5.125% 04/30/2031 144A                                | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1595000 | PA      | $1415418.95    | 0.01%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                                             | SRS DISTRIBUTION TERM B 1LN 06/04/2028                                                                   | CUSIP: 78466YAN8<br>LEI: 549300ZQ3XP75BCYM468 | Long             | LON              | CORP              | US        |    3829093 | PA      | $3671143.18    | 0.02%             | 2028-06-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC                                                                     | ACRISURE TERM B 1LN 02/15/2027                                                                           | CUSIP: 00488PAP0<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |    2614429 | PA      | $2506583.88    | 0.01%             | 2027-02-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 9/41 #AI9692                                                                                  | CUSIP: 3138APXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12652 | PA      | $12217.88      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNCL 2011-39 ZA 6% 11/32                                                                                 | CUSIP: 31397SVY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     114892 | PA      | $118141.64     | 0.00%             | 2032-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 09/01/2051#SD8168                                                                           | CUSIP: 3132DWCD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     882122 | PA      | $783923.62     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2022-LBA6                                                                  | BX TR 2022-LBA6 TSFR1M+420 01/15/2039 144A                                                               | CUSIP: 12433EAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378000 | PA      | $344254.28     | 0.00%             | 2039-01-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2051#FM9539                                                                           | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6652133 | PA      | $5505405.55    | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 3.5% 02/12/2034                                                             | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1095000 | PA      | $912682.50     | 0.00%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 12/40 #AB1898                                                                                 | CUSIP: 31416XDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27405 | PA      | $27231.32      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 3/24 #050994                                                                                  | CUSIP: 313615UT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $129.90        | 0.00%             | 2024-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #450596                                                                                  | CUSIP: 36208GRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        296 | PA      | $302.57        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 8/35 #830991                                                                                  | CUSIP: 31407HF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1070 | PA      | $1126.78       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | ONEMAIN FINANCE CORP 7.125% 03/15/2026                                                                   | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    3560000 | PA      | $3448910.20    | 0.02%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIBERT STREET TRUST                                                              | LBTY 2016-225L CSTR 02/10/36                                                                             | CUSIP: 902055AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213000 | PA      | $183956.85     | 0.00%             | 2036-02-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2043#Q21255                                                                         | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53131 | PA      | $51781.82      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2046#Q39936                                                                           | CUSIP: 3132QXBE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42757 | PA      | $41537.04      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DYNASTY ACQUISITION CO INC                                                       | STANDARDAERO TERM B-2 1LN 04/04/2026                                                                     | CUSIP: 26812CAF3<br>LEI: 549300L1RCRPOAUCB870 | Long             | LON              | CORP              | US        |     550029 | PA      | $527912.21     | 0.00%             | 2026-04-04      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                             | LIFE 2021-BMR MTG TR 21-BMR E 1ML+185.6 03/15/2036 144A                                                  | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2494778 | PA      | $2338353.90    | 0.01%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN18                                                                   | BANK 2019-BNK18 D 3% 05/15/2062 144A                                                                     | CUSIP: 065402AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     648000 | PA      | $450688.92     | 0.00%             | 2062-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 07/20/2044#MA2074                                                                           | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     323189 | PA      | $316449.09     | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                             | ROMANIA REPUBLIC OF 4% 02/14/2051 144A                                                                   | CUSIP: 77586RAJ9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     335000 | PA      | $222523.75     | 0.00%             | 2051-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/40 #782918                                                                                  | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150219 | PA      | $151521.24     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                        | SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A                                                         | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9441112 | PA      | $7110369.66    | 0.04%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRANITE ACQUISITION INC                                                          | WIN WASTE TERM B 1LN 03/25/2028                                                                          | CUSIP: 38723BAJ0<br>LEI: 549300DJBUN7Z75R2S83 | Long             | LON              | CORP              | US        |     740625 | PA      | $723731.34     | 0.00%             | 2028-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMR HMS 15-SFR2                                                                  | AMERICAN HOMES 4 RENT 2015-SFR2 TR VAR 10/17/2045 144A                                                   | CUSIP: 02666BAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     409162 | PA      | $4.09          | 0.00%             | 2052-10-17      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FOUR SEASONS HOTELS LTD                                                          | FOUR SEASONS HOTELS TERM B 1LN 11/30/2029                                                                | CUSIP: 35100DAS5<br>LEI: 5493009FUVX8LHYY2202 | Long             | LON              | CORP              | CA        |     445000 | PA      | $444167.85     | 0.00%             | 2029-11-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 3.5% 08/01/2037#MA3128                                                                         | CUSIP: 31418CPN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110736 | PA      | $106198.87     | 0.00%             | 2037-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC 2019                                                                       | JPMCC 2019-MFP F 1ML+1 7/12/2036                                                                         | CUSIP: 46651MAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189000 | PA      | $173463.54     | 0.00%             | 2036-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/42 #AK1411                                                                                  | CUSIP: 3138E5R91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14934 | PA      | $14451.65      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC                                                                     | ACRISURE TERM B 1LN 02/13/2027                                                                           | CUSIP: 00488PAL9<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |    5418469 | PA      | $5063342.65    | 0.03%             | 2027-02-13      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | ALTRIA GROUP INC 4.8% 02/14/2029                                                                         | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1994000 | PA      | $1913977.15    | 0.01%             | 2029-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KNDL 2019-KNSQ MORTGAGE TRUST                                                    | KNDL 2019-KNSQ MORTGAGE TRUST 2019-KNSQ F 1ML+200 05/15/2036                                             | CUSIP: 482598AQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     924000 | PA      | $886992.78     | 0.00%             | 2036-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #443711                                                                                  | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        386 | PA      | $396.67        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2014-C21                                                       | WFRBS COML MTG TR 2014-C21 XA CSTR 08/15/47                                                              | CUSIP: 92939FBA6<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   25270359 | PA      | $341109.41     | 0.00%             | 2047-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/28 #464920                                                                                  | CUSIP: 36208YPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        561 | PA      | $578.15        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                   | OMAN SULTANATE 5.625% 01/17/2028 144A                                                                    | CUSIP: 682051AH0<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    2470000 | PA      | $2417512.50    | 0.01%             | 2028-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                    | CARNIVAL CORP 6% 05/01/2029 144A                                                                         | CUSIP: 143658BR2<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    3870000 | PA      | $2740366.35    | 0.01%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 1.5% 01/01/2036#MA4228                                                                         | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3588056 | PA      | $3155574.45    | 0.02%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.5% 01/15/2030 144A                                  | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5555000 | PA      | $5328133.80    | 0.03%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-IG2 MTG TR                                                        | BENCHMARK 2020-IG2 MTG TR VAR 09/15/2048 144A                                                            | CUSIP: 08162NAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315000 | PA      | $188398.16     | 0.00%             | 2048-09-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                       | FIRST QUANTUM MINERALS LTD 6.875% 03/01/2026 144A                                                        | CUSIP: 335934AR6<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     900000 | PA      | $868077.00     | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/39 #724223                                                                                  | CUSIP: 3620AASL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     215211 | PA      | $212980.49     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#741529                                                                         | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5835 | PA      | $5769.62       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2047#890792                                                                         | CUSIP: 31410LUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11583 | PA      | $11490.64      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #396837                                                                                 | CUSIP: 36205PZA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        241 | PA      | $245.56        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2022-C16                                                            | BBCMS MTG TR 2022-C16 4.6% 06/15/2055                                                                    | CUSIP: 05552YAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441000 | PA      | $373555.49     | 0.00%             | 2055-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GEORGIA REPUBLIC OF                                                              | GEORGIA REPUBLIC OF 2.75% 04/22/2026 144A                                                                | CUSIP: 37311PAB6<br>LEI: 254900MHQHBC58M2GR84 | Long             | DBT              | NUSS              | GE        |     890000 | PA      | $792545.00     | 0.00%             | 2026-04-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EG FINCO LTD                                                                     | EG GROUP TERM B 02/06/2025                                                                               | CUSIP: N/A<br>LEI: 2138003OUK4UQHRJLT65       | Long             | LON              | CORP              | GB        |    2134963 | PA      | $1945826.94    | 0.01%             | 2025-02-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                                                             | ARAMARK TERM B-4 1LN 01/15/2027                                                                          | CUSIP: 03852JAR2<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |    1314825 | PA      | $1285517.55    | 0.01%             | 2027-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERTICAL US NEWCO INC                                                            | VERTICAL US NEWCO INC 5.25% 07/15/2027 144A                                                              | CUSIP: 92537RAA7<br>LEI: 549300C2AFWPAYWS5574 | Long             | DBT              | CORP              | US        |    7310000 | PA      | $6633971.20    | 0.03%             | 2027-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 10/39 #723224                                                                                 | CUSIP: 3620A9PH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24100 | PA      | $24294.24      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANTOFAGASTA PLC                                                                  | ANTOFAGASTA PLC 2.375% 10/14/2030 144A                                                                   | CUSIP: 03718NAA4<br>LEI: 213800MY6QVH4FVLD628 | Long             | DBT              | CORP              | GB        |    1255000 | PA      | $963212.50     | 0.01%             | 2030-10-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-32A A1                                                                 | SYMP 2022-32A A1 TSFR3M+132 04/23/2035 144A                                                              | CUSIP: 87168NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18277000 | PA      | $17772262.37   | 0.09%             | 2035-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 12/40 #C03633                                                                                 | CUSIP: 31292LBA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7530 | PA      | $7290.44       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPA HOLDINGS 3 OY                                                                | SPA HOLDINGS 3 OY 4.875% 02/04/2028 144A                                                                 | CUSIP: 84612JAA0<br>LEI: 743700UEY0YM039XN974 | Long             | DBT              | CORP              | FI        |    3275000 | PA      | $2668371.16    | 0.01%             | 2028-02-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                   | BRANDYWINE OPER PARTNERSHIP LP 4.1% 10/01/2024                                                           | CUSIP: 105340AN3<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    7423000 | PA      | $7143672.51    | 0.04%             | 2024-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 12/24 #313987                                                                                 | CUSIP: 31374GXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        228 | PA      | $229.36        | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 4/23 #355472                                                                                  | CUSIP: 36203P2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4 | PA      | $3.51          | 0.00%             | 2023-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 12/15/2041#792596                                                                           | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3158 | PA      | $3049.34       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEL Energy VI Sarl                                                               | FEL Energy VI Sarl 5.75% 12/01/2040 144A                                                                 | CUSIP: 30260LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     390884 | PA      | $318570.20     | 0.00%             | 2040-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#736071                                                                         | CUSIP: 31402RW88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17317 | PA      | $17111.91      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1                                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 C 3.071% 08/15/2049                                      | CUSIP: 95000GBE3<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     254000 | PA      | $197624.42     | 0.00%             | 2049-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QATAR PETROLEUM                                                                  | QATAR PETROLEUM 3.125% 07/12/2041 144A                                                                   | CUSIP: 74730DAE3<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    1850000 | PA      | $1399409.38    | 0.01%             | 2041-07-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 02/01/2052#QD6141                                                                         | CUSIP: 3133B3ZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     936599 | PA      | $801027.37     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 02/15/2041#750185                                                                         | CUSIP: 3620C6NA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13130 | PA      | $12679.82      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2014-C18                                 | MSBAM 2014-C18 300E 4.69% 08/15/31                                                                       | CUSIP: 61763XBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     386000 | PA      | $327380.88     | 0.00%             | 2031-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 01/01/2048#CA1567                                                                         | CUSIP: 3140Q8W50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598061 | PA      | $592363.60     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFCM 2022                                                                        | WFCM 2022-C62 4.35% 04/15/2055 144A                                                                      | CUSIP: 95003MBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1077000 | PA      | $793366.88     | 0.00%             | 2055-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS 2022                                                                       | BBCMS 2022-C15 C CSTR 04/15/2055                                                                         | CUSIP: 05552FBG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129000 | PA      | $96108.06      | 0.00%             | 2055-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2022                                                                   | BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A                                                            | CUSIP: 05592DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10615000 | PA      | $9943248.83    | 0.05%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2041#AH0064                                                                         | CUSIP: 3138A1CA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4436 | PA      | $4412.30       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C13                                                       | WFRBS COML MTG TR 2013-C13 D CSTR 05/15/2045 144A                                                        | CUSIP: 92937UAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     321000 | PA      | $308787.43     | 0.00%             | 2045-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 11/42 #AQ0206                                                                                 | CUSIP: 3138MFGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42383 | PA      | $39743.75      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                      | MOODYS CORP 3.75% 03/24/2025                                                                             | CUSIP: 615369AS4<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   10682000 | PA      | $10408942.02   | 0.05%             | 2025-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 01/01/2032#                                                                                 | CUSIP: 31287NDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3637 | PA      | $3755.86       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 4/42 #Q07351                                                                                  | CUSIP: 3132GSQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15919 | PA      | $15422.05      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 12/40 #A95796                                                                                 | CUSIP: 312944NM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8024 | PA      | $7768.71       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#755144                                                                         | CUSIP: 31403Q5D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13116 | PA      | $12964.37      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN GAS CORRIDOR CJSC                                                       | SOUTHERN GAS CORRIDOR CJSC 6.875% 03/24/2026 144A                                                        | CUSIP: 84302LAA0<br>LEI: 213800DG58KG59XY6318 | Long             | DBT              | CORP              | AZ        |    2024000 | PA      | $2068781.00    | 0.01%             | 2026-03-24      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MODIVCARE ESCROW ISSUER INC                                                      | MODIVCARE ESCROW ISSUER INC 5% 10/01/2029 144A                                                           | CUSIP: 60783XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     550000 | PA      | $462495.00     | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                              | ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030                                                           | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    8767000 | PA      | $8529781.37    | 0.04%             | 2030-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                           | GSCM ITXEX538 PAY 525 01/18/23                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |   19550000 | NC      | $143587.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                | CBRE SERVICES INC 2.5% 04/01/2031                                                                        | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   10439000 | PA      | $8200880.28    | 0.04%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                             | TANGER PROPERTIES LP 2.75% 09/01/2031                                                                    | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    8621000 | PA      | $6165842.22    | 0.03%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                                | DISH NETWORK CORP CONV 2.375% 03/15/2024                                                                 | CUSIP: 25470MAD1<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    6326000 | PA      | $5645788.69    | 0.03%             | 2024-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q02345                                                                         | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1041 | PA      | $1053.17       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                | DELL INTL/EMC CORP 5.45% 06/15/2023                                                                      | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2401405.20    | 0.01%             | 2023-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 7.00% 3/26 #D96943                                                                             | CUSIP: 3128E3WC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2463 | PA      | $2501.04       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 4/23 #321957                                                                                  | CUSIP: 36223YTN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $6.98          | 0.00%             | 2023-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TINKOFF CREDIT SYSTEMS VIA TCS FINANCE LTD                                       | TINKOFF CREDIT SYSTEMS VIA TCS FINANCE LTD 6/VAR PERP 144A                                               | CUSIP: 87251LAA4<br>LEI: 213800VIPIONINOCLD68 | Long             | EP               | CORP              | IE        |     390000 | PA      | $161118.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.05% 7/34 #801635                                                                              | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2270 | PA      | $2278.99       | 0.00%             | 2034-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKLAND PARK CLO LTD                                                            | ROCKLAND PARK CLO LTD 3ML+112 04/20/2034 144A                                                            | CUSIP: 773663AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15987000 | PA      | $15562513.18   | 0.08%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#734416                                                                         | CUSIP: 31402N3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24317 | PA      | $24038.56      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/01/2052 #TBA                                                                             | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -46700000 | PA      | $-43324276.49  | -0.23%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2006-104 GI -1ML+688 11/36                                                                           | CUSIP: 31396LMA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      69868 | PA      | $7059.37       | 0.00%             | 2036-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                                | MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A                                                  | CUSIP: 61771LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16898000 | PA      | $15684617.14   | 0.08%             | 2036-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 1/41 #A96413                                                                                  | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1669696 | PA      | $1616491.59    | 0.01%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 06/15/2033#781623                                                                         | CUSIP: 36225BYU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1535 | PA      | $1535.68       | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AE4072                                                                                  | CUSIP: 31419EQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3597 | PA      | $3484.52       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2020-C6                                                             | BBCMS MTG TR 2020-C6 E 2.4% 02/15/2053                                                                   | CUSIP: 05492TAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     348000 | PA      | $208275.91     | 0.00%             | 2053-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PREMIER ENTERTAINMENT SU                                                         | PREMIER ENTERTAINMENT SU 5.875% 09/01/2031 144A                                                          | CUSIP: 74052HAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     916000 | PA      | $697882.08     | 0.00%             | 2031-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 2.125% 12/20/2023 REGS                                                            | CUSIP: N/A<br>LEI: PBLD0EJDB5FWOLXP3B76       | Long             | DBT              | CORP              | US        |     880000 | PA      | $1027634.72    | 0.01%             | 2023-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 03/01/2041#MA4286                                                                         | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1216643 | PA      | $997358.40     | 0.01%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OPG TR 2021-PORT                                                                 | OPG TR 2021-PORT 1ML+343.6 10/15/2036 144A                                                               | CUSIP: 67118AAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     377641 | PA      | $338488.18     | 0.00%             | 2036-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #439623                                                                                  | CUSIP: 36207RLC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $7.40          | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #460837                                                                                  | CUSIP: 36208T4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $65.41         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 09/01/2043#AS0407                                                                         | CUSIP: 3138W9NZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9263 | PA      | $8486.10       | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC 4.976%/VAR 08/11/2033                                                           | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     540000 | PA      | $496983.29     | 0.00%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | FX Forward: USD/AUD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-29.81        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/01/2043#Q22682                                                                         | CUSIP: 3132JP6T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14602 | PA      | $14221.86      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 4.25% 04/15/2026 144A                                                        | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    3220000 | PA      | $2921541.32    | 0.02%             | 2026-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #446073                                                                                  | CUSIP: 36207YQ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $56.21         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                                               | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     546431 | PA      | $552570.49     | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/40#AE3576                                                                                | CUSIP: 31419D6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99852 | PA      | $96543.59      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2018-IND                                                                   | BX TR 2018-EXCL 1ML+262.5 7/19 144A                                                                      | CUSIP: 12433WAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2781800 | PA      | $2401272.57    | 0.01%             | 2037-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 5.75% 06/24/2044                                                                        | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    6964000 | PA      | $6781488.46    | 0.04%             | 2044-06-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EWT HOLDINGS III CORP                                                            | EVOQUA TERM B 1LN 04/01/2028                                                                             | CUSIP: N/A<br>LEI: 5493007CXSSB57GCEB24       | Long             | LON              | CORP              | US        |     597438 | PA      | $589222.73     | 0.00%             | 2028-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LVIII CLO LLC                                                               | ARES LVIII CLO LLC SOFR90A+133 01/15/2035 144A                                                           | CUSIP: 04018AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16982000 | PA      | $16281458.54   | 0.09%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                                | CLARIOS TERM B 1LN 04/30/2026                                                                            | CUSIP: N/A<br>LEI: 549300474L1ZLXZY2P98       | Long             | LON              | CORP              | CA        |    1868801 | PA      | $1836489.82    | 0.01%             | 2026-04-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 1/40 #711483                                                                                  | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21741 | PA      | $21014.22      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEBER-STEPHEN PRODUCTS LLC                                                       | WEBER-STEPHEN PRODUCTS TERM B 1LN 10/30/2027                                                             | CUSIP: 94767KAN1<br>LEI: 549300XU8TJBBGLK8V26 | Long             | LON              | CORP              | US        |    1145116 | PA      | $957317.31     | 0.01%             | 2027-10-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2020                                                        | PROGRESS RESIDENTIAL 2020 6.234% 10/17/2027 144A                                                         | CUSIP: 74333AAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     273000 | PA      | $252253.61     | 0.00%             | 2027-10-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ECUADOR REPUBLIC OF                                                              | ECUADOR REPUBLIC OF STEP 07/31/2035 144A                                                                 | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |    1350000 | PA      | $587925.00     | 0.00%             | 2035-07-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE LTD                                                      | ENERGEAN ISRAEL FINANCE LTD 4.875% 03/30/2026 144A REGS                                                  | CUSIP: N/A<br>LEI: 98450044QACBL3F8EB03       | Long             | DBT              | CORP              | IL        |    1095000 | PA      | $1015612.50    | 0.01%             | 2026-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARCIS GOLF LLC                                                                   | ARCIS GOLF TERM B 1LN 11/24/2028                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     975100 | PA      | $955598.00     | 0.00%             | 2028-11-24      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 11/27 #256993                                                                            | CUSIP: 31371NNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10700 | PA      | $10892.55      | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NBK TIER 1 LTD                                                                   | NBK TIER 1 FINANCING LTD 3.625/VAR PERP 144A                                                             | CUSIP: 62879NAA5<br>LEI: 5493000G4QCCEE8YHF19 | Long             | EP               | CORP              | AE        |     340000 | PA      | $291720.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 1/36 #850564                                                                                  | CUSIP: 31408F5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1647 | PA      | $1625.58       | 0.00%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | NATWEST GRP PLC(UNGTD) 5.125% 05/28/2024                                                                 | CUSIP: 780099CH8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   25230000 | PA      | $24926463.93   | 0.13%             | 2024-05-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PROTEUS LTD                                                           | TRANSOCEAN PROTEUS LTD 6.25% 12/01/2024 144A                                                             | CUSIP: 893829AA9<br>LEI: 5493000CTMQ2LH21VM89 | Long             | DBT              | CORP              | KY        |     189000 | PA      | $185220.00     | 0.00%             | 2024-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM TERM G 1LN 08/22/2024                                                                          | CUSIP: 89364MBS2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    1377001 | PA      | $1370240.12    | 0.01%             | 2024-08-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/41 #AH1629                                                                                  | CUSIP: 3138A2Y37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20157 | PA      | $19470.55      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030                                                                | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   15631000 | PA      | $13278727.23   | 0.07%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | ALTRIA GROUP INC 5.375% 01/31/2044                                                                       | CUSIP: 02209SAR4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   13161000 | PA      | $11466424.65   | 0.06%             | 2044-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GSA1                                                         | GS MTG SECS TR 2019-GSA1 2.8% 11/10/2052 144A                                                            | CUSIP: 36261PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395000 | PA      | $249364.92     | 0.00%             | 2052-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AXTEL SAB DE CV                                                                  | AXTEL SAB DE CV 6.375% 11/14/2024 144A                                                                   | CUSIP: 05462GAJ3<br>LEI: 549300BVRDR8XTSXAD13 | Long             | DBT              | CORP              | MX        |     149000 | PA      | $115847.50     | 0.00%             | 2024-11-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 5/41 #AI1863                                                                                  | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3262 | PA      | $3321.67       | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC 4.25% 12/01/2026                                                                            | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2805000 | PA      | $2719649.40    | 0.01%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                     | WP CAREY INC 4% 02/01/2025                                                                               | CUSIP: 92936UAC3<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   12346000 | PA      | $12008822.72   | 0.06%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TR 2017-WWP                                                      | WORLDWIDE PLAZA TR 2017-WWP F CSTR 11/10/2036 144A                                                       | CUSIP: 98162JAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1082000 | PA      | $609986.91     | 0.00%             | 2036-11-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 12/15/2042#AA5897                                                                         | CUSIP: 36178DRS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256710 | PA      | $234430.19     | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                     | UNIVISION TERM B 1LN 03/24/2026                                                                          | CUSIP: 914908BC1<br>LEI: 549300YQDE2JSGTL8V47 | Long             | LON              | CORP              | US        |    2320616 | PA      | $2277104.23    | 0.01%             | 2026-03-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/1/42 #AQ7097                                                                           | CUSIP: 3138MN3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57455 | PA      | $54221.51      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031                                                           | CUSIP: 3137AQ6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     155470 | PA      | $4847.08       | 0.00%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 8/35 #825795                                                                                  | CUSIP: 31407BNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        912 | PA      | $916.45        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/26 #572166                                                                                 | CUSIP: 31386STX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $186.04        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 4.25% 06/01/2029 144A                                                              | CUSIP: 88033GDL1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    2965000 | PA      | $2572671.20    | 0.01%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 07/01/2029#                                                                                 | CUSIP: 31293TDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $183.07        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2012-GCJ9                                                         | GS MTG SECS TR 2012-GCJ9 VAR 11/10/2045 144A                                                             | CUSIP: 36192PAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1059000 | PA      | $1047774.60    | 0.01%             | 2045-11-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRAVELPORT FIN (LUX) SARL                                                        | TRAVELPORT TERM 1LN 02/28/2025                                                                           | CUSIP: N/A<br>LEI: 2221005SGFWYZHL40F77       | Long             | LON              | CORP              | LU        |    2030358 | PA      | $2016978.39    | 0.01%             | 2025-02-28      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| ECUADOR REPUBLIC OF                                                              | ECUADOR REPUBLIC OF STEP 07/31/2030 144A                                                                 | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |    2115000 | PA      | $1280632.50    | 0.01%             | 2030-07-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                          | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     560000 | NC      | $7661.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #447756                                                                                  | CUSIP: 36208DMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $397.11        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                         | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275770 | PA      | $260487.37     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 07/15/2043#AA7235                                                                         | CUSIP: 36178FBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49542 | PA      | $45903.44      | 0.00%             | 2043-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RED VENTURES LLC                                                                 | RED VENTURES TERM B 1LN 11/08/2024                                                                       | CUSIP: 75703UAH8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1878080 | PA      | $1856951.42    | 0.01%             | 2024-11-08      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 4/40 #723740                                                                                  | CUSIP: 3620AABH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25033 | PA      | $24795.31      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 10/15/2041#775540                                                                           | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30324 | PA      | $29275.67      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                    | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC 3ML+113 10/25/2034 144A                                    | CUSIP: 15033TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7745000 | PA      | $7469789.17    | 0.04%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                    | DISCOVER BANK 4.682%/VAR 08/09/2028                                                                      | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    5039000 | PA      | $4853325.04    | 0.03%             | 2028-08-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/25 #414500                                                                                  | CUSIP: 36206LNR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         21 | PA      | $21.05         | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6% 11/35 #AD0687                                                                                    | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99103 | PA      | $102901.35     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MONG DUONG FINANCE HOLDINGS B.V                                                  | MONG DUONG FINANCE HOLDINGS B.V 5.125% 05/07/2029 144A                                                   | CUSIP: 60935DAA3<br>LEI: 549300995KGQFMWSV879 | Long             | DBT              | CORP              | NL        |    1300000 | PA      | $1105000.00    | 0.01%             | 2029-05-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/01/2051#CB0531                                                                           | CUSIP: 3140QKSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534576 | PA      | $476219.40     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CUSHMAN and WAKEFIELD US BORROWER LLC                                            | CUSHMAN and WAKEFIELD TERM B 1LN 08/21/2025                                                              | CUSIP: 23340DAP7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4379539 | PA      | $4266940.79    | 0.02%             | 2025-08-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #418148                                                                                 | CUSIP: 36206QP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1300 | PA      | $1322.55       | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/39 #704775                                                                                 | CUSIP: 36296X6L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13607 | PA      | $13708.65      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2011-H13 FA 1ML+50 4/61                                                                              | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     263917 | PA      | $261380.75     | 0.00%             | 2061-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/32 #471314                                                                                  | CUSIP: 36209GSB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        719 | PA      | $754.92        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXI LTD                                                             | SYMPHONY CLO XXI LTD 21A AR 3ML+106 07/15/2032 144A                                                      | CUSIP: 87166RDE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1661000 | PA      | $1622350.19    | 0.01%             | 2032-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #449039                                                                                  | CUSIP: 36208EZC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         96 | PA      | $98.75         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GCJ16                                                        | GSMS 2013-GC16 F 3.5% 11/10/2046                                                                         | CUSIP: 36248GAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     536000 | PA      | $481673.29     | 0.00%             | 2046-11-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 08/15/2043#AD5682                                                                           | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8486 | PA      | $8236.95       | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                                         | BENCHMARK 2018-B7 MTG TR VAR 05/15/2053 144A                                                             | CUSIP: 08162TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     351000 | PA      | $234246.38     | 0.00%             | 2053-05-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 1/26 #411561                                                                                  | CUSIP: 36206HFA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        185 | PA      | $188.49        | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/41 #489861                                                                                  | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5454 | PA      | $5264.72       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/32 #582134                                                                                  | CUSIP: 36201FV38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        186 | PA      | $195.48        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                      | GARTNER INC 3.75% 10/01/2030 144A                                                                        | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1025025.00    | 0.01%             | 2030-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/32 #569840                                                                                  | CUSIP: 36200RBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        332 | PA      | $347.33        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SG COML MTG SECS TR 2020-COVE                                                    | SG COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C5 VAR 03/15/2037 144A                                      | CUSIP: 78397FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     483000 | PA      | $396639.70     | 0.00%             | 2037-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                     | DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050                                                            | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   20572000 | PA      | $14851596.42   | 0.08%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 7/27 #394197                                                                                  | CUSIP: 31378B3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        233 | PA      | $240.30        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #313711                                                                                  | CUSIP: 31374GN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $97.58         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 02/01/2052#CB2842                                                                           | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12867459 | PA      | $10613113.32   | 0.06%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                             | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   30867000 | PA      | $29174513.31   | 0.15%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AR0988                                                                         | CUSIP: 3138NXC21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16338 | PA      | $14983.00      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045                                                   | CUSIP: 38380T6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1905708 | PA      | $1759776.62    | 0.01%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMPIRE TODAY                                                                     | EMPIRE TODAY TERM B 1LN 04/01/2028                                                                       | CUSIP: 29210RAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1987375 | PA      | $1491783.06    | 0.01%             | 2028-04-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | IL ST 4.95% 06/01/23                                                                                     | CUSIP: 452151LE1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2398636 | PA      | $2397897.35    | 0.01%             | 2023-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 08/01/2027#                                                                               | CUSIP: 3128FQ4A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $278.92        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MERIT 2021                                                                       | MERIT 2021-STOR G 1ML+275 07/15/2038 144A                                                                | CUSIP: 55293BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189000 | PA      | $172892.08     | 0.00%             | 2038-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 04/15/2043#AD0789                                                                         | CUSIP: 36180B2W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10141 | PA      | $9396.53       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 6.125% 10/01/2028 144A                                                             | CUSIP: 88033GDJ6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   12455000 | PA      | $10991537.50   | 0.06%             | 2028-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 3.224% 4/41#1B8179                                                                              | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1698 | PA      | $1709.98       | 0.00%             | 2041-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GEORGIAN RAILWAY JSC                                                             | GEORGIAN RAILWAY JSC 4% 06/17/2028 144A                                                                  | CUSIP: 37363BAB4<br>LEI: 2138005UZV4ZT2B2ZO19 | Long             | DBT              | CORP              | GE        |     325000 | PA      | $268896.88     | 0.00%             | 2028-06-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-IND                                                                | SREIT TR 2021-IND G 1ML+343.21 10/15/2038 144A                                                           | CUSIP: 78473JAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     840000 | PA      | $742767.23     | 0.00%             | 2038-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 01/01/2044#V80950                                                                         | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55175 | PA      | $53739.16      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/27 #443834                                                                                 | CUSIP: 36207WBB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        402 | PA      | $412.78        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 09/15/2035#636591                                                                         | CUSIP: 36291SF88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1513 | PA      | $1521.15       | 0.00%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                  | MADISON PK FDG XLV LLC 2020-45A AR 3ML+112 07/15/2034 144A                                               | CUSIP: 55820BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8675000 | PA      | $8450230.75    | 0.04%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/41 #AH6233                                                                                  | CUSIP: 3138A74T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35982 | PA      | $34792.30      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERCOM MEDIA CORP                                                              | ENTERCOM / CBS RADIO TERM B-2 11/17/2024                                                                 | CUSIP: 12506KAE9<br>LEI: 549300S5JUSXRHNCHD80 | Long             | LON              | CORP              | US        |     855669 | PA      | $630876.15     | 0.00%             | 2024-11-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 7.45% 04/30/2044 144A                                                                 | CUSIP: 25714PCF3<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     401000 | PA      | $373381.13     | 0.00%             | 2044-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                            | UBER TERM B 1LN 04/04/2025                                                                               | CUSIP: 90351JAG9<br>LEI: 549300B2FTG34FILDR98 | Long             | LON              | CORP              | US        |    4228205 | PA      | $4217634.62    | 0.02%             | 2025-04-04      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ILIAD SA                                                                         | ILIAD SA 1.875% 02/11/2028 REGS                                                                          | CUSIP: N/A<br>LEI: 969500FZ9BTRZS3JNB97       | Long             | DBT              | CORP              | FR        |     900000 | PA      | $784352.25     | 0.00%             | 2028-02-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK CORPORATE MARKETS PLC                                                | LLOYDS BANK CORPORATE MARKETS PLC 1.75% 07/11/2024 REGS                                                  | CUSIP: N/A<br>LEI: 213800MBWEIJDM5CU638       | Long             | DBT              | CORP              | GB        |     910000 | PA      | $1041697.34    | 0.01%             | 2024-07-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/01/2040#AE6222                                                                         | CUSIP: 31419G4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6447 | PA      | $6230.92       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q01871                                                                         | CUSIP: 3132GFCG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2797 | PA      | $2854.00       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 09/01/2026#                                                                               | CUSIP: 3128FGB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $54.02         | 0.00%             | 2026-09-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 08/01/2045#AZ7222                                                                         | CUSIP: 3140E0AY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166294 | PA      | $161350.46     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PHOENIX 2 LTD                                                         | TRANSOCEAN PHOENIX 2 LTD 7.75% 10/15/2024 144A                                                           | CUSIP: 893828AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     152000 | PA      | $149937.27     | 0.00%             | 2024-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 02/01/2041#AH3143                                                                         | CUSIP: 3138A4P58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21252 | PA      | $20582.64      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/40 #733726                                                                                  | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     474935 | PA      | $479194.86     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 14-CCRE18 MTG TR                                                            | COMM 14-CCRE18 MTG TR 3.828% 07/15/2047                                                                  | CUSIP: 12632QAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2605000 | PA      | $2518020.09    | 0.01%             | 2047-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2011-67 AI IO 4% 7/26                                                                                | CUSIP: 31397U4B2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      14890 | PA      | $431.00        | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMENTUM GOVERNMENT SERVICES HOLDINGS LLC                                         | AMENTUM TERM B 1LN 02/16/2029                                                                            | CUSIP: 57776DAE3<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |    2827912 | PA      | $2780205.62    | 0.01%             | 2029-02-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | CIGNA CORP 2.375% 03/15/2031                                                                             | CUSIP: 125523CM0<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $16575182.00   | 0.09%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BUILDING SOC(UNGTD) 6.178%/VAR 12/07/2027 REGS                                                | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |    1300000 | PA      | $1571478.47    | 0.01%             | 2027-12-07      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ASCEND LEARNING LLC                                                              | ASCEND LEARNING TERM B 1LN 12/10/2028                                                                    | CUSIP: 04349HAK0<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |    7564159 | PA      | $7146012.51    | 0.04%             | 2028-12-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2% 06/01/2036#FS2033                                                                           | CUSIP: 3140XHHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1132185 | PA      | $1023753.31    | 0.01%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FIRST STUDENT BIDCO INC                                                          | FIRST STUDENT and FIRST TRANSIT TERM C 1LN 07/21/2028                                                    | CUSIP: 33718FAF7<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |      81169 | PA      | $77922.08      | 0.00%             | 2028-07-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C11                                                       | WFRBS 2013-C11 E VAR 3/45                                                                                | CUSIP: 92937EAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     976128 | PA      | $811479.02     | 0.00%             | 2045-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 04/01/2037#ZA2455                                                                         | CUSIP: 31329KWQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18477 | PA      | $17720.11      | 0.00%             | 2037-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 10/34 #781813                                                                                 | CUSIP: 36241KAN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2261 | PA      | $2262.72       | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                              | MAGNETITE XXIII LTD 3ML+113 01/25/2035 144A                                                              | CUSIP: 55954NAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10754000 | PA      | $10405011.19   | 0.05%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | FX Forward: EUR/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $30117.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 4.875% 05/19/2033                                                           | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     560000 | PA      | $528360.00     | 0.00%             | 2033-05-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 3.25% 04/22/2032                                                                    | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     400000 | PA      | $286000.00     | 0.00%             | 2032-04-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 01/15/2043#AD2150                                                                         | CUSIP: 36180DL70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131286 | PA      | $124460.34     | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SRI LANKA GOVT DEMOCRATIC SOCIALIST REP                                          | SRI LANKA GOVT DEMOC SOCIA REP 6.2% 05/11/2027 144A                                                      | CUSIP: 85227SAT3<br>LEI: 254900HXCCIOHM74FA02 | Long             | DBT              | NUSS              | LK        |     345000 | PA      | $105262.95     | 0.00%             | 2027-05-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/32 #593193                                                                                  | CUSIP: 36201T7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        126 | PA      | $129.65        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2022-B35 MTG TR                                                        | BENCHMARK 2022-B35 MTG TR 4.59391% 05/15/2055                                                            | CUSIP: 08163RBV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     719000 | PA      | $553000.52     | 0.00%             | 2055-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2014-DSTY                                      | JPMCC 2014-DSTY E CSTR 06/27                                                                             | CUSIP: 46642MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     830000 | PA      | $2069.27       | 0.00%             | 2027-06-10      | Variable      | 0.04%                 | No            |                  3 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 9/42 #AA5658                                                                                  | CUSIP: 36178DJB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20906 | PA      | $19680.00      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2033#738702                                                                         | CUSIP: 31402UU34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30180 | PA      | $29840.22      | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 11/39 #722701                                                                                 | CUSIP: 3620A83J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27679 | PA      | $27415.88      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/27 #416994                                                                                 | CUSIP: 36206PGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         77 | PA      | $79.89         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 9/35 #A37119                                                                                  | CUSIP: 31297S4C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27020 | PA      | $27381.57      | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 4/38 #G04334                                                                                  | CUSIP: 3128M6EF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41311 | PA      | $41953.13      | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 6/38 #A78486                                                                                  | CUSIP: 3128LCNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2218 | PA      | $2253.51       | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FOOT LOCKER INC                                                                  | FOOT LOCKER INC 4% 10/01/2029 144A                                                                       | CUSIP: 344849AA2<br>LEI: 549300X383CBNP6MTV94 | Long             | DBT              | CORP              | US        |    2490000 | PA      | $2053154.40    | 0.01%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1                                         | CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 3.474% 01/15/2046 144A                                          | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3092623 | PA      | $2613327.91    | 0.01%             | 2046-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/32 #582029                                                                                  | CUSIP: 36201FSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        489 | PA      | $509.31        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DEL NORTE SA CAYMAN ISLANDS BRANCH                               | BANCO MERCANTIL DEL NORTE SA GRAND CAYMAN BRH 7.625%/VAR PERP 144A                                       | CUSIP: 05962GAJ8<br>LEI: 549300QTVYRPFHS0J362 | Long             | EP               | CORP              | KY        |     352000 | PA      | $317856.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                                                  | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     751668 | PA      | $702675.45     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COML MTG SECS TR 2012-CIBX                                       | JP MORGAN CHASE CMS TR 12-CIBX 4.0% 06/15/2045 144A                                                      | CUSIP: 46637WAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615000 | PA      | $231788.40     | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 10/01/2050#SD0450                                                                         | CUSIP: 3132DMQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2560389 | PA      | $2214980.09    | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                           | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1616957 | PA      | $1516658.67    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 7.437%/VAR 11/02/2033                                                               | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     950000 | PA      | $1006327.73    | 0.01%             | 2033-11-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #419275                                                                                 | CUSIP: 36206RXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        187 | PA      | $190.57        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 11/32#MA3218                                                                                | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28830 | PA      | $27504.32      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2048#CA2797                                                                         | CUSIP: 3140QADB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4521988 | PA      | $4500462.91    | 0.02%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 8/41 #768137                                                                                  | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17234 | PA      | $16647.57      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 2.9% 02/10/2029                                                                       | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2940000 | PA      | $2408771.40    | 0.01%             | 2029-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 09/15/2042#AB3769                                                                         | CUSIP: 36178QFJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9489 | PA      | $8966.54       | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 9/29 #478716                                                                                  | CUSIP: 36209QYM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $58.21         | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 3.125% 08/31/2029                                                                              | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  225160000 | PA      | $216584569.75  | 1.13%             | 2029-08-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 07/51#QC4163                                                                                | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     506941 | PA      | $420027.47     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/28 #458872                                                                                  | CUSIP: 36208RW91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $100.28        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #460857                                                                                  | CUSIP: 36208T5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        641 | PA      | $660.95        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.869% 5/36 #995608                                                                             | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11184 | PA      | $11313.28      | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 11/39 #727692                                                                                 | CUSIP: 3620AENH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5992 | PA      | $6310.75       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2045#Q33623                                                                         | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41174 | PA      | $38789.10      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 09/01/2041#Q03517                                                                         | CUSIP: 3132GJSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3721 | PA      | $3735.09       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                                     | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   14204000 | PA      | $12699294.15   | 0.07%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 11/27 #412362                                                                                 | CUSIP: 36206JB78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        104 | PA      | $108.27        | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                      | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                       | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    4600000 | PA      | $4083880.00    | 0.02%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/25 #307059                                                                                  | CUSIP: 31373YB40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $137.24        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 09/15/2043#666409                                                                         | CUSIP: 36295CKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7936 | PA      | $7518.32       | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q02067                                                                         | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3925 | PA      | $4005.70       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B13 MTG TR                                                        | BENCHMARK 2019-B13 D MTG TR 2.5% 08/15/2057 144A                                                         | CUSIP: 08162DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672000 | PA      | $440036.69     | 0.00%             | 2057-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/31 #554247                                                                                  | CUSIP: 36213GWG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1107 | PA      | $1162.25       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-LC25                                                | WELLS FARGO COML MTG TR 2016-LC25 CSTR 12/15/2059                                                        | CUSIP: 95000JBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     328000 | PA      | $282923.45     | 0.00%             | 2059-12-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 06/01/2043#Q19744                                                                         | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49063 | PA      | $47816.36      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 04/20/2047#784303                                                                             | CUSIP: 3622A2X80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1393842 | PA      | $1351272.64    | 0.01%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/31 #604935                                                                                 | CUSIP: 31388HBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $217.31        | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PEDIATRIX MEDICAL GROUP INC                                                      | PEDIATRIX MEDICAL GROUP INC 5.375% 02/15/2030 144A                                                       | CUSIP: 58502BAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3525000 | PA      | $2974430.25    | 0.02%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GTT COMMUNICATIONS INC                                                           | GTT COMMUNICATIONS TERM B 05/31/2025                                                                     | CUSIP: 36250LAP9<br>LEI: 549300ETSL7K1ZX05H30 | Long             | LON              | CORP              | US        |    6139144 | PA      | $3622094.85    | 0.02%             | 2025-05-31      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 03/01/2033#BK4845                                                                           | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381517 | PA      | $363968.74     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARUBA INVESTMENT HOLDINGS LLC                                                    | ANGUS CHEMICAL TERM 1LN 11/04/2027                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1080000 | PA      | $1015200.00    | 0.01%             | 2027-11-04      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 7/32 #G01433                                                                                  | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        436 | PA      | $457.32        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 4/32 #643105                                                                                  | CUSIP: 31390DNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        384 | PA      | $410.81        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG 2012-14 CLASS JS 1ML+665 12/25/2030                                                      | CUSIP: 3136A4WY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      54563 | PA      | $453.63        | 0.00%             | 2030-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UPSTREAM NEWCO INC                                                               | UPSTREAM REHABILITATION TERM 1LN INCR 11/20/2026                                                         | CUSIP: N/A<br>LEI: 549300Q4K2W4R1EBTH48       | Long             | LON              | CORP              | US        |    3126590 | PA      | $2821747.02    | 0.01%             | 2026-11-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/40 #719262                                                                                  | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32702 | PA      | $33008.09      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROWN FINANCE US INC                                                             | CROWN FINANCE US SUPER PRIORITY DIP TERM 1LN 09/09/2023                                                  | CUSIP: 22834KAL5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1860065 | PA      | $1791484.41    | 0.01%             | 2023-09-09      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/29 #513653                                                                                  | CUSIP: 36211HTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $85.73         | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 12/01/2032#                                                                                 | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1209 | PA      | $1251.88       | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-UBS1                                                      | WFRBS COML MTG TR 2013-UBS1 VAR 03/15/2046 144A                                                          | CUSIP: 92938JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455375 | PA      | $436688.69     | 0.00%             | 2046-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3123 LO 0% 3/36                                                                                      | CUSIP: 31396JPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      63595 | PA      | $51430.36      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CONNECT US FINCO LLC                                                             | INMARSAT TERM B 1LN 12/12/26                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1031397 | PA      | $1017214.86    | 0.01%             | 2026-12-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 4/23 #050725                                                                                  | CUSIP: 313615LE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.97          | 0.00%             | 2023-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/28 #459593                                                                                  | CUSIP: 36208SRN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        872 | PA      | $899.58        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/31 #597037                                                                                  | CUSIP: 31387XHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $227.56        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TMK CAPITAL SA                                                                   | TMK CAPITAL SA 4.3% 02/12/2027 REGS                                                                      | CUSIP: N/A<br>LEI: 222100TBRQIOGYHYB529       | Long             | DBT              | CORP              | LU        |     600000 | PA      | $120000.00     | 0.00%             | 2027-02-12      | Fixed         | 0.04%                 | No            |                  3 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #779846                                                                                 | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10499 | PA      | $10144.05      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2018-HCLV MTG TR                                                            | COMM 2018-HCLV MTG TR 1ML+305 09/15/2033 144A                                                            | CUSIP: 20048KAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267000 | PA      | $222351.06     | 0.00%             | 2033-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 3/40 #711495                                                                                  | CUSIP: 36297GNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     434117 | PA      | $419659.65     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                   | FHR 2056 Z 6% 5/28                                                                                       | CUSIP: 3133TDZM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      29440 | PA      | $29902.17      | 0.00%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                                | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                               | CUSIP: 61771LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2343000 | PA      | $2040250.43    | 0.01%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                   | FHR 1686 FA 1ML+90 2/24                                                                                  | CUSIP: 3133T4DV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1578 | PA      | $1578.40       | 0.00%             | 2024-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 2.55% 12/01/2033                                                                            | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3443000 | PA      | $2704858.91    | 0.01%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 03/01/2052#CB3036                                                                           | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1749592 | PA      | $1446895.10    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 4.65% 08/15/2032                                                                        | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   34934000 | PA      | $33090887.05   | 0.17%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 5.93% 05/01/2060                                                                               | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    7640000 | PA      | $7091006.26    | 0.04%             | 2060-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2% 02/01/2042#RB5145                                                                           | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2593818 | PA      | $2196938.47    | 0.01%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RWE AG                                                                           | RWE AG 2.75% 05/24/2030 REGS                                                                             | CUSIP: N/A<br>LEI: 529900GB7KCA94ACC940       | Long             | DBT              | CORP              | DE        |    6100000 | PA      | $5953432.21    | 0.03%             | 2030-05-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2046#Q39094                                                                           | CUSIP: 3132QWC80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112368 | PA      | $109232.26     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                   | AMERICAN ELECTRIC POWER INC 2.95% 12/15/2022                                                             | CUSIP: 025537AG6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    1791000 | PA      | $1789860.74    | 0.01%             | 2022-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/27 #780499                                                                                  | CUSIP: 36225ARU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         90 | PA      | $91.63         | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 6/27 #357002                                                                                  | CUSIP: 31376JRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $113.30        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #737035                                                                                  | CUSIP: 3620AQY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3557 | PA      | $3521.25       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 10/39 #717997                                                                                 | CUSIP: 3620A3UW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13425 | PA      | $13532.24      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/29 #527286                                                                                 | CUSIP: 31384LXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1156 | PA      | $1206.06       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2005-81 PC 5.5% 9/35                                                                                 | CUSIP: 31394FCS2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      50475 | PA      | $51782.21      | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/40 #735701                                                                                  | CUSIP: 3620APKN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9414 | PA      | $9504.80       | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AEROPUERTO INTERNACIONAL DE TOCUMEN SA                                           | AEROPUERTO INTERNACIONAL DE TOCUMEN SA 4% 08/11/2041 144A                                                | CUSIP: 00787CAD4<br>LEI: 254900FO1PHX49ZIGB14 | Long             | DBT              | CORP              | PA        |     400000 | PA      | $309825.00     | 0.00%             | 2041-08-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2046#AU2287                                                                           | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26744 | PA      | $25138.35      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC ENERGY GROUP INC FRN 3ML+211.25 05/15/2067                                                           | CUSIP: 976657AH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    1401000 | PA      | $1148905.25    | 0.01%             | 2067-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #447984                                                                                  | CUSIP: 36208DUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        548 | PA      | $564.52        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 2/35 #A47133                                                                                  | CUSIP: 3128K74S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15085 | PA      | $15180.59      | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AHPT 2018                                                                        | AHPT 2018-ATRM D 1ML+230 06/15/2035 144A                                                                 | CUSIP: 04965KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172000 | PA      | $159469.46     | 0.00%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 07/01/2035#                                                                                 | CUSIP: 31297R6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        482 | PA      | $489.19        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/39 #722705                                                                                 | CUSIP: 3620A83N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1726 | PA      | $1735.70       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                                     | BX TRUST 2021-SOAR J 3.85% 06/15/2023 144A                                                               | CUSIP: 05608WAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     815820 | PA      | $747967.19     | 0.00%             | 2038-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 07/01/2035#                                                                                 | CUSIP: 31297RYJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1565 | PA      | $1585.95       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/31 #563407                                                                                  | CUSIP: 36213S3Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1089 | PA      | $1143.81       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 2.25% 01/15/2023                                                                          | CUSIP: 00914AAD4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2669000 | PA      | $2656557.87    | 0.01%             | 2023-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| APTEAN INC                                                                       | APTEAN TERM 1LN 04/23/2026                                                                               | CUSIP: 03834WAQ8<br>LEI: 549300D5LUPGZUDZXC96 | Long             | LON              | CORP              | US        |    1131356 | PA      | $1078555.55    | 0.01%             | 2026-04-23      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                          | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    3070000 | NC      | $41999.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                       | HILCORP ENERGY I LP/FIN CO 5.75% 02/01/2029 144A                                                         | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     555000 | PA      | $508411.64     | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LA QUITA MORTGAGE TRUST 2022                                                     | LA QUITA MORTGAGE TRUST 2022-LAQ F TFSR1M+57.1 03/15/2039 144A                                           | CUSIP: 50172LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     519750 | PA      | $490932.46     | 0.00%             | 2039-03-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 2.6% 05/11/2023                                                               | CUSIP: 14040HCD5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   16326000 | PA      | $16148950.41   | 0.08%             | 2023-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 12/20/2043#MA1676                                                                           | CUSIP: 36179N2H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17742 | PA      | $16345.08      | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                              | INTESA SANPAOLO SPA 5.017% 06/26/2024 144A                                                               | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    9000000 | PA      | $8665952.49    | 0.05%             | 2024-06-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/40 #743475                                                                                  | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10841 | PA      | $10943.88      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/39 #698214                                                                                  | CUSIP: 36296QVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3849 | PA      | $3878.17       | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2034#762901                                                                         | CUSIP: 31404ARW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8214 | PA      | $8123.00       | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                 | VODAFONE GROUP PLC 4.875%/VAR 10/03/2078 REGS                                                            | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $2605750.50    | 0.01%             | 2078-10-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2052#BV2206                                                                           | CUSIP: 3140MFNY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     956554 | PA      | $848695.60     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 07/01/2033#709252                                                                           | CUSIP: 31401H5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66763 | PA      | $67218.77      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 2.219%/VAR 06/09/2026 144A                                                                   | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   15515000 | PA      | $14248494.88   | 0.07%             | 2026-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC G 1ML+262.21 10/15/2036 144A                                       | CUSIP: 05609PAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798000 | PA      | $716699.12     | 0.00%             | 2036-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                              | STATION CASINOS LLC 4.5% 02/15/2028 144A                                                                 | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    1190000 | PA      | $1049615.62    | 0.01%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                             | NEPTUNE BIDCO US INC 9.29% 04/15/2029 144A                                                               | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2349793.20    | 0.01%             | 2029-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/01/2043#Q22486                                                                         | CUSIP: 3132JPXP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14165 | PA      | $13800.64      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 11/24 #385989                                                                                 | CUSIP: 36205BXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         61 | PA      | $62.00         | 0.00%             | 2024-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                | EURO-BOBL FUTURE DEC22 OEZ2                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -63 | NC      | $100777.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                           | DISCOVER FINANCIAL SVS 3.95% 11/06/2024                                                                  | CUSIP: 254709AK4<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    5349000 | PA      | $5202788.88    | 0.03%             | 2024-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 03/01/2043#AB8701                                                                         | CUSIP: 31417FU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9126 | PA      | $8369.26       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2018-CX11 COML MTG TR                                                      | CSAIL 2018-CX11 CSTR 04/51                                                                               | CUSIP: 12652UBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282000 | PA      | $244038.57     | 0.00%             | 2051-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                   | EXTENDED STAY AMER TR 2021-ESH 1.38% 07/15/2038 144A                                                     | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4207388 | PA      | $3996426.22    | 0.02%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/50#FM3269                                                                                | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1109841 | PA      | $998571.01     | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/32 #659161                                                                                  | CUSIP: 31390XJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7350 | PA      | $7868.08       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                 | BERRY GLOBAL INC 5.625% 07/15/2027 144A                                                                  | CUSIP: 085770AB1<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $980000.00     | 0.01%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2002-39 FD 1ML+100 3/32                                                                              | CUSIP: 31392DPW6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       5106 | PA      | $5171.51       | 0.00%             | 2032-03-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/28 #458387                                                                                  | CUSIP: 36208RF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        214 | PA      | $220.90        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 4% 11/13/2030                                                                         | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     610000 | PA      | $515968.50     | 0.00%             | 2030-11-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 04/20/2048#MA5137                                                                             | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     326849 | PA      | $315743.36     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | CIGNA CORP 4.375% 10/15/2028                                                                             | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   11163000 | PA      | $10879729.16   | 0.06%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/41 #AJ2387                                                                                 | CUSIP: 3138ATUM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8308 | PA      | $8030.17       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | UNUM GROUP 5.75% 08/15/2042                                                                              | CUSIP: 91529YAJ5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    9271000 | PA      | $8272468.98    | 0.04%             | 2042-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2011-H21 FA 1ML+60 10/61                                                                             | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     720011 | PA      | $714683.61     | 0.00%             | 2061-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/25 #250414                                                                                 | CUSIP: 31371FDT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $27.75         | 0.00%             | 2025-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| METINVEST BV                                                                     | METINVEST BV 8.5% 04/23/2026 REGS                                                                        | CUSIP: N/A<br>LEI: 635400TMCKVEU87EJ582       | Long             | DBT              | CORP              | NL        |     235000 | PA      | $126900.00     | 0.00%             | 2026-04-23      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #731247                                                                                  | CUSIP: 31402KL44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36111 | PA      | $35691.05      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 3/35 #814379                                                                                  | CUSIP: 31406MXG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22972 | PA      | $22755.39      | 0.00%             | 2035-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3.5% 12/01/2052 #TBA                                                                           | CUSIP: 01F0326C3<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -18700000 | PA      | $-17133875.00  | -0.09%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2022S-FR1 TR                                                  | TRICON RESIDENTIAL 2022S-FR1 TR 5.739% 04/17/2039 144A                                                   | CUSIP: 89616QAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1344000 | PA      | $1230531.99    | 0.01%             | 2039-04-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C8                                  | MSBAM 2013-C8 D 4.17262 12/48                                                                            | CUSIP: 61761QAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273000 | PA      | $257421.26     | 0.00%             | 2048-12-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                    | CALIFORNIA ST BUILD AMERICA BONDS                                                                        | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   10015000 | PA      | $12350201.56   | 0.06%             | 2039-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2044#Q24971                                                                         | CUSIP: 3132M5FL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22309 | PA      | $21714.51      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 7/35 #745092                                                                                  | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16615 | PA      | $17486.78      | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AUTOZONE INC 4.75% 08/01/2032                                                                            | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14710880.40   | 0.08%             | 2032-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                            | KINDER MORGAN INC DEL 5.55% 06/01/2045                                                                   | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    4783000 | PA      | $4463610.92    | 0.02%             | 2045-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/26 #346292                                                                                  | CUSIP: 31375VUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $13.61         | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2034#776624                                                                         | CUSIP: 31404RYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14827 | PA      | $14665.09      | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#QD3433                                                                           | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     588661 | PA      | $487000.86     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AR3062                                                                           | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37834 | PA      | $35561.72      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/27 #460654                                                                                 | CUSIP: 36208TWP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        297 | PA      | $308.29        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                                           | ATHENAHEALTH TERM B 1LN 02/15/2029                                                                       | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |   18756036 | PA      | $17086748.69   | 0.09%             | 2029-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT CORPORATION                                                                                          | CUSIP: 26884L109<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | EC               | CORP              | US        |      62000 | NS      | $2629420.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 8/36 #888544                                                                                  | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123938 | PA      | $130109.97     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042 144A                                                           | CUSIP: 21871XAJ8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    1635000 | PA      | $1338620.56    | 0.01%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2011-C3                                                  | MSC 2011-C3 D CSTR 7/49                                                                                  | CUSIP: 61760RAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1176000 | PA      | $1129206.61    | 0.01%             | 2049-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 03/20/2043#AD8884                                                                           | CUSIP: 36180M2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     349878 | PA      | $330289.25     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MTN MAURITIUS INVESTMENTS LTD                                                    | MTN MAURITIUS INVSTMENTS 4.755% 11/11/2024 144A                                                          | CUSIP: 55377XAA4<br>LEI: 2549009PQD415OQIR074 | Long             | DBT              | CORP              | MU        |     405000 | PA      | $393179.06     | 0.00%             | 2024-11-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE10 MTG TR                                                          | COMM 2013-CCRE10 D MTG TR CSTR 08/10/2046 144A                                                           | CUSIP: 12626BAW4<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |     825000 | PA      | $777955.45     | 0.00%             | 2046-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 4.24% 6/33 #847147                                                                              | CUSIP: 3128HD5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38034 | PA      | $38420.03      | 0.00%             | 2033-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 2/36 #745575                                                                                  | CUSIP: 31403DJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $483.06        | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL NL B.V.                                          | GSK CONSUMER HEALTHCARE CAPITAL NL B.V. 2.125% 03/29/2034 REGS                                           | CUSIP: N/A<br>LEI: 549300RXQZBOJONY3Q97       | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1597958.26    | 0.01%             | 2034-03-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 10/42 #Q12211                                                                                 | CUSIP: 3132HNN47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5961 | PA      | $5595.41       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 2.1% 03/22/2028                                                               | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   11222000 | PA      | $9818433.94    | 0.05%             | 2028-03-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 7.5% 03/15/2027                                                                            | CUSIP: 893647BH9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     959000 | PA      | $961397.50     | 0.01%             | 2027-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #357415                                                                                  | CUSIP: 31376KAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12991 | PA      | $12844.39      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/29 #422973                                                                                  | CUSIP: 36206V2E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        470 | PA      | $485.09        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CANACOL ENERGY LTD                                                               | CANACOL ENERGY LTD 5.75% 11/24/2028 144A                                                                 | CUSIP: 134808AD6<br>LEI: 549300X5MNRWPMSM9N14 | Long             | DBT              | CORP              | CA        |     530000 | PA      | $446293.13     | 0.00%             | 2028-11-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A96695                                                                                  | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23892 | PA      | $23765.71      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 7/41 #768127                                                                                  | CUSIP: 36176KD87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13393 | PA      | $12946.64      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                              | NIGERIA REPUBLIC 7.696% 02/23/2038 144A                                                                  | CUSIP: 65412JAH6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     480000 | PA      | $333600.00     | 0.00%             | 2038-02-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/28 #416823                                                                                  | CUSIP: 31379EAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        236 | PA      | $244.64        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #379287                                                                                  | CUSIP: 31377KJ89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         55 | PA      | $56.20         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/32 #569213                                                                                  | CUSIP: 36200QK29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        926 | PA      | $974.61        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                 | ALTICE FRANCE SA 5.125% 01/15/2029 144A                                                                  | CUSIP: 02156LAE1<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    6850000 | PA      | $5394375.00    | 0.03%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 12/25/2036                                                           | CUSIP: 31396LZK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      46868 | PA      | $6402.45       | 0.00%             | 2036-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #717956                                                                                  | CUSIP: 3620A3TM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4514 | PA      | $4552.28       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 11/01/2041#                                                                                 | CUSIP: 3132GK4R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19720 | PA      | $19107.81      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 01/01/2032#MA2871                                                                           | CUSIP: 31418CFM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8122 | PA      | $7778.84       | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 11/01/2051#RA6241                                                                           | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8900926 | PA      | $7352633.26    | 0.04%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/29 #495202                                                                                  | CUSIP: 36210LDF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        162 | PA      | $167.52        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRANSUNION LLC                                                                   | TRANSUNION TERM B-5 1LN 11/16/2026                                                                       | CUSIP: 89334GAX2<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |    1545737 | PA      | $1502951.07    | 0.01%             | 2026-11-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/26 #328952                                                                                  | CUSIP: 31375AL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $68.01         | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 08/01/2044#Q28059                                                                         | CUSIP: 3132M8TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10516 | PA      | $10241.85      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 4/40 #A91937                                                                                  | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80505 | PA      | $82051.28      | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MTG ASSN HECM 1ML+0.52 10/20/2062                                                         | CUSIP: 38375BXV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     166571 | PA      | $165027.91     | 0.00%             | 2062-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 4/27 #928257                                                                             | CUSIP: 31412LJA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        667 | PA      | $678.40        | 0.00%             | 2027-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 5.25% 01/17/2042 144A                                                              | CUSIP: 455780BJ4<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     485000 | PA      | $475300.00     | 0.00%             | 2042-01-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE                                                     | BARCLAYS COMMERCIAL MORTGAGE 2.5% 11/15/2052 144A                                                        | CUSIP: 05492JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188000 | PA      | $123294.16     | 0.00%             | 2052-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR2 TR                                                | PROGRESS RESIDENTIAL 2022-SFR2 TR 4.8% 04/17/2027 144A                                                   | CUSIP: 74332VAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     688000 | PA      | $588803.40     | 0.00%             | 2027-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/27 #436026                                                                                 | CUSIP: 36207MLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        250 | PA      | $258.05        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 04/01/2044#Q25624                                                                         | CUSIP: 3132M54H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11769 | PA      | $11455.41      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 6.876% 05/21/2031 144A                                                                | CUSIP: 90372UAR5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     245000 | PA      | $51036.56      | 0.00%             | 2031-05-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/32 #545513                                                                                  | CUSIP: 31385JAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        266 | PA      | $279.09        | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-IG2 MTG TR                                                        | BENCHMARK 2020-IG2 D MT VAR 09/15/2048 144A                                                              | CUSIP: 08162NAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1503000 | PA      | $761205.47     | 0.00%             | 2048-09-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                                       | HASBRO INC 3% 11/19/2024                                                                                 | CUSIP: 418056AX5<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    8864000 | PA      | $8481485.87    | 0.04%             | 2024-11-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 3/34 #626497                                                                                  | CUSIP: 36291E7J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        996 | PA      | $1020.28       | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 11/01/2051#CB2048                                                                         | CUSIP: 3140QMH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11739513 | PA      | $10080590.78   | 0.05%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRUPO BIMBO SAB DE CV.                                                           | GRUPO BIMBO SAB DE CV 5.95%/VAR PERP 144A                                                                | CUSIP: 40052VAF1<br>LEI: 5493000RIXURZEBFEV60 | Long             | EP               | CORP              | MX        |     840000 | PA      | $829500.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                     | ROCKIES EXPRESS PIPELINE LLC 4.8% 05/15/2030 144A                                                        | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     110000 | PA      | $93558.32      | 0.00%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030                                                            | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   36810000 | PA      | $33456889.49   | 0.17%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NBK TIER 1 FINANCING 2 LTD                                                       | NBK TIER 1 FINANCING 2 LTD 4.5/VAR PERP 144A                                                             | CUSIP: 62878WAA6<br>LEI: 549300HMWSJFNREWT164 | Long             | EP               | CORP              | AE        |     850000 | PA      | $770567.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                            | DELTA AIR LINES INC / SKYMILES IP LTD 4.5% 10/20/2025 144A                                               | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     380000 | PA      | $370197.12     | 0.00%             | 2025-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 4.25% 03/13/2025                                                                      | CUSIP: 900123CX6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1510000 | PA      | $1408075.00    | 0.01%             | 2025-03-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                             | LIFE 2021-BMR MTG TR 1ML+70 03/15/2038 144A                                                              | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21552603 | PA      | $20714664.13   | 0.11%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 5.75% 01/15/2030 144A                                                                   | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    2455000 | PA      | $1671855.00    | 0.01%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2121 MG 6% 2/29                                                                                      | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      14916 | PA      | $15154.99      | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063          | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   20184000 | PA      | $16172156.30   | 0.08%             | 2063-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 3/37 #A58828                                                                                  | CUSIP: 3128KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1025 | PA      | $1102.24       | 0.00%             | 2037-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 2/27 #371593                                                                                  | CUSIP: 31377AXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        325 | PA      | $336.33        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                            | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                              | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4281000 | PA      | $4021886.91    | 0.02%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FINANCE SA                                                   | CONSOLIDATED ENERGY TERM INCR B 1LN 05/07/2025                                                           | CUSIP: N/A<br>LEI: 549300PUNIS0USNSL750       | Long             | LON              | CORP              | LU        |    3114763 | PA      | $2959024.62    | 0.02%             | 2025-05-07      | Variable      | 0.07%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/47#AS9616                                                                              | CUSIP: 3138WKVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11134 | PA      | $11071.84      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B 1ML+92.21 10/15/2036 144A                                        | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2565000 | PA      | $2408685.82    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2018-3PCK                                           | GS MORTGAGE SECURITIES TRUST 2018-3PCK A 1ML+145 09/15/2021 144A                                         | CUSIP: 36255YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12090272 | PA      | $11853295.37   | 0.06%             | 2031-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF DUBAI GOVERNMENT INTERNATIONAL BONDS                                  | EMIRATE OF DUBAI GOVT INTL BONDS 5.25% 01/30/2043 REGS                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | AE        |     560000 | PA      | $494480.00     | 0.00%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 05/01/2044#AS9099                                                                           | CUSIP: 3138WKDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120204 | PA      | $121601.12     | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                      | MATCH GROUP HLD II LLC 4.125% 08/01/2030 144A                                                            | CUSIP: 57665RAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1315125.00    | 0.01%             | 2030-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 0.0% 07/01/2041#AI6050                                                                          | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6297 | PA      | $6371.37       | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                                            | CELLNEX FINANCE CO SA 1% 09/15/2027 REGS                                                                 | CUSIP: N/A<br>LEI: 549300OUROMFTRFA7T23       | Long             | DBT              | CORP              | ES        |    4000000 | PA      | $3525020.00    | 0.02%             | 2027-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/26 #358466                                                                                  | CUSIP: 31376LFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        238 | PA      | $244.38        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARBADOS GOVT OF                                                                 | BARBADOS GOVT OF 6.5% 10/01/2029 144A                                                                    | CUSIP: 067070AH5<br>LEI: 529900UD1KUUS4SFD905 | Long             | DBT              | NUSS              | BB        |     965000 | PA      | $894012.19     | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                              | NIGERIA REPUBLIC 7.143% 02/23/2030 144A                                                                  | CUSIP: 65412JAD5<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     920000 | PA      | $709550.00     | 0.00%             | 2030-02-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 06/01/2050#RA2677                                                                           | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6608588 | PA      | $5494149.29    | 0.03%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/01/2042#Q11868                                                                         | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8681 | PA      | $8416.36       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POLARIS NEWCO LLC                                                                | SOLERA TERM B 1LN 06/02/2028                                                                             | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |    9482135 | PA      | $8643534.79    | 0.05%             | 2028-06-02      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 10/35 #003771                                                                              | CUSIP: 36202EFL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1161 | PA      | $1148.77       | 0.00%             | 2035-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/40 #704931                                                                                  | CUSIP: 36296YEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6694 | PA      | $6626.55       | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 08/01/2034#C91778                                                                         | CUSIP: 3128P76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27149 | PA      | $26212.38      | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOPHIA LP                                                                        | ELLUCIAN TERM B 1LN 10/07/2027                                                                           | CUSIP: 83578BAN3<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |    6960031 | PA      | $6697289.48    | 0.04%             | 2027-10-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 2.636%/VAR 03/03/2026                                                         | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   10020000 | PA      | $9344103.71    | 0.05%             | 2026-03-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30                                 | MSBAM 2016-C30 C CSTR 9/49                                                                               | CUSIP: 61766NBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151000 | PA      | $127845.72     | 0.00%             | 2049-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 09/01/2051#CB1549                                                                         | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5171403 | PA      | $4455979.63    | 0.02%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATGASOLINE LLC                                                                  | NATGASOLINE TERM B 11/14/2025                                                                            | CUSIP: 63232EAB3<br>LEI: 549300OHXDYMQYZOWC24 | Long             | LON              | CORP              | US        |     962500 | PA      | $948062.50     | 0.00%             | 2025-11-14      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 1.5% 06/01/2051#CB0788                                                                         | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269235 | PA      | $209603.28     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC                                                     | BRITISH AMERICAN TOBACCO PLC 3%/VAR PERP REGS                                                            | CUSIP: N/A<br>LEI: 213800FKA5MF17RJKT63       | Long             | EP               | CORP              | GB        |    9510000 | PA      | $7938260.37    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2424 FM 1ML+100 3/32                                                                                 | CUSIP: 31339WJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2765 | PA      | $2796.63       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                | QBE INS GROUP LTD 5.875/VAR PERP 144A                                                                    | CUSIP: 74728GAE0<br>LEI: 549300D2FBW76FPUSG65 | Long             | EP               | CORP              | AU        |    2110000 | PA      | $1935800.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/29 #503025                                                                                  | CUSIP: 36210UYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        174 | PA      | $178.84        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK42                                                                  | BANK 2017-BNK4 2.5% 06/15/2055 144A                                                                      | CUSIP: 06541MAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     531000 | PA      | $313762.48     | 0.00%             | 2055-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2423 FA 1ML+100 3/32                                                                                 | CUSIP: 31339WBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3118 | PA      | $3144.50       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2019-1                                                            | TOWD PT MTG TR 2019-1 3.75% 03/25/2058 144A                                                              | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2254759 | PA      | $2086533.61    | 0.01%             | 2058-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                             | FRONTIER COMMUNICATIONS HOLDINGS LLC 5.875% 10/15/2027 144A                                              | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1449000 | PA      | $1378752.48    | 0.01%             | 2027-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 5.50% 12/23 #995460                                                                            | CUSIP: 31416BZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $181.87        | 0.00%             | 2023-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/40 #AE6775                                                                                 | CUSIP: 31419HQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193921 | PA      | $187580.52     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASP LS ACQUISITION CORP                                                          | LASERSHIP TERM 1LN 04/30/2028                                                                            | CUSIP: 51809EAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1262250 | PA      | $978243.75     | 0.01%             | 2028-04-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                                              | VIRGIN MONEY UK PLC 5.125/VAR 12/11/2030 REGS                                                            | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |    1840000 | PA      | $2046793.73    | 0.01%             | 2030-12-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | COINBASE GLOBAL INC 3.375% 10/01/2028 144A                                                               | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |    3175000 | PA      | $1855724.00    | 0.01%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/31 #474770                                                                                  | CUSIP: 36209LMT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $85.42         | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/29 #432896                                                                                  | CUSIP: 36207H3D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         86 | PA      | $89.33         | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 4/27 #399249                                                                                  | CUSIP: 36205SQA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        115 | PA      | $118.67        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                        | CAESARS ENTERTAINMENT INC 8.125% 07/01/2027 144A                                                         | CUSIP: 28470RAK8<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |   13552000 | PA      | $13603497.60   | 0.07%             | 2027-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                      | ROYAL CARIBBEAN CRUISES LTD 11.625% 08/15/2027 144A                                                      | CUSIP: 780153BL5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     520000 | PA      | $529100.00     | 0.00%             | 2027-08-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/29 #477009                                                                                  | CUSIP: 36209N3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        401 | PA      | $413.52        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTICE FING SA                                                                   | ALTICE FINANCING TERM B 01/31/2026                                                                       | CUSIP: N/A<br>LEI: 549300DIYGW8HVDF7Q17       | Long             | LON              | CORP              | LU        |    1409646 | PA      | $1374405.24    | 0.01%             | 2026-01-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 12/41 #741817                                                                                 | CUSIP: 3620AWDW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63507 | PA      | $59929.39      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UZBEKISTAN REPUBLIC OF                                                           | UZBEKISTAN REPUBLIC OF 3.9% 10/19/2031 144A                                                              | CUSIP: 91822Q2E6<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |     565000 | PA      | $454754.38     | 0.00%             | 2031-10-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/27 #425823                                                                                 | CUSIP: 36207AAY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $54.25         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/25 #250345                                                                                  | CUSIP: 31371FBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         85 | PA      | $86.03         | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2% 12/01/2052 #TBA                                                                             | CUSIP: 01F0206C8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -549650000 | PA      | $-452052771.88 | -2.36%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/39 #724220                                                                                  | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162596 | PA      | $160900.80     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                          | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                                 | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |    8935000 | PA      | $9300565.88    | 0.05%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #772381                                                                                  | CUSIP: 31404MCS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26632 | PA      | $26356.10      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| USI INC                                                                          | USI TERM 1LN 12/02/2026                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     729396 | PA      | $716763.14     | 0.00%             | 2026-12-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| KDC/ONE DEVELOPMENT CORP INC                                                     | KDC TERM B 1LN 12/21/2025                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | CA        |    2447516 | PA      | $2354706.00    | 0.01%             | 2025-12-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BX TR 2022-LBA6                                                                  | BX TR 2022-LBA6 TSFR1M+335 01/15/2039 144A                                                               | CUSIP: 12433EAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1160000 | PA      | $1056571.04    | 0.01%             | 2039-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS HEALTH CORP 4.78% 03/25/2038                                                                         | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   10528000 | PA      | $9729881.80    | 0.05%             | 2038-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                           | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                             | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   24197000 | PA      | $20529414.25   | 0.11%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/27 #250799                                                                                  | CUSIP: 31371FRU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $46.16         | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                | BLACKSTONE PROP PARTNERS EUR HOLD 2.625% 10/20/2028 REGS                                                 | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |     950000 | PA      | $886121.86     | 0.00%             | 2028-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC                                       | NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC 5% 01/27/2030 144A                                            | CUSIP: 67052NAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    1850000 | PA      | $1584062.50    | 0.01%             | 2030-01-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                         | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     864925 | PA      | $814829.98     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                                     | BX TRUST 2.9% 06/15/2023 144A                                                                            | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312632 | PA      | $286649.77     | 0.00%             | 2038-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-4                                       | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-4 TSFR1M+450 05/17/2024 144A                                    | CUSIP: 78474PAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1616000 | PA      | $1531104.41    | 0.01%             | 2024-05-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2046#Q40046                                                                         | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     496311 | PA      | $467100.51     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP INC                                                       | PERFORMANCE FOOD GROUP INC 5.5% 10/15/2027 144A                                                          | CUSIP: 69346VAA7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    1294000 | PA      | $1248710.00    | 0.01%             | 2027-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2045#Q31974                                                                         | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131813 | PA      | $124261.27     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                                                   | SYNCHRONY BANK 5.625% 08/23/2027                                                                         | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   12818000 | PA      | $12409099.01   | 0.06%             | 2027-08-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2016-C4                                                   | JPMDB 2016-C4 D CSTR 12/15/2049                                                                          | CUSIP: 46646RAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     681000 | PA      | $489906.97     | 0.00%             | 2049-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 6.125% 12/15/2045                                                                     | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     900000 | PA      | $852391.31     | 0.00%             | 2045-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 0.0% 09/01/2041#AI9813                                                                          | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4526 | PA      | $4572.34       | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/33 #623639                                                                                 | CUSIP: 36291BZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        716 | PA      | $717.03        | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                        | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   10439000 | PA      | $9122997.44    | 0.05%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 2.3% 03/25/2028                                                                              | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   19340000 | PA      | $16757195.60   | 0.09%             | 2028-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 05/01/2035#SB8045                                                                         | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6863267 | PA      | $6390563.53    | 0.03%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DBGS 2018-BIOD MORTGAGE TRUST                                                    | DBGS MORTGAGE TRUST 2018-BIOD G 1ML+250 05/15/2035 144A                                                  | CUSIP: 23306GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     652427 | PA      | $612439.60     | 0.00%             | 2035-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FOUR SEASONS HLDGS INC                                                           | FOUR SEASONS HLDGS INC TERM B 11/30/2023                                                                 | CUSIP: 35100DAR7<br>LEI: 549300KN76IMZYPMJC43 | Long             | LON              | CORP              | CA        |    2734914 | PA      | $2729799.45    | 0.01%             | 2023-11-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #710849                                                                                  | CUSIP: 36297FWJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130633 | PA      | $131646.72     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK CORPORATE MARKETS PLC                                                | LLOYDS BANK CORPORATE MARKETS PLC 1.5% 06/23/2023 REGS                                                   | CUSIP: N/A<br>LEI: 213800MBWEIJDM5CU638       | Long             | DBT              | CORP              | GB        |     880000 | PA      | $1041136.41    | 0.01%             | 2023-06-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/36 #AH8017                                                                                  | CUSIP: 3138A94B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18846 | PA      | $18245.58      | 0.00%             | 2036-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UZBEKISTAN REPUBLIC OF                                                           | UZBEKISTAN REPUBLIC OF 4.75% 02/20/2024 144A                                                             | CUSIP: 91822Q2B2<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |     315000 | PA      | $306199.69     | 0.00%             | 2024-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                  | ARES LV CLO LTD 2020-55A A1R 3ML+113 07/15/2034 144A                                                     | CUSIP: 04018BAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12053000 | PA      | $11718649.78   | 0.06%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #462883                                                                                  | CUSIP: 36208WFY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        546 | PA      | $562.21        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TUPY OVERSEAS SA                                                                 | TUPY OVERSEAS SA 4.5% 02/16/2031 144A                                                                    | CUSIP: 89990BAB6<br>LEI: 222100ZREIYU6AS2OO19 | Long             | DBT              | CORP              | LU        |     660000 | PA      | $524617.50     | 0.00%             | 2031-02-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 3.5% 11/15/2030                                                                         | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   18443000 | PA      | $16320511.51   | 0.09%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2051#FS0002                                                                           | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1811941 | PA      | $1610462.20    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/23 #050913                                                                                 | CUSIP: 313615SA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.02          | 0.00%             | 2023-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KRONOS ACQ / KIK CUSTOM                                                          | KRONOS ACQ / KIK CUSTOM 7% 12/31/2027 144A                                                               | CUSIP: 50106GAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     330000 | PA      | $273900.00     | 0.00%             | 2027-12-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 1/41 #759125                                                                                  | CUSIP: 36230UD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4665 | PA      | $4508.24       | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 2.8% 04/01/2027                                                                              | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   14371000 | PA      | $13113730.36   | 0.07%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                  | FX Forward: CAD/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-215.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2049#CA4628                                                                           | CUSIP: 3140QCEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2390182 | PA      | $2302127.95    | 0.01%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 5/34 #A23334                                                                                  | CUSIP: 31297AV35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4256 | PA      | $4292.49       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AS6968                                                                           | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65441 | PA      | $61511.10      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 5.268/VAR 05/10/2033                                                          | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9417434.80    | 0.05%             | 2033-05-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/35 #255844                                                                                  | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4166 | PA      | $4355.99       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 5.8% 04/01/2047                                                                                | CUSIP: 42809HAH0<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   13479000 | PA      | $13093185.87   | 0.07%             | 2047-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AR1812                                                                         | CUSIP: 3138NYAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70792 | PA      | $64922.74      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 5/42 #766751                                                                                  | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34367 | PA      | $32397.97      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 05/01/2046#V82275                                                                           | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1985629 | PA      | $1807168.61    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 6.5% 3/31 #003053                                                                                | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1510 | PA      | $1569.68       | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/32 #574467                                                                                  | CUSIP: 36200WFG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         87 | PA      | $91.60         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                    | METHANEX CORP 5.125% 10/15/2027                                                                          | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |    4719000 | PA      | $4329682.50    | 0.02%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/31 #567102                                                                                  | CUSIP: 36213XAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        488 | PA      | $512.21        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                             | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5344000 | PA      | $5232587.38    | 0.03%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2020-HB5                                          | CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A                                          | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4952929 | PA      | $4755235.83    | 0.02%             | 2031-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 09/01/2052#SD1572                                                                           | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1583522 | PA      | $1595573.63    | 0.01%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREAT OUTDOORS GROUP LLC                                                         | GREAT OUTDOORS TERM B2 1LN 03/05/2028                                                                    | CUSIP: 07014QAN1<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |   41637833 | PA      | $39961910.55   | 0.21%             | 2028-03-05      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 6/25 #401443                                                                                  | CUSIP: 36205U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $54.91         | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/40 #AD7419                                                                                  | CUSIP: 31418VG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6165 | PA      | $6127.39       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2019-10K                                                | NCMS 2019-10K E VAR 05/15/2039 144A                                                                      | CUSIP: 63874UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231000 | PA      | $177639.60     | 0.00%             | 2039-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2135 JE 6% 3/29                                                                                      | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7347 | PA      | $7475.33       | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 02/01/2029#                                                                                 | CUSIP: 31293KN36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $90.35         | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 03/01/2027 144A                          | CUSIP: 87470LAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11965000 | PA      | $11374347.78   | 0.06%             | 2027-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 10/39 #710924                                                                                 | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17686 | PA      | $17837.29      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 7.39%/VAR 11/03/2028                                                                   | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1700000 | PA      | $1782861.20    | 0.01%             | 2028-11-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MAXAR TECHNOLOGIES INC                                                           | MAXAR TECHNOLOGIES TERM B 1LN 06/09/2029                                                                 | CUSIP: N/A<br>LEI: 549300OEN2G821MIJ922       | Long             | LON              | CORP              | US        |    1271812 | PA      | $1222326.28    | 0.01%             | 2029-06-09      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MJH HEALTHCARE HOLDINGS LLC                                                      | MJH LIFE SCIENCES TERM B 1LN 01/28/2029                                                                  | CUSIP: N/A<br>LEI: 254900YSRB2CUEJCMV73       | Long             | LON              | CORP              | US        |    1263650 | PA      | $1220218.35    | 0.01%             | 2029-01-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                                  | MADISON IAQ LLC 5.875% 06/30/2029 144A                                                                   | CUSIP: 55760LAB3<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |   10350000 | PA      | $7656205.50    | 0.04%             | 2029-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 6/25 #401859                                                                                  | CUSIP: 36205VMG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.09          | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ALTUS MIDSTREAM LP                                                               | ALTUS MIDSTREAM LP 5.875% 06/15/2030 144A                                                                | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    3365000 | PA      | $3162124.15    | 0.02%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2047#AS9417                                                                         | CUSIP: 3138WKPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66705 | PA      | $65932.44      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG 4.125% 09/24/2025 144A                                                                      | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    6852000 | PA      | $6647007.55    | 0.03%             | 2025-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 06/01/2031#J34501                                                                         | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1569356 | PA      | $1488551.97    | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 04/48#Q55724                                                                              | CUSIP: 3132XYLE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135570 | PA      | $134488.65     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/40 #AA4740                                                                                 | CUSIP: 31416NHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18577 | PA      | $17960.16      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                         | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112965 | PA      | $110024.71     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                | CHILE REPUBLIC OF 3.25% 09/21/2071                                                                       | CUSIP: 168863DU9<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     250000 | PA      | $159000.00     | 0.00%             | 2071-09-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 8% 04/20/2033                                                                       | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     680000 | PA      | $675580.00     | 0.00%             | 2033-04-20      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.3% 11/20/2026                                                                            | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3067000 | PA      | $2991873.74    | 0.02%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RH                                                                               | RH TERM B2 1LN 10/20/2028                                                                                | CUSIP: 76133MAC5<br>LEI: 5493008MTS3OGGMHGK69 | Long             | LON              | CORP              | US        |    4125000 | PA      | $3889091.25    | 0.02%             | 2028-10-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.0% 03/01/2045#AY1124                                                                              | CUSIP: 3138YEHA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73593 | PA      | $71473.86      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.2% 08/26/2024                                                              | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   14710000 | PA      | $14503870.39   | 0.08%             | 2024-08-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER ESCROW LLC                                       | HILTON GRAND VACATIONS BORROWER ESCROW LLC 4.875% 07/01/2031 144A                                        | CUSIP: 43284MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     795000 | PA      | $656193.00     | 0.00%             | 2031-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL                                                                       | CHICAGO ILL TAXABLE PROJ C1                                                                              | CUSIP: 167486MM8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5065000 | PA      | $5573588.30    | 0.03%             | 2035-01-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DISCOVERY PURCHASER CORP                                                         | BAYER ENVIRONMENTAL SCIENCE TERM 1LN 10/04/2029                                                          | CUSIP: N/A<br>LEI: 2549001LSO1ZBIPA5D65       | Long             | LON              | CORP              | US        |    4475000 | PA      | $4075606.25    | 0.02%             | 2029-10-04      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2034#774171                                                                         | CUSIP: 31404PCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24426 | PA      | $24178.58      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C31                                 | MSBAM 2016-C31 C CSTR 10/26                                                                              | CUSIP: 61766RBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     343000 | PA      | $278721.87     | 0.00%             | 2049-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ITAU UNIBANCO HOLDING SA CAYMAN ISLANDS BRANCH                                   | ITAU UNIBANCO HLDG SA KY BRH 6.125/VAR PERP 144A                                                         | CUSIP: 46556UAB0<br>LEI: BZO2P8KHO2O10H5QQ663 | Long             | EP               | CORP              | KY        |    1140000 | PA      | $1083712.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 4.5% 01/15/2025                                                           | CUSIP: 681936BD1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    3878000 | PA      | $3771527.45    | 0.02%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 1/32 #624486                                                                                  | CUSIP: 31389FXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1041 | PA      | $1101.94       | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                               | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    6608000 | PA      | $5598936.79    | 0.03%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 08/15/2042#AB2238                                                                         | CUSIP: 36178MPX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6104 | PA      | $5747.82       | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2043#AL3657                                                                         | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8942 | PA      | $8444.67       | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2019-SFR3 TR                                                | PROGRESS RESIDENTIAL 2019-SFR3 G TR 4.116% 09/17/2036 144A                                               | CUSIP: 74332WAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     263000 | PA      | $246646.58     | 0.00%             | 2036-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2048#V83994                                                                           | CUSIP: 3132L9NK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1144701 | PA      | $1103102.95    | 0.01%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/31 #549588                                                                                  | CUSIP: 36213BRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        453 | PA      | $475.81        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 04/01/2050#RA2457                                                                           | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3453298 | PA      | $3104919.73    | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                             | SABRA HEALTH CARE LP 3.9% 10/15/2029                                                                     | CUSIP: 78572XAG6<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    4785000 | PA      | $3952132.66    | 0.02%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 7.875% 09/15/2031                                                              | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     465000 | PA      | $509175.00     | 0.00%             | 2031-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MTG TR                                                            | COMM 2014-UBS6 XA CSTR 12/47                                                                             | CUSIP: 12592PBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40567518 | PA      | $517523.89     | 0.00%             | 2047-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                                        | HEALTHPEAK PROPERTIES 3.25% 07/15/2026                                                                   | CUSIP: 40414LAQ2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    1156000 | PA      | $1092307.21    | 0.01%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/24 #403195                                                                                  | CUSIP: 36205W3C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         76 | PA      | $76.53         | 0.00%             | 2024-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DBCCRE 2014-ARCP MORTGAGE TRUST                                                  | DBCCRE 2014-ARCP MORTGAGE TRUST VAR 01/10/2034 144A                                                      | CUSIP: 23305MAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255000 | PA      | $234211.92     | 0.00%             | 2034-01-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 12/01/2052 #TBA                                                                               | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  204000000 | PA      | $173217970.80  | 0.91%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                             | BWX TECHNOLOGIES INC 4.125% 06/30/2028 144A                                                              | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |    4355000 | PA      | $3875950.00    | 0.02%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC 3.65% 04/05/2027 144A                                                           | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   15270000 | PA      | $14293572.37   | 0.07%             | 2027-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 8/34 #629115                                                                                  | CUSIP: 36291H3Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        300 | PA      | $313.02        | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MED PARENTCO LP                                                                  | MYEYEDR TERM 2LN 08/30/2027                                                                              | CUSIP: 58401DAF1<br>LEI: 549300660CLPRNK19Z91 | Long             | LON              | CORP              | US        |     485000 | PA      | $361325.00     | 0.00%             | 2027-08-30      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 12/27 #436017                                                                                 | CUSIP: 36207MK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        177 | PA      | $183.23        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FLEXERA SOFTWARE LLC                                                             | FLEXERA SOFTWARE TERM B 1LN 03/03/2028                                                                   | CUSIP: 33937KAV6<br>LEI: FHBIRN3K4PSRU4ZOQQ49 | Long             | LON              | CORP              | US        |    1347694 | PA      | $1296037.13    | 0.01%             | 2028-03-03      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/30 #515294                                                                                  | CUSIP: 36211KNK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1268 | PA      | $1316.61       | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA                                                        | PETROLEOS DE VENEZUELA SA 6% 05/16/2024 144A                                                             | CUSIP: 716558AG6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    1847331 | PA      | $83129.90      | 0.00%             | 2024-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                              | INTESA SANPAOLO SPA 4.198%/VAR 06/01/2032 144A                                                           | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    2306000 | PA      | $1700826.50    | 0.01%             | 2032-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2015-70 JC 3% 10/45                                                                                  | CUSIP: 3136AQCV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     822460 | PA      | $778813.44     | 0.00%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.50% 11/41 #005232                                                                              | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1929668 | PA      | $1821107.30    | 0.01%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/39 #698480                                                                                  | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5587 | PA      | $5529.81       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C7                                  | MSBAM 13-C7 C VAR 2/46                                                                                   | CUSIP: 61690KAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175000 | PA      | $173363.02     | 0.00%             | 2046-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028                                                           | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     107960 | PA      | $2407.58       | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2011-C3                                        | JPMCC 2011-C3 E CSTR 2/46                                                                                | CUSIP: 46635TBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637000 | PA      | $275406.76     | 0.00%             | 2046-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 2/42 #AK1110                                                                                  | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35858 | PA      | $34635.50      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC                                                   | ALLIANT INSURANCE TERM B EXT 5/10/2025                                                                   | CUSIP: 01881UAE5<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |    1877564 | PA      | $1839712.15    | 0.01%             | 2025-05-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OPTION CARE HEALTH INC                                                           | OPTION CARE HEALTH INC 4.375% 10/31/2029 144A                                                            | CUSIP: 68404LAA0<br>LEI: 549300DI3Q5ACSYJRI17 | Long             | DBT              | CORP              | US        |    2320000 | PA      | $1975021.80    | 0.01%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                                      | GERMANY FEDERAL REPUBLIC OF 0% 02/15/2032 REGS                                                           | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    3370000 | PA      | $2945028.91    | 0.02%             | 2032-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/28 #484261                                                                                  | CUSIP: 36209W5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        665 | PA      | $693.13        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 07/01/2045#Q34979                                                                         | CUSIP: 3132QRQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27470 | PA      | $25061.59      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 12/40#V82128                                                                              | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248414 | PA      | $233715.39     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/41 #AH6645                                                                                  | CUSIP: 3138A8L38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4356 | PA      | $4328.46       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEC ENTERTAINMENT CO LLC                                                         | CEC ENTERTAINMENT INC                                                                                    | CUSIP: N/A<br>LEI: 549300MWTY75LB8TRO50       | Long             | EC               | CORP              | US        |      40185 | NS      | $779753.20     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| KENNEDY-WILSON INC                                                               | KENNEDY-WILSON INC 4.75% 02/01/2030                                                                      | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |    4175000 | PA      | $3308687.50    | 0.02%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE ENERGY CORP                                                           | CHESAPEAKE ENERGY CORP                                                                                   | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |      55352 | NS      | $5728932.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | ONEMAIN FINANCE CORP 3.875% 09/15/2028                                                                   | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    5190000 | PA      | $4117746.00    | 0.02%             | 2028-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                            | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  339566000 | PA      | $223304438.74  | 1.17%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PLAYA RESORTS HLDG B V                                                           | PLAYA HOTELS and RESORTS TERM B 1LN 11/22/2028                                                           | CUSIP: 72812NAG1<br>LEI: 5493005SPBUMPZZCIZ96 | Long             | LON              | CORP              | NL        |    1385000 | PA      | $1343020.65    | 0.01%             | 2028-11-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1                                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 D 3% 08/15/2049 144A                                     | CUSIP: 95000GAJ3<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     266000 | PA      | $159124.42     | 0.00%             | 2049-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/33 #728970                                                                                  | CUSIP: 31402G2B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26490 | PA      | $26191.51      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QATAR PETROLEUM                                                                  | QATAR PETROLEUM 1.375% 09/12/2026 144A                                                                   | CUSIP: 74730DAB9<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    2205000 | PA      | $1951336.80    | 0.01%             | 2026-09-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN RSC LTD                                                                | MDGH GMTN RSC LTD 2.875% 11/07/2029 144A                                                                 | CUSIP: 55276VAJ1<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |     740000 | PA      | $660357.50     | 0.00%             | 2029-11-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 8/40 #004771                                                                               | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5573 | PA      | $5539.00       | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                             | PINE STR TR II 5.568% 02/15/2049 144A                                                                    | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11300000 | PA      | $10122411.41   | 0.05%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                   | EXTENDED STAY AMER TR 2021-ESH C 1ML+170 07/15/2038 144A                                                 | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3101363 | PA      | $2945860.05    | 0.02%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 04/01/2025#                                                                               | CUSIP: 31356N2D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.57          | 0.00%             | 2025-04-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C3                                      | CGCMT 2016-C3 D 3% 11/15/2049 144A                                                                       | CUSIP: 17325GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     829000 | PA      | $518698.92     | 0.00%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/34 #755627                                                                                  | CUSIP: 31403RPL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19503 | PA      | $19290.36      | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AUTOZONE INC 4% 04/15/2030                                                                               | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   11145000 | PA      | $10421836.50   | 0.05%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILIAD SA                                                                         | ILIAD SA 1.5% 10/14/2024 REGS                                                                            | CUSIP: N/A<br>LEI: 969500FZ9BTRZS3JNB97       | Long             | DBT              | CORP              | FR        |     900000 | PA      | $890883.67     | 0.00%             | 2024-10-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC                                              | HILTON GRAND VACATIONS TERM B 1LN 08/02/2028                                                             | CUSIP: 43283LAH4<br>LEI: 254900HF0EZ734FDVY79 | Long             | LON              | CORP              | US        |    7582405 | PA      | $7501879.89    | 0.04%             | 2028-08-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 08/01/2027#                                                                               | CUSIP: 31283G6U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $126.85        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| OIL AND GAS HOLDING CO BSCC/THE                                                  | OIL AND GAS HOLDING CO BSCC/THE 7.625% 11/07/2024 144A                                                   | CUSIP: 67778M2C3<br>LEI: 549300OBH16L6TS6IW50 | Long             | DBT              | CORP              | BH        |    1750000 | PA      | $1766187.50    | 0.01%             | 2024-11-07      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 06/01/2041#                                                                               | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13458 | PA      | $13402.90      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 12/40 #734104                                                                                 | CUSIP: 3620AMRZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3692 | PA      | $3486.55       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CORPORATION                                                 | CALIFORNIA RES CORP                                                                                      | CUSIP: 13057Q305<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | EC               | CORP              | US        |      81331 | NS      | $3690800.78    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                  | FX Forward: EUR/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |          1 | NC      | $7827.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 3.125% 04/15/2031                                                                   | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     785000 | PA      | $580900.00     | 0.00%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 0.75% 03/31/2026                                                                               | CUSIP: 91282CBT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3010000 | PA      | $2706766.01    | 0.01%             | 2026-03-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-IMC D 1ML+185 04/15/2034 144A                                                              | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4529000 | PA      | $4225029.82    | 0.02%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 10/20/2051#MA7650                                                                             | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13082673 | PA      | $11871405.64   | 0.06%             | 2051-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/01/46#BC1443                                                                             | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     488894 | PA      | $477109.15     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCRIPPS (E.W.) CO                                                                | EW SCRIPPS TERM B 1LN 01/07/2028                                                                         | CUSIP: 26928BAM1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1069450 | PA      | $1037751.50    | 0.01%             | 2028-01-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GLATFELTER CORP                                                                  | GLATFELTER CORP 4.75% 11/15/2029 144A                                                                    | CUSIP: 377320AA4<br>LEI: 549300LDQLQBT38QDY28 | Long             | DBT              | CORP              | US        |     980000 | PA      | $639450.00     | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                                              | WHITBREAD GROUP PLC 2.375% 05/31/2027 REGS                                                               | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |    2210000 | PA      | $2246871.24    | 0.01%             | 2027-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | DEUTSCHE BANK AG 4.1% 01/13/2026                                                                         | CUSIP: 25152R2Y8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    3085000 | PA      | $2960064.50    | 0.02%             | 2026-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 3.125% 01/23/2023                                                                         | CUSIP: 61744YAN8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4718000 | PA      | $4708949.46    | 0.02%             | 2023-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 05/01/2048#Q55992                                                                           | CUSIP: 3132XYUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3703915 | PA      | $3580891.40    | 0.02%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.344% 7/35 #834917                                                                             | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2190 | PA      | $2233.81       | 0.00%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 11/01/2042#AQ4818                                                                         | CUSIP: 3138MLK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17344 | PA      | $16980.23      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | ROYAL BK SCOTLND GRP PLC(UNGTD) 3.622%/VAR 08/14/2030 REGS                                               | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    1055000 | PA      | $1165347.14    | 0.01%             | 2030-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 9/41 #AJ0165                                                                                  | CUSIP: 3138ARFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28535 | PA      | $27573.08      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2044#BF9583                                                                           | CUSIP: 3617GGUG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     304285 | PA      | $287249.41     | 0.00%             | 2044-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #453200                                                                                  | CUSIP: 36208KNR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        215 | PA      | $222.60        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                                                   | JOHN LEWIS PLC 6.125% 01/21/2025                                                                         | CUSIP: N/A<br>LEI: 213800JSUFNZLZLCVJ25       | Long             | DBT              | CORP              | GB        |    5576000 | PA      | $6448133.52    | 0.03%             | 2025-01-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2045#AZ0862                                                                         | CUSIP: 3138YR5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11561 | PA      | $10881.26      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/28 #464768                                                                                  | CUSIP: 36208YJM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $104.74        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/29 #516134                                                                                  | CUSIP: 31383XLP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $41.82         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 2.875% 03/25/2031                                                                            | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   24420000 | PA      | $20425818.40   | 0.11%             | 2031-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHG HEALTHCARE SERVICES INC                                                      | CHG HEALTHCARE TERM 1LN 09/30/2028                                                                       | CUSIP: N/A<br>LEI: 54930016Y1HPAVB9PZ54       | Long             | LON              | CORP              | US        |     736232 | PA      | $720851.78     | 0.00%             | 2028-09-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF 1ML+65 05/20/2061                                               | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       8445 | PA      | $8338.94       | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                                                          | VEOLIA ENVIRONNEMENT SA 2%/VAR PERP REGS                                                                 | CUSIP: N/A<br>LEI: 969500LENY69X51OOT31       | Long             | EP               | CORP              | FR        |    3500000 | PA      | $2977416.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL CRE SECURITIZATION 2020-VIII LTD                                   | PRIMA CAPITAL CRE SECURITIZATION 2020-VIII LTD 3% 12/01/2070 144A                                        | CUSIP: 74167UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1705000 | PA      | $1259637.29    | 0.01%             | 2070-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAST and CREW PAYROLL LLC                                                        | CAST and CREW TERM B 1LN 02/07/2026                                                                      | CUSIP: 14835JAN0<br>LEI: 549300XE7OZGFGN5F466 | Long             | LON              | CORP              | US        |    2349215 | PA      | $2309419.37    | 0.01%             | 2026-02-07      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRES                                                        | PROVINCIA DE BUENOS AIRES STEP 09/01/2037 144A                                                           | CUSIP: N/A<br>LEI: 549300L6AYROPOTQ4L07       | Long             | DBT              | NUSS              | AR        |     775000 | PA      | $247660.94     | 0.00%             | 2037-09-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 11/35 #850089                                                                                 | CUSIP: 31408FNE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15202 | PA      | $16195.03      | 0.00%             | 2035-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.571%/VAR 04/27/2033                                                        | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9319755.20    | 0.05%             | 2033-04-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 04/01/2033#                                                                                 | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7738 | PA      | $8004.56       | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                | DELL INTL/EMC CORP 6.1% 07/15/2027                                                                       | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5045000 | PA      | $5183477.43    | 0.03%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.5% 11/01/2052#CB5139                                                                         | CUSIP: 3140QQV93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18949603 | PA      | $19203696.76   | 0.10%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 4.75% 11/24/2025 144A                                                            | CUSIP: 83367TBR9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $380995.30     | 0.00%             | 2025-11-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.95% 09/01/2032                                                                                 | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   14675000 | PA      | $13890345.07   | 0.07%             | 2032-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO                                                                   | ORGANON TERM B 1LN 06/02/2028                                                                            | CUSIP: 68621XAE3<br>LEI: 549300AMCKY57OK2CO56 | Long             | LON              | CORP              | US        |    4432605 | PA      | $4383845.93    | 0.02%             | 2028-06-02      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 08/01/2045#AZ4663                                                                         | CUSIP: 3138YWFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107342 | PA      | $104150.91     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 06/20/2048#MA5264                                                                             | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     737716 | PA      | $712188.76     | 0.00%             | 2048-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 7/40 #729562                                                                                  | CUSIP: 3620AGQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10520 | PA      | $10624.19      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AT SECURITIES BV                                                                 | AT SECURITIES BV 5.25%/VAR PERP REGS                                                                     | CUSIP: N/A<br>LEI: 894500FVP65TB5QVZL54       | Long             | EP               | CORP              | NL        |    5250000 | PA      | $2908500.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                          | WESTERN GAS PARTNERS LP 3.95% 06/01/2025                                                                 | CUSIP: 958254AE4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    1764000 | PA      | $1689030.00    | 0.01%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 7/40 #719217                                                                                  | CUSIP: 3620A5AS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25193 | PA      | $25416.03      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 02/01/2041#                                                                               | CUSIP: 312945X52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12582 | PA      | $12521.69      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 07/01/2032#                                                                                 | CUSIP: 31288AFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4905 | PA      | $5055.15       | 0.00%             | 2032-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 7.75% 09/01/2024 144A                                                                 | CUSIP: 903724AP7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     955000 | PA      | $259521.25     | 0.00%             | 2024-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ALL-STAR BIDCO AB                                                                | ANTICIMEX TERM B 1LN 11/16/2028                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | SE        |     595500 | PA      | $577635.00     | 0.00%             | 2028-11-16      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 9.875% 01/15/2028                                                                     | CUSIP: 900123DF4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     570000 | PA      | $594681.00     | 0.00%             | 2028-01-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AK9948                                                                                  | CUSIP: 3138EFBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26379 | PA      | $25470.24      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 07/01/2043#Q19988                                                                         | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46238 | PA      | $45063.57      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.875% 12/01/2024                                                                                | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    4860000 | PA      | $4818063.55    | 0.03%             | 2024-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                        | MILLICOM INTL CELLULAR SA 4.5% 04/27/2031 144A                                                           | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |    4425000 | PA      | $3619096.88    | 0.02%             | 2031-04-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD/MAURITIUS                                                          | HTA GROUP LTD/MAURITIUS 7% 12/18/2025 144A                                                               | CUSIP: 40435WAB6<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |    1085000 | PA      | $998265.10     | 0.01%             | 2025-12-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                         | SERVICE PPTYS TR 7.5% 09/15/2025                                                                         | CUSIP: 81761LAA0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     285000 | PA      | $275737.50     | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/32 #593188                                                                                  | CUSIP: 36201T6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        440 | PA      | $463.39        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 5.00% 9/25 #AE0552                                                                             | CUSIP: 31419ATJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18905 | PA      | $18806.91      | 0.00%             | 2025-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 5/41 #748080                                                                                  | CUSIP: 3620C4CR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6152 | PA      | $5949.74       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                          | MNGT SWAP CY451600 12/16/72 B                                                                            | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    2950000 | NC      | $40357.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/28 #476127                                                                                 | CUSIP: 36209M4L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        416 | PA      | $430.55        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                  | ROLLS-ROYCE PLC 3.375% 06/18/2026                                                                        | CUSIP: N/A<br>LEI: X57JK1U580XATGR67572       | Long             | DBT              | CORP              | GB        |    3505000 | PA      | $3601302.07    | 0.02%             | 2026-06-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RADIATE HOLDCO LLC / RADIATE FIN INC                                             | RADIATE HOLDCO LLC / RADIATE FIN INC 4.5% 09/15/2026 144A                                                | CUSIP: 75026JAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3895000 | PA      | $3184941.50    | 0.02%             | 2026-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OSCAR ACQUISITIONCO LLC                                                          | OLDCASTLE BUILDINGENVELOPE TERM B 1LN 04/29/2029                                                         | CUSIP: 68778DAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3505000 | PA      | $3224600.00    | 0.02%             | 2029-04-29      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| IMPRIVATA INC                                                                    | IMPRIVATA TERM B 1LN 12/01/2027                                                                          | CUSIP: 45323KAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1576000 | PA      | $1493260.00    | 0.01%             | 2027-12-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 12/01/2051#RA6434                                                                         | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6594117 | PA      | $5660235.11    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GC10                                                         | GSMS13-GC10 D 4.415579% 2/46                                                                             | CUSIP: 36192CAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     334000 | PA      | $304717.62     | 0.00%             | 2046-02-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/25 #375087                                                                                  | CUSIP: 36204NUL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38 | PA      | $38.39         | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ICON LUXEMBOURG SARL                                                             | ICON TERM B 1LN 07/03/2028                                                                               | CUSIP: N/A<br>LEI: 635400PUWMHSPI2DDA35       | Long             | LON              | CORP              | LU        |    4609442 | PA      | $4583767.33    | 0.02%             | 2028-07-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 3/41 #A97661                                                                                  | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116659 | PA      | $116173.78     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 1/40 #724698                                                                                  | CUSIP: 3620ABDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23449 | PA      | $22683.59      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #773569                                                                                  | CUSIP: 31404NMS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12995 | PA      | $12845.15      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 4/23 #343197                                                                                  | CUSIP: 36203AGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.52          | 0.00%             | 2023-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 1/41 #004922                                                                               | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2998493 | PA      | $2903466.18    | 0.02%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-LC11                                      | JP MORGAN CH CMS 13-LC11 VAR 04/15/2046 144A                                                             | CUSIP: 46639YAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1014000 | PA      | $205233.60     | 0.00%             | 2046-04-15      | Variable      | 0.03%                 | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 4.50% 6/25 #G18356                                                                             | CUSIP: 3128MMME0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1844 | PA      | $1826.97       | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD WEC HOLDINGS INC                                                      | WESTINGHOUSE TERM 1LN 08/01/2025                                                                         | CUSIP: 11284EAP8<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    1830000 | PA      | $1815707.70    | 0.01%             | 2025-08-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2003-118 S -1ML+81 12/33                                                                             | CUSIP: 31393UNH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      99625 | PA      | $15401.53      | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/01/2040#                                                                               | CUSIP: 312941SD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23707 | PA      | $23591.15      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                                    | BRAND ENERGY TERM B 1LN 06/21/2024                                                                       | CUSIP: 10524MAN7<br>LEI: 549300B658W2BPDQMW42 | Long             | LON              | CORP              | US        |   11528865 | PA      | $10141250.62   | 0.05%             | 2024-06-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 4.80% 7/34 #849923                                                                              | CUSIP: 31408FG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15002 | PA      | $15298.05      | 0.00%             | 2034-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 11/01/2052#SD1862                                                                           | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3550723 | PA      | $3588842.85    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AUTOZONE INC 3.625% 04/15/2025                                                                           | CUSIP: 053332AY8<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    2398000 | PA      | $2332042.36    | 0.01%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GRAND CITY PROPERTIES SA                                                         | GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS                                                              | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | EP               | CORP              | LU        |    6000000 | PA      | $2747683.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 07/20/2043#MA1157                                                                           | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7068 | PA      | $6716.65       | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #415760                                                                                 | CUSIP: 36206MZZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        125 | PA      | $126.41        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/31 #560191                                                                                  | CUSIP: 36213PKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        295 | PA      | $309.32        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ILPT COML MTG TR 2022-LPF2                                                       | ILPT COML MTG TR 2022-LPF2 D TSFR1M+419.2 10/15/2039 144A                                                | CUSIP: 449652AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     630000 | PA      | $616212.07     | 0.00%             | 2039-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 5.125% 01/15/2045 144A                                                             | CUSIP: 455780BU9<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |    1660000 | PA      | $1577182.60    | 0.01%             | 2045-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #745237                                                                                  | CUSIP: 3620C04W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2292 | PA      | $2270.53       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/29 #511373                                                                                  | CUSIP: 31383SCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        599 | PA      | $628.80        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.0% 03/01/2045#AY9025                                                                              | CUSIP: 3138YPA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80004 | PA      | $78050.83      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3121 KO 0 3/36                                                                                       | CUSIP: 31396JG74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      17801 | PA      | $14596.47      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/42 #AK1385                                                                                  | CUSIP: 3138E5RF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25158 | PA      | $24311.40      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CABLE ONDA SA                                                                    | CABLE ONDA SA 4.5% 01/30/2030 144A                                                                       | CUSIP: 12686LAA7<br>LEI: 5299008Q5GONPYNF9J32 | Long             | DBT              | CORP              | PA        |    1750000 | PA      | $1465625.00    | 0.01%             | 2030-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 08/01/2047#BM1660                                                                           | CUSIP: 3140J5Z28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21032 | PA      | $20354.40      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VEON HOLDINGS BV                                                                 | VEON HOLDINGS BV 7.25% 04/26/2023 144A                                                                   | CUSIP: 36251BAB1<br>LEI: 5493000XDKGUH5NQGE22 | Long             | DBT              | CORP              | NL        |     625000 | PA      | $546875.00     | 0.00%             | 2023-04-26      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2015-H13 HA 2.5% 08/64                                                                               | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      12050 | PA      | $11311.66      | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/28 #413578                                                                                  | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        305 | PA      | $317.71        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                                 | DT MIDSTREAM INC 4.125% 06/15/2029 144A                                                                  | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1026481.50    | 0.01%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                     | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                                  | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4746161 | PA      | $3864324.60    | 0.02%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028                                                        | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8456000 | PA      | $7710630.74    | 0.04%             | 2028-12-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/26 #190273                                                                                  | CUSIP: 31368HJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.22         | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SEASPAN CORPORATION                                                              | SEASPAN CORPORATION 5.5% 08/01/2029 144A                                                                 | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |    3930000 | PA      | $3025549.80    | 0.02%             | 2029-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.75% 08/15/2032                                                                               | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  683541000 | PA      | $633129851.25  | 3.31%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2045#BA3565                                                                           | CUSIP: 3140E76B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148706 | PA      | $144145.32     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2038#AB8124                                                                         | CUSIP: 31417FA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10639 | PA      | $10514.02      | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                                                             | KAISER ALUMINUM CORP 4.625% 03/01/2028 144A                                                              | CUSIP: 483007AJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3124000 | PA      | $2747276.84    | 0.01%             | 2028-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/40 #737674                                                                                 | CUSIP: 3620ARQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7349 | PA      | $7409.25       | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 2/28 #411846                                                                                  | CUSIP: 31378XP75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        212 | PA      | $221.90        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #AH0526                                                                                 | CUSIP: 3138A1SQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17304 | PA      | $16728.60      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/41 #772063                                                                                  | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116245 | PA      | $112281.36     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                            | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                                   | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   46562000 | PA      | $44236369.65   | 0.23%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 10/39 #680489                                                                                 | CUSIP: 36295T7A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2396 | PA      | $2522.32       | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 4/41 #A97976                                                                                  | CUSIP: 3129462H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5771 | PA      | $5740.28       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/39 #704665                                                                                  | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22511 | PA      | $22692.24      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2022-C18                                                    | BBCMS MORTGAGE TRUST 2022-C18 VAR 12/15/2055                                                             | CUSIP: 054975AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     756000 | PA      | $758287.81     | 0.00%             | 2055-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SABERT CORPORATION                                                               | SABERT TERM B 1LN 12/10/2026                                                                             | CUSIP: 78516EAB8<br>LEI: 54930029JPYBTHDWT603 | Long             | LON              | CORP              | US        |    2870649 | PA      | $2834765.44    | 0.01%             | 2026-12-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| AASET 2018-1 TR                                                                  | AASET 2018-1A A 3.844% 1/38 144A                                                                         | CUSIP: 000367AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4751462 | PA      | $2877339.06    | 0.02%             | 2038-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                       | MATTEL INC 5.875% 12/15/2027 144A                                                                        | CUSIP: 577081BD3<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1540098.00    | 0.01%             | 2027-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 08/01/2026#                                                                               | CUSIP: 31292GQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $121.32        | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CSMC 2017-CHOP A                                                                 | CSMC 2017-CHOP F 1ML+435 07/15/2032 144A                                                                 | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     732000 | PA      | $657877.24     | 0.00%             | 2032-07-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 7/41 #772031                                                                                  | CUSIP: 36176PPQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1945 | PA      | $1878.47       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MATTRESS FIRM INC                                                                | MATTRESS FIRM TERM B 1LN 09/24/2028                                                                      | CUSIP: 57723CAR0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1316700 | PA      | $1111294.80    | 0.01%             | 2028-09-24      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/01/2039#AL7550                                                                         | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     638104 | PA      | $642891.76     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/28 #475895                                                                                  | CUSIP: 36209MUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1158 | PA      | $1206.06       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CUSHMAN and WAKEFIELD US BORROWER LLC                                            | CUSHMAN and WAKEFIELD US BORROWER LLC 6.75% 05/15/2028 144A                                              | CUSIP: 23166MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     175000 | PA      | $167140.86     | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/32 #579720                                                                                  | CUSIP: 36201DAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        390 | PA      | $410.64        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.376%/VAR 04/27/2028                                                        | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $19202676.00   | 0.10%             | 2028-04-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VIA OUTLETS                                                                      | VIA OUTLETS 1.75% 11/15/2028 REGS                                                                        | CUSIP: N/A<br>LEI: 2594009AT1MND8D7E216       | Long             | DBT              | CORP              | NL        |    1900000 | PA      | $1519871.01    | 0.01%             | 2028-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 2.6% 02/15/2033 144A                                                                        | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   29461000 | PA      | $22261047.13   | 0.12%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2048#G61821                                                                         | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3177440 | PA      | $3150354.90    | 0.02%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C9                                  | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C9 E CSTR 05/15/2046 144A                                   | CUSIP: 61762DAJ0<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     402000 | PA      | $356811.30     | 0.00%             | 2046-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/41 #AB3872                                                                                 | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492314 | PA      | $475877.84     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2047#BH3647                                                                         | CUSIP: 3140GSBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11481 | PA      | $11429.29      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/32 #648070                                                                                  | CUSIP: 31390J6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        841 | PA      | $894.59        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2010-H010 FA 1ML+33 5/60                                                                             | CUSIP: 38375BBV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     363933 | PA      | $359395.03     | 0.00%             | 2060-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 01/01/2034#767409                                                                         | CUSIP: 31404FR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28549 | PA      | $28244.78      | 0.00%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                               | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    1451000 | PA      | $1127852.72    | 0.01%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 2.252% 09/29/2032                                                                     | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     580000 | PA      | $437283.75     | 0.00%             | 2032-09-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 01/01/2041#                                                                                 | CUSIP: 3132GEHF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7644 | PA      | $7394.28       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                            | FX Forward: CAD/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1193.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| METALSA S A DE C V                                                               | METALSA S A DE C V 3.75% 05/04/2031 144A                                                                 | CUSIP: 59132VAB4<br>LEI: 549300F2FONGJR575V67 | Long             | DBT              | CORP              | MX        |     660000 | PA      | $502136.25     | 0.00%             | 2031-05-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/26 #313264                                                                                  | CUSIP: 31374F5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $42.27         | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 05/01/2041#                                                                               | CUSIP: 3132GD2M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14035 | PA      | $13976.35      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CALI MTG TR 2019-101C                                                            | CALI MTG TR 2019-101C CSTR 03/10/2039 144A                                                               | CUSIP: 129890AQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     976000 | PA      | $678495.88     | 0.00%             | 2039-03-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/32 #552576                                                                                  | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        863 | PA      | $903.38        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 3/41 #783267                                                                                  | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     222195 | PA      | $214758.12     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                                                      | HOLOGIC INC 4.625% 02/01/2028 144A                                                                       | CUSIP: 436440AM3<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |     252000 | PA      | $241259.76     | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP                             | COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP TSFR3M+170 07/24/2034 144A                          | CUSIP: 19737TAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17433000 | PA      | $16726946.07   | 0.09%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MOFT TR 2020-ABC                                                                 | MOFT TR 2020-ABC D CSTR 02/01/2042 144A                                                                  | CUSIP: 55317BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     263000 | PA      | $175119.65     | 0.00%             | 2042-02-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/37 #960225                                                                                 | CUSIP: 31414AHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10354 | PA      | $10906.96      | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 6.00% 1/23 #J06714                                                                             | CUSIP: 3128PJN78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $48.92         | 0.00%             | 2023-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 5.805% 05/01/2050                                                                              | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   23600000 | PA      | $22265516.76   | 0.12%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EAB GLOBAL INC                                                                   | EAB TERM B 1LN 08/16/2028                                                                                | CUSIP: 26835CAC3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     630238 | PA      | $606490.15     | 0.00%             | 2028-08-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 1/31 #781247                                                                                  | CUSIP: 36225BL48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        177 | PA      | $185.91        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/33 #615944                                                                                  | CUSIP: 36290SHV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19930 | PA      | $19952.93      | 0.00%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GATEWAY MERGER SUB 2021 INC                                                      | ARCHKEY TERM B 1LN 06/30/2028                                                                            | CUSIP: 03957NAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     641759 | PA      | $603253.27     | 0.00%             | 2028-06-30      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| CERIDIAN HCM HOLDING INC                                                         | CERIDIAN TERM B 1LN 04/30/2025                                                                           | CUSIP: 15677GAF1<br>LEI: 549300T64GVCHFJ8L449 | Long             | LON              | CORP              | US        |    2282007 | PA      | $2227330.50    | 0.01%             | 2025-04-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BRAEMAR HOTELS and RESORTS TRUST 2018-PRIME                                      | BRAEMAR HOTELS and RESORTS TRUST 2018-PRME E 1ML+240 06/15/2035 144A                                     | CUSIP: 10482TAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168000 | PA      | $153664.04     | 0.00%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 12/26 #323242                                                                                 | CUSIP: 31374TBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $220.57        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CELTIC RESOURCES HOLDINGS DAC                                                    | CELTIC RESOURCES HOLDINGS DAC 4.125% 10/09/2024 144A                                                     | CUSIP: 15119CAA7<br>LEI: 213800BMR8PHADXZAB66 | Long             | DBT              | CORP              | IE        |     650000 | PA      | $87750.00      | 0.00%             | 2024-10-09      | Fixed         | 0.04%                 | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 8/40 #G05937                                                                                  | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1989 | PA      | $1979.68       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVR PARTNERS LP / CVR NITROGEN FIN CORP                                          | CVR PARTNERS LP / CVR NITROGEN FIN CORP 6.125% 06/15/2028 144A                                           | CUSIP: 12663QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1470000 | PA      | $1327307.10    | 0.01%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BEACON ROOFING SUPPLY INC                                                        | BEACON ROOFING SUPPLY TERM B 1LN 05/19/2028                                                              | CUSIP: 07368RAF8<br>LEI: 549300HDXQWWCBOYXP31 | Long             | LON              | CORP              | US        |     992438 | PA      | $975943.19     | 0.01%             | 2028-05-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/29 #514305                                                                                  | CUSIP: 31383VKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $296.58        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MANCHESTER ACQUISITION SUB LLC                                                   | DRASLOVKA HOLDING TERM B 1LN 12/01/2026                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1595450 | PA      | $1360121.09    | 0.01%             | 2026-12-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/01/2035#310165                                                                         | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     858113 | PA      | $865881.55     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC                       | UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC 4.75% 04/15/2028 144A                         | CUSIP: 91327BAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6225000 | PA      | $5199182.25    | 0.03%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #745138                                                                                  | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42927 | PA      | $42510.49      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABG INTERMEDIATE HLDGS 2 LLC                                                     | AUTHENTIC BRANDS TERM B 1LN 09/27/2024                                                                   | CUSIP: 00076VAW0<br>LEI: 54930020NXD0RJB64985 | Long             | LON              | CORP              | US        |    2825000 | PA      | $2797936.50    | 0.01%             | 2024-09-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | ILLINOIS ST BUILD AMERICA BONDS-TAXABLE-SE                                                               | CUSIP: 452152FA4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6465000 | PA      | $6636554.59    | 0.03%             | 2035-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INSULET CORP                                                                     | INSULET TERM B 1LN 05/04/2028                                                                            | CUSIP: 45784QAB5<br>LEI: 549300TZTYD2PYN92D43 | Long             | LON              | CORP              | US        |    3912586 | PA      | $3841689.48    | 0.02%             | 2028-05-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                  | AASET 2019-2 B TR 4.458% 10/16/2039 144A                                                                 | CUSIP: 00038RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2087167 | PA      | $959142.56     | 0.01%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  3 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 7.875% PERP REGS                                                                 | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Long             | EP               | CORP              | FR        |     900000 | PA      | $886140.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 3.638% 03/15/2025 144A                                                                    | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    4736000 | PA      | $4522126.83    | 0.02%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                                 | MISYS LIMITED TERM B 1LN 06/13/2024                                                                      | CUSIP: 02034DAC1<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |    2149437 | PA      | $1940361.42    | 0.01%             | 2024-06-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L       | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A        | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15314566 | PA      | $12534466.78   | 0.07%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK OF AMER MERRILL LYNCH TR 2014-C17                              | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST CSTR VAR 08/15/2047                                   | CUSIP: 61763UBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32986424 | PA      | $335795.20     | 0.00%             | 2047-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                                  | DELTA AIR LINES SKYMILES TERM B 1LN 10/20/2027                                                           | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |    3020000 | PA      | $3060015.00    | 0.02%             | 2027-10-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AT2645                                                                           | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28412 | PA      | $26640.33      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 03/15/2043#AD2295                                                                         | CUSIP: 36180DRQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5199 | PA      | $4928.99       | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 02/01/2035#FM2518                                                                         | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1735800 | PA      | $1618959.57    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/41 #552552                                                                                 | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21591 | PA      | $20853.87      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/46#G60551                                                                                | CUSIP: 31335ATG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     237808 | PA      | $231915.78     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 02/01/2043#AR4132                                                                         | CUSIP: 3138W1SW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8151 | PA      | $7475.54       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK44                                                                  | BANK 2022-BNK44 CSTR 11/15/2032                                                                          | CUSIP: 06540KBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     819000 | PA      | $685946.32     | 0.00%             | 2032-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAP LTD                                                                 | PETRONAS CAP LTD 3.5% 04/21/2030 144A                                                                    | CUSIP: 716743AP4<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     335000 | PA      | $307633.85     | 0.00%             | 2030-04-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 8/36 #A51069                                                                                  | CUSIP: 3128KDFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1160 | PA      | $1175.31       | 0.00%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2046#BC6168                                                                         | CUSIP: 3140F12A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93360 | PA      | $87726.33      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                            | FX Forward: USD/GBP settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7084.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 3.83% 10/33 #879911                                                                             | CUSIP: 31409VR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20124 | PA      | $20405.08      | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/23 #348813                                                                                  | CUSIP: 36203GN66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.55          | 0.00%             | 2023-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 08/01/2040#V81886                                                                         | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393046 | PA      | $370281.77     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 02/01/2035#QN1578                                                                         | CUSIP: 3133G7XF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1678327 | PA      | $1564831.55    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 06/01/2041#Q01604                                                                         | CUSIP: 3132GEX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4490 | PA      | $4582.32       | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC TERM B 01/15/2026                                                                       | CUSIP: 64072UAH5<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |    1408497 | PA      | $1340269.66    | 0.01%             | 2026-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8% 04/01/2032#                                                                                 | CUSIP: 31283HRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $95.27         | 0.00%             | 2032-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PMHC II INC                                                                      | PMHC II INC 9% 02/15/2030 144A                                                                           | CUSIP: 69357VAA3<br>LEI: 549300GYZ1T3S8OPH343 | Long             | DBT              | CORP              | US        |    1545000 | PA      | $1158750.00    | 0.01%             | 2030-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| RUNNER BUYER INC                                                                 | RUGSUSA TERM B 1LN 10/20/2028                                                                            | CUSIP: 78158EAB1<br>LEI: 254900E5ZZEMZBPZV203 | Long             | LON              | CORP              | US        |     925350 | PA      | $647745.00     | 0.00%             | 2028-10-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049                                                          | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   21036000 | PA      | $21537222.04   | 0.11%             | 2049-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERSCEND HLDG CORP                                                               | COTIVITI TERM B 1LN 08/27/2025                                                                           | CUSIP: 92531HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4462045 | PA      | $4424608.58    | 0.02%             | 2025-08-27      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2412 FK 1ML+80 1/32                                                                                  | CUSIP: 31339DTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2000 | PA      | $2011.88       | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/28 #437762                                                                                  | CUSIP: 31380EJF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $46.28         | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BLACK KNIGHT INFOSERV LLC                                                        | BLACK KNIGHT INFOSERV LLC 3.625% 09/01/2028 144A                                                         | CUSIP: 092174AA9<br>LEI: 549300H5PS5C68DAUX66 | Long             | DBT              | CORP              | US        |    3125000 | PA      | $2808593.75    | 0.01%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 04/01/2048#Q55660                                                                         | CUSIP: 3132XYJE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321624 | PA      | $319057.83     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                            | BAUSCH HEALTH COS INC 11% 09/30/2028 144A                                                                | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    1690000 | PA      | $1297075.00    | 0.01%             | 2028-09-30      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| CREST 2004-1 LTD/CORP                                                            | CREST 2004-1A H1 3ML+369 1/40                                                                            | CUSIP: 22608WAS8<br>LEI: 549300MJZTHEPDTYM573 | Long             | ABS-CBDO         | CORP              | KY        |     211708 | PA      | $21.17         | 0.00%             | 2040-01-28      | Variable      | 0.06%                 | No            |                  3 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C34                                                 | WFCM 2016-C34 XA CSTR 05/49                                                                              | CUSIP: 95000DBG5<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |    9542726 | PA      | $423900.28     | 0.00%             | 2049-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 12/01/2034#FM0046                                                                           | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3934586 | PA      | $3746235.14    | 0.02%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRISTOL PARK CLO LTD 2016                                                        | BRISTOL PARK CLO LTD 2016 3ML+99 04/15/2029 144A                                                         | CUSIP: 11014PAJ4<br>LEI: 549300XRS6MFERKEPO61 | Long             | ABS-CBDO         | CORP              | KY        |   12770682 | PA      | $12564843.84   | 0.07%             | 2029-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 4.375% 04/15/2040                                                                       | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2795000 | PA      | $2431088.71    | 0.01%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOTUS GROUP LLC                                                                  | MOTUS TERM B 1LN 12/10/2028                                                                              | CUSIP: 62014TAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     606950 | PA      | $571291.69     | 0.00%             | 2028-12-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 11/28 #477527                                                                                 | CUSIP: 36209PPL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        186 | PA      | $192.34        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3244 SG -1ML+666 11/36                                                                               | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     146086 | PA      | $17570.13      | 0.00%             | 2036-11-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF DUBAI GOVERNMENT INTERNATIONAL BONDS                                  | EMIRATE OF DUBAI GOVT INTL BONDS 3.9% 09/09/2050 REGS                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | AE        |    1350000 | PA      | $940190.63     | 0.00%             | 2050-09-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 3/41 #004977                                                                               | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104836 | PA      | $101511.76     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZIGGO BOND CO                                                                    | ZIGGO BOND CO 5.125% 02/28/2030 144A                                                                     | CUSIP: 98953GAD7<br>LEI: 213800JYI4P7V5QDOG59 | Long             | DBT              | CORP              | NL        |    2330000 | PA      | $1890259.10    | 0.01%             | 2030-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONGRUEX GROUP LLC                                                               | CONGRUEX GROUP TERM B 1LN 05/03/2029                                                                     | CUSIP: 20729MAJ8<br>LEI: 254900DY0KADNJ4ZCJ32 | Long             | LON              | CORP              | US        |    1401488 | PA      | $1361194.73    | 0.01%             | 2029-05-03      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-XL C 1ML+130 10/15/2036 144A                                                               | CUSIP: 056054AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6706500 | PA      | $6522918.28    | 0.03%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT OF                                                            | BERMUDA GOVERNMENT OF 5% 07/15/2032 144A                                                                 | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     390000 | PA      | $375448.13     | 0.00%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 06/01/2042#G60195                                                                           | CUSIP: 31335AGC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30067 | PA      | $29089.65      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2045#AS6352                                                                           | CUSIP: 3138WGBW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269824 | PA      | $262055.17     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2011-C3                                                  | MORGAN STANLEY CAP I TR 2011-C3 C CSTR 07/15/2049 144A                                                   | CUSIP: 61760RAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79745 | PA      | $78433.48      | 0.00%             | 2049-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 11/35 #844435                                                                                 | CUSIP: 31407YEG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        291 | PA      | $305.52        | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                            | ARGENTINA REPUBLIC OF STEP 07/09/2035                                                                    | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    4793814 | PA      | $1162499.90    | 0.01%             | 2035-07-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                                                         | ENEL SPA 2.5%/VAR PERP REGS                                                                              | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | EP               | CORP              | IT        |    3760000 | PA      | $3824621.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 02/01/2052#FS0605                                                                         | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10689691 | PA      | $9189141.71    | 0.05%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 02/20/2044#MA1677                                                                           | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3953 | PA      | $3756.58       | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 8/41 #Q02763                                                                                  | CUSIP: 3132GGB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19353 | PA      | $19428.53      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 12/27 #387403                                                                                 | CUSIP: 36205DKQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        677 | PA      | $705.43        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 9/39 #A88585                                                                                  | CUSIP: 312935RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85949 | PA      | $85367.48      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | WI 2022-K150 A2 3.71% 11/32                                                                              | CUSIP: 3137H8U41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4500000 | PA      | $4240419.75    | 0.02%             | 2032-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                          | SAUDI ARABIA KINGDOM OF 4.625% 10/04/2047 144A                                                           | CUSIP: 80413TAF6<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     425000 | PA      | $375593.75     | 0.00%             | 2047-10-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 5.717%/VAR 09/14/2033                                                              | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   22300000 | PA      | $22060602.36   | 0.12%             | 2033-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC / AADVANTAGE LOYALTY IP LTD                                | AMERICAN AIRLINES INC / AADVANTAGE LOYALTY IP LTD 5.5% 04/20/2026 144A                                   | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2550000 | PA      | $2473036.41    | 0.01%             | 2026-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/39 #722964                                                                                  | CUSIP: 3620A9FD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3597 | PA      | $3628.00       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                     | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                             | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    3294000 | PA      | $2709892.57    | 0.01%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                                                                 | AMWINS TERM B 1LN 02/19/2028                                                                             | CUSIP: 03234TAW8<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |    2889806 | PA      | $2827414.65    | 0.01%             | 2028-02-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #441655                                                                                  | CUSIP: 36207TTL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        494 | PA      | $508.73        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 3.283 6/1/41                                                                                    | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4464 | PA      | $4521.07       | 0.00%             | 2041-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                             | TANGER PROPERTIES LP 3.125% 09/01/2026                                                                   | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    4970000 | PA      | $4486060.91    | 0.02%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RC BUYER INC                                                                     | ROUGH COUNTRY TERM B 1LN 07/28/2028                                                                      | CUSIP: 74934KAC5<br>LEI: 549300ULXHJ9CR0QDU59 | Long             | LON              | CORP              | US        |     730750 | PA      | $680328.25     | 0.00%             | 2028-07-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 12/01/2051#RA6496                                                                         | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3978923 | PA      | $3415414.38    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                        | ROGERS COMMUNICATIONS INC 3.8% 03/15/2032 144A                                                           | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    8681000 | PA      | $7685211.52    | 0.04%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #772372                                                                                  | CUSIP: 31404MCH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19110 | PA      | $18906.00      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                     | ENTEGRIS TERM B 1LN 07/06/2029                                                                           | CUSIP: 29362LAL8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | LON              | CORP              | US        |    4785000 | PA      | $4740451.65    | 0.02%             | 2029-07-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL HOTELS GROUP PLC NEW                                            | INTERCONTINENT HTL GRP PLC NEW 3.375% 10/08/2028 REGS                                                    | CUSIP: N/A<br>LEI: 2138007ZFQYRUSLU3J98       | Long             | DBT              | CORP              | GB        |    4260000 | PA      | $4463118.66    | 0.02%             | 2028-10-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #776737                                                                                  | CUSIP: 31404R4W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9128 | PA      | $9032.01       | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/41 #AJ5748                                                                                 | CUSIP: 3138AXL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18088 | PA      | $17473.20      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                         | MHC 2021 MHC G 1ML+286.9 04/15/2026 144A                                                                 | CUSIP: 55316VAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2520000 | PA      | $2310917.36    | 0.01%             | 2038-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | EXELON CORP 4.1% 03/15/2052 144A                                                                         | CUSIP: 30161NBF7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    2730000 | PA      | $2228043.20    | 0.01%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STERICYCLE INC                                                                   | STERICYCLE INC 5.375% 07/15/2024 144A                                                                    | CUSIP: 858912AF5<br>LEI: B8PTJH2P0AXSWSMP2136 | Long             | DBT              | CORP              | US        |    2455000 | PA      | $2426522.00    | 0.01%             | 2024-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/51#MA4468                                                                              | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4303003 | PA      | $3959619.28    | 0.02%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/27 #404971                                                                                 | CUSIP: 31378P2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $82.99         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 8/41 #005139                                                                               | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11667 | PA      | $11292.39      | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR4 TR                                                | PROGRESS RESIDENTIAL 2022-SFR4 TR 6.121% 05/17/2041 144A                                                 | CUSIP: 74332XAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     797000 | PA      | $692430.49     | 0.00%             | 2041-05-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CEDF 2016-6A                                                                     | CEDF 2016-6A ARR 3ML+105 04/20/2034 144A                                                                 | CUSIP: 15032DAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11637000 | PA      | $11201299.08   | 0.06%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 05/15/2034#781746                                                                         | CUSIP: 36225B5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100190 | PA      | $100296.82     | 0.00%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 04/01/2041#                                                                               | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39261 | PA      | $39101.07      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                       | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A 1ML+120 12/31/2049 144A                                | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8949000 | PA      | $8437297.07    | 0.04%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                             | PARAGUAY REPUBLIC OF 2.739% 01/29/2033 144A                                                              | CUSIP: 699149AK6<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     320000 | PA      | $253260.00     | 0.00%             | 2033-01-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 6/30 #546336                                                                                  | CUSIP: 31385J4V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        410 | PA      | $413.88        | 0.00%             | 2030-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                  | ESKOM HLDGS LTD 6.35% 08/10/2028 144A                                                                    | CUSIP: 29646AAC0<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |    1080000 | PA      | $1009800.00    | 0.01%             | 2028-08-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/23 #372834                                                                                 | CUSIP: 36204LEF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $4.58          | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF MONGOLIA                                                     | DEVELOPMENT BANK OF MONGOLIA 7.25% 10/23/2023 144A                                                       | CUSIP: 25161AAA7<br>LEI: 254900HRWK3OKXS9UW60 | Long             | DBT              | CORP              | MN        |     159000 | PA      | $138330.00     | 0.00%             | 2023-10-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 11/01/2052#CB5128                                                                           | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6247862 | PA      | $6309080.37    | 0.03%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CORPORATION                                                 | CALIFORNIA RES CORP WT 10/27/24                                                                          | CUSIP: 13057Q123<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | EC               | CORP              | US        |       3601 | NS      | $48073.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 01/01/2029#                                                                                 | CUSIP: 31293HR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        222 | PA      | $227.47        | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2014-3R                                                                 | CSMC SER 2014-3R VAR 05/27/2037                                                                          | CUSIP: 12648GAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      87210 | PA      | $8.72          | 0.00%             | 2037-05-27      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| MADISON PK FDG L LTD / MADISON PK FDG L LLC                                      | MADISON PK FDG L LTD / MADISON PK FDG L LLC 3ML+114 04/19/2034 144A                                      | CUSIP: 55821FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16420000 | PA      | $15981011.30   | 0.08%             | 2034-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2047#BH0886                                                                         | CUSIP: 3140GN6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36961 | PA      | $36643.46      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 6.54% 02/01/2039#                                                                              | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191320 | PA      | $195887.60     | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2042#AJ7531                                                                         | CUSIP: 3138E0LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100282 | PA      | $94186.08      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMER MERRILL LYNCH COML MTG TR 2017-BNK3                                 | BACM 2017-BNK3 C 01/50                                                                                   | CUSIP: 06427DAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347000 | PA      | $298528.13     | 0.00%             | 2050-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 8/42 #AO9892                                                                                  | CUSIP: 3138M17E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98199 | PA      | $92179.30      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                       | HESS MIDSTREAM PARTNERS LP 5.125% 06/15/2028 144A                                                        | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2915000 | PA      | $2744355.90    | 0.01%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/23 #354667                                                                                 | CUSIP: 36203N6C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         23 | PA      | $23.40         | 0.00%             | 2023-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TORY BURCH                                                                       | TORY BURCH TERM B 1LN 04/14/2028                                                                         | CUSIP: 89148GAF7<br>LEI: 549300GGL74W33KY2650 | Long             | LON              | CORP              | US        |    3565957 | PA      | $3308922.84    | 0.02%             | 2028-04-14      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #738885                                                                                 | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60835 | PA      | $58773.04      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 1999-17 PG 6% 4/29                                                                                   | CUSIP: 31359VSD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      29117 | PA      | $29511.96      | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 4.889% 3/33 #847126                                                                             | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        192 | PA      | $191.90        | 0.00%             | 2033-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PONTUS LTD                                                            | TRANSOCEAN PONTUS LTD 6.125% 08/01/2025 144A                                                             | CUSIP: 89382PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     425600 | PA      | $412832.00     | 0.00%             | 2025-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PACKAGING COORDINATORS MIDCO INC                                                 | PCI PHARMA TERM B 1LN 11/30/2027                                                                         | CUSIP: 69515EAH5<br>LEI: 549300SL20D7D39KSB12 | Long             | LON              | CORP              | US        |    1250950 | PA      | $1203513.98    | 0.01%             | 2027-11-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 9/41 #Q03090                                                                                  | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192334 | PA      | $193083.58     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 06/01/2043#Q19747                                                                         | CUSIP: 3132JBHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18570 | PA      | $18098.27      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                           | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                            | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9513968 | PA      | $7818483.35    | 0.04%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEGENDS HOSPITALITY HOLDING CO LLC / LEGENDS HOSPITALITY CO-ISSUER INC           | LEGENDS HOSPITALITY HOLDING CO LLC / LEGENDS HOSPITALITY CO-ISSUER INC 5% 02/01/2026 144A                | CUSIP: 52473NAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3875000 | PA      | $3390180.34    | 0.02%             | 2026-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                         | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63521 | PA      | $61867.87      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MTG ASSN HECM 1ML+ 09/20/2064                                                             | CUSIP: 38375UQK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4663672 | PA      | $4620402.38    | 0.02%             | 2064-09-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 2/37 #908771                                                                                  | CUSIP: 31411HT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1584 | PA      | $1694.80       | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 3/29 #323688                                                                                  | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        720 | PA      | $743.56        | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.705/VAR 04/24/2028                                                         | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   11813000 | PA      | $11003850.49   | 0.06%             | 2028-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 06/01/2051#FM7507                                                                         | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15990477 | PA      | $13808301.68   | 0.07%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING 2015                                                        | MADISON PARK FUNDING 2015-19A A1R2 3ML+92 01/22/2028 144A                                                | CUSIP: 55819QAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9031480 | PA      | $8911894.62    | 0.05%             | 2028-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/25 #250329                                                                                  | CUSIP: 31371FA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $16.82         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 05/15/2036#652573                                                                         | CUSIP: 36292L6J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1050 | PA      | $1053.02       | 0.00%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIEMAE 30YR 3.5% 07/47#BM3041                                                                         | CUSIP: 3140J7LX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127945 | PA      | $120303.43     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP                                                                | SITE CENTERS CORP 4.25% 02/01/2026                                                                       | CUSIP: 23317HAE2<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |   10537000 | PA      | $10018158.01   | 0.05%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORE 2019 CORE MTG TR                                                            | CORE 2019 CORE MTG TR 1ML+190 12/15/2031 144A                                                            | CUSIP: 21871FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     655200 | PA      | $594586.73     | 0.00%             | 2031-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2044#Q25265                                                                         | CUSIP: 3132M5QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61790 | PA      | $61857.39      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                                 | GALAXY PIPELINE ASSETS BIDCO LTD 2.16% 03/31/2034 144A                                                   | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     499316 | PA      | $420674.07     | 0.00%             | 2034-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 3/26 #339830                                                                                  | CUSIP: 31375NPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2305 | PA      | $2354.49       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/28 #480476                                                                                  | CUSIP: 36209SXD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        263 | PA      | $273.91        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2018-HCLV MTG TR                                                            | COMM MORTGAGE TRUST 2018-HCLV G 1ML+505 069/15/2033                                                      | CUSIP: 20048KAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $244702.56     | 0.00%             | 2033-09-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2017-C7                                                   | JPMDB COML MTG SECS TR 2017-C7 D 3% 10/15/50 144A                                                        | CUSIP: 46648KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1388000 | PA      | $994516.44     | 0.01%             | 2050-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                        | CAESARS ENTERTAINMENT INC                                                                                | CUSIP: 12769G100<br>LEI: 5299000BKFWWVND5L441 | Long             | EC               | CORP              | US        |      49200 | NS      | $2499852.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                                            | LCH OIS SOFRV2.75% MAC 12/21/27                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |   14268000 | NC      | $-117690.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KAZMUAIGAZ NATIONAL CO JSC                                                       | KAZMUNAYGAS NATIONAL CO JSC 5.75% 04/19/2047 144A                                                        | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     250000 | PA      | $187718.75     | 0.00%             | 2047-04-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/41 #783501                                                                                  | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     343590 | PA      | $346500.07     | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS-BAMLL TR 2012-WRM                                                            | UBSBM 2012-WRM D CSTR 6/30                                                                               | CUSIP: 90269PAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201000 | PA      | $180879.42     | 0.00%             | 2030-06-10      | Variable      | 0.04%                 | No            |                  3 | On Loan: No      |
| BENCHMARK 2022-B36 MTG TR                                                        | BENCHMARK 2022-B36 MTG TR 2.5% 07/15/2055 144A                                                           | CUSIP: 08163QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     712000 | PA      | $389079.45     | 0.00%             | 2055-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                    | CARNIVAL CORP 6.65% 01/15/2028                                                                           | CUSIP: 143658AH5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     225000 | PA      | $149062.50     | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK OF AMER MERRILL LYNCH TR 2013-C12                              | MORGAN STANLEY BNK AML TR13-C12 4.94% 10/15/2046                                                         | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     713000 | PA      | $637434.19     | 0.00%             | 2046-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PARK PL SECS INC                                                                 | PPSI 2005-WCH1 M4 1ML+83 1/36                                                                            | CUSIP: 70069FFL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     171273 | PA      | $166841.63     | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EOS US FINCO LLC                                                                 | ETC GROUP TERM 1LN 10/06/2029                                                                            | CUSIP: 26877MAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1205000 | PA      | $1159812.50    | 0.01%             | 2029-10-06      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 8/35 #830779                                                                                  | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2810 | PA      | $3001.44       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/47#BM1277                                                                                | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1436653 | PA      | $1392144.73    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2048#Q54192                                                                           | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90576 | PA      | $87595.72      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                              | AVANTOR FUNDING INC 3.875% 11/01/2029 144A                                                               | CUSIP: 05352TAB5<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    2915000 | PA      | $2499612.50    | 0.01%             | 2029-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/28 #458859                                                                                  | CUSIP: 36208RWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        313 | PA      | $321.16        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2046#AR3124                                                                           | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42537 | PA      | $39982.25      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN RSC LTD                                                                | MDGH GMTN RSC LTD 5.5% 04/28/2033 144A                                                                   | CUSIP: 55285GAB0<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |     510000 | PA      | $534862.50     | 0.00%             | 2033-04-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 5.00% 7/23 #909204                                                                             | CUSIP: 31411JDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        484 | PA      | $482.31        | 0.00%             | 2023-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                                                   | BANK 2017-BNK8 D 2.6% 11/15/2050                                                                         | CUSIP: 06650AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     960000 | PA      | $646186.08     | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 7/33 #594354                                                                                  | CUSIP: 36201VH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        853 | PA      | $874.36        | 0.00%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 03/01/2041#AH7495                                                                         | CUSIP: 3138A9KH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14466 | PA      | $13974.20      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2046#BM4548                                                                         | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1071913 | PA      | $1065954.61    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.75% 01/31/2029                                                                               | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  146464000 | PA      | $130055455.00  | 0.68%             | 2029-01-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                   | DEUTSCHE BANK AG NEW YORK BNCH 5.882/VAR 07/08/2031                                                      | CUSIP: 25160PAE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $3577852.28    | 0.02%             | 2031-07-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                        | BENCHMARK 2019-B14 MTG TR VAR 12/15/2062 144A                                                            | CUSIP: 08162YBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399000 | PA      | $330820.88     | 0.00%             | 2062-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 07/01/2042#AB5542                                                                         | CUSIP: 31417CEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121237 | PA      | $110046.22     | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS INC                                                  | CONSOLIDATED COMMUNICATIONS INC 5% 10/01/2028 144A                                                       | CUSIP: 20903XAH6<br>LEI: 549300WW675Y48HDVX34 | Long             | DBT              | CORP              | US        |     690000 | PA      | $521161.18     | 0.00%             | 2028-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 04/01/2025#                                                                               | CUSIP: 31356N5T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $51.26         | 0.00%             | 2025-04-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| PACTIV EVERGREEN GROUP HOLDINGS INC                                              | PACTIV EVERGREEN TERM B 1LN 02/05/2026                                                                   | CUSIP: 76173FAW7<br>LEI: 5493002QNV81KCX40V06 | Long             | LON              | CORP              | US        |     994937 | PA      | $979475.39     | 0.01%             | 2026-02-05      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ALPHA BANK SA                                                                    | ALPHA BANK SA 4.25%/VAR 02/13/2030 REGS                                                                  | CUSIP: N/A<br>LEI: 5299009N55YRQC69CN08       | Long             | DBT              | CORP              | GR        |    1750000 | PA      | $1479279.89    | 0.01%             | 2030-02-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 9/39 #710839                                                                                  | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60633 | PA      | $60013.07      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                              | JAZZ SECURITIES DAC 4.375% 01/15/2029 144A                                                               | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |    3880000 | PA      | $3521177.60    | 0.02%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/35 #781905                                                                                  | CUSIP: 36241KDJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12995 | PA      | $13019.93      | 0.00%             | 2035-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                        | FNS 351 12 5.5% 4/34                                                                                     | CUSIP: 3136FCJB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       9921 | PA      | $1716.79       | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                              | NOVA CHEMICALS CORP 4.25% 05/15/2029 144A                                                                | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    1435000 | PA      | $1196431.25    | 0.01%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VM CONSOLIDATED INC                                                              | VERRA MOBILITY TERM B 1LN 03/27/2028                                                                     | CUSIP: 00215NAK6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2121024 | PA      | $2102995.68    | 0.01%             | 2028-03-27      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/41 #AH6783                                                                                  | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5617 | PA      | $5430.39       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/31 #520104                                                                                  | CUSIP: 36211QX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        682 | PA      | $714.47        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 05/01/2034#C91764                                                                         | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209672 | PA      | $202766.38     | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 5.75% 11/20/2025                                                                           | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   10400000 | PA      | $10261331.08   | 0.05%             | 2025-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2047#AX5831                                                                           | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48022 | PA      | $46309.61      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 12/01/2045#Q37730                                                                           | CUSIP: 3132QUSU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40399 | PA      | $39196.29      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                           | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+266.7 11/15/2038 144A                                         | CUSIP: 26863LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1326000 | PA      | $1201402.94    | 0.01%             | 2038-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                           | OCP SA 4.5% 10/22/2025 144A                                                                              | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     165000 | PA      | $161218.20     | 0.00%             | 2025-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 5/34 #A23124                                                                                  | CUSIP: 31297APH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        538 | PA      | $544.13        | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/28 #755971                                                                                 | CUSIP: 31403R2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        208 | PA      | $214.71        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    1890000 | NC      | $25856.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC                                                          | WINDSTREAM SERVICES TERM B-EXIT 1LN 09/21/2027                                                           | CUSIP: 97381JAE3<br>LEI: 549300L3SXBFJVGRCF66 | Long             | LON              | CORP              | US        |    2466115 | PA      | $2249097.23    | 0.01%             | 2027-09-21      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| CLARIVATE SCIENCE HLDGS CORP                                                     | CLARIVATE SCIENCE HLDGS CORP 4.875% 07/01/2029 144A                                                      | CUSIP: 18064PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     705000 | PA      | $603656.25     | 0.00%             | 2029-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | CARVANA CO 10.25% 05/01/2030 144A                                                                        | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     240000 | PA      | $102000.00     | 0.00%             | 2030-05-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #466842                                                                                  | CUSIP: 36209BS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        126 | PA      | $130.57        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 04/01/2044#AV7161                                                                         | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43313 | PA      | $42119.98      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/39 #692706                                                                                  | CUSIP: 36296JR31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36677 | PA      | $36284.77      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/28 #436199                                                                                  | CUSIP: 36207MRU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         63 | PA      | $65.18         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC           | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A            | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1623876.80    | 0.01%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3832 PE 5% 3/41                                                                                      | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     440985 | PA      | $443196.47     | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 3/28 #251570                                                                                  | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        636 | PA      | $664.55        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 10/35 #835556                                                                                 | CUSIP: 31407NH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5119 | PA      | $5468.11       | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 4/42 #C03856                                                                                  | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     489280 | PA      | $473386.86     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AH2365                                                                                  | CUSIP: 3138A3TX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8244 | PA      | $7965.86       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 5.5% 01/15/2026 144A                                                         | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    7243000 | PA      | $6860601.90    | 0.04%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 11/01/2042#890500                                                                         | CUSIP: 31410LKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14059 | PA      | $13586.02      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 09/01/2034#CA4232                                                                           | CUSIP: 3140QBV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     908827 | PA      | $865037.16     | 0.00%             | 2034-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/35 #843693                                                                                 | CUSIP: 31407XKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4145 | PA      | $4340.05       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 3/41 #AH8776                                                                                  | CUSIP: 3138AAXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1367 | PA      | $1353.77       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Arc Falcon I Inc                                                                 | ARCLIN TERM B 1LN 09/30/2028                                                                             | CUSIP: 03880YAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2733400 | PA      | $2439067.55    | 0.01%             | 2028-09-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| B2W DIGITAL LUX SARL                                                             | B2W DIGITAL LUX SARL 4.375% 12/20/2030 144A                                                              | CUSIP: 05609AAA9<br>LEI: 222100KMO43GQ28M6N31 | Long             | DBT              | CORP              | LU        |    1200000 | PA      | $740700.00     | 0.00%             | 2030-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 3.75% 02/15/2051 144A                                                                       | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10333000 | PA      | $7292083.66    | 0.04%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/32 #781584                                                                                  | CUSIP: 36225BXM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        261 | PA      | $273.14        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 12/01/2040#MA4204                                                                           | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18782 | PA      | $16113.41      | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS LLC                                                     | FOCUS FINANCIAL TERM B 1LN 06/24/2028                                                                    | CUSIP: 34416DAU2<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |     740973 | PA      | $717951.01     | 0.00%             | 2028-06-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                       | CORPORATE OFFICE PPTYS LP 2.25% 03/15/2026                                                               | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    3379000 | PA      | $2967755.66    | 0.02%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/29 #252646                                                                                  | CUSIP: 31371HTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $96.82         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #932848                                                                                 | CUSIP: 31412RL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7034 | PA      | $6801.03       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NISOURCE INC 5.8% 02/01/2042                                                                             | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2182863.39    | 0.01%             | 2042-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 3/41 #738119                                                                                  | CUSIP: 3620ASAU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12977 | PA      | $13096.45      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEDCO OAK TREE PTE LTD                                                           | MEDCO OAK TREE PTE LTD 7.375% 05/14/2026 144A                                                            | CUSIP: 58405FAA3<br>LEI: 254900AU06KP3JTGZL51 | Long             | DBT              | CORP              | SG        |     405000 | PA      | $384264.00     | 0.00%             | 2026-05-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RING CONTAINER TECHNOLOGIES GROUP LLC                                            | RING CONTAINER TERM B 1LN 08/12/2028                                                                     | CUSIP: 76680YAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1101675 | PA      | $1083497.36    | 0.01%             | 2028-08-12      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 10/01/2051#RA6010                                                                         | CUSIP: 3133KMVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4474419 | PA      | $4141475.25    | 0.02%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COSTA RICA REPUBLIC OF                                                           | COSTA RICA REPUBLIC OF 6.125% 02/19/2031 144A                                                            | CUSIP: 221597CP0<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     300000 | PA      | $290250.00     | 0.00%             | 2031-02-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATIONAL STORAGE AFFILIATES TRUST                                                | NATIONAL STORAGE AFFILIATES SER A 6% PFD PERP                                                            | CUSIP: 637870205<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       6925 | NS      | $158340.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/20/2043#MA1521                                                                           | CUSIP: 36179NVN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41745 | PA      | $39668.38      | 0.00%             | 2043-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                         | ELANCO ANIMAL HEALTH TERM B 1LN 08/01/2027                                                               | CUSIP: 28414BAF3<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |    4941818 | PA      | $4775822.18    | 0.02%             | 2027-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 3.75% 01/11/2028                                                            | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     820000 | PA      | $785150.00     | 0.00%             | 2028-01-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETCO HEALTH AND WELLNESS CO INC                                                 | PETCO TERM B 1LN 03/04/2028                                                                              | CUSIP: 71601HAB2<br>LEI: 2549007TYGV6RVSE9M61 | Long             | LON              | CORP              | US        |    1108125 | PA      | $1072576.35    | 0.01%             | 2028-03-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 4.75% 04/15/2058                                                          | CUSIP: 035240AP5<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   10214000 | PA      | $9334981.73    | 0.05%             | 2058-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/33 #693335                                                                                  | CUSIP: 31400PHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1435 | PA      | $1533.97       | 0.00%             | 2033-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FIRSTENERGY CORP 7.375% 11/15/2031                                                                       | CUSIP: 337932AC1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   13527000 | PA      | $15231554.18   | 0.08%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                         | QATAR ST 4.817% 03/14/2049 144A                                                                          | CUSIP: 74727PBB6<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     975000 | PA      | $940875.00     | 0.00%             | 2049-03-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 05/01/2045#G61807                                                                           | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2519210 | PA      | $2438011.93    | 0.01%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 05/20/2042#MA0087                                                                           | CUSIP: 36179MCY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15056 | PA      | $13831.79      | 0.00%             | 2042-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 02/35#BO9279                                                                              | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     771912 | PA      | $719953.01     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 12/23 #780657                                                                                 | CUSIP: 36225AWS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         74 | PA      | $73.92         | 0.00%             | 2023-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 7/32 #545759                                                                                  | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41352 | PA      | $43317.34      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2052#RA6987                                                                         | CUSIP: 3133KNXQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3072833 | PA      | $2833379.73    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2022-C16                                                            | BBCMS MTG TR 2022-C16 4.512% 06/15/2055                                                                  | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1108000 | PA      | $1064740.25    | 0.01%             | 2055-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#QD3432                                                                           | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     514906 | PA      | $424856.70     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP 4.375% 05/15/2025                                                                     | CUSIP: 925650AA1<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1727000 | PA      | $1662080.14    | 0.01%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STWD TR 2021-LIH                                                                 | STWD TR 2021-LIH 1ML+420 11/15/2036 144A                                                                 | CUSIP: 78486EAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     294000 | PA      | $268865.35     | 0.00%             | 2036-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 3.75% 05/15/2030                                                                      | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   24728000 | PA      | $21918592.82   | 0.11%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2020-2PAC                                               | NATIXIS COML MTG SECS TR 2020-2PAC AMZ2 3.5% 01/15/2025 144A                                             | CUSIP: 63875DAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399000 | PA      | $346796.76     | 0.00%             | 2037-01-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2947 XZ 6% 3/35                                                                                      | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     195661 | PA      | $202601.64     | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | ONEMAIN FINANCE CORP 3.5% 01/15/2027                                                                     | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    2320000 | PA      | $1899928.06    | 0.01%             | 2027-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENDEAVOUR MINING PLC                                                             | ENDEAVOUR MINING PLC 5% 10/14/2026 144A                                                                  | CUSIP: 29261HAA3<br>LEI: 529900NI5MXQ91GHXR07 | Long             | DBT              | CORP              | GB        |     485000 | PA      | $397790.94     | 0.00%             | 2026-10-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/30 #567034                                                                                  | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15029 | PA      | $15640.54      | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 10/39 #AC0435                                                                                 | CUSIP: 31417JPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18053 | PA      | $17949.86      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TABERNA PFD FDG VI LTD / INC                                                     | TBRNA 2006-6A F1 3ML+450 12/36                                                                           | CUSIP: 87331AAL8<br>LEI: BUHFNQJBNOAUZ24NY591 | Long             | ABS-CBDO         | CORP              | KY        |     401394 | PA      | $30.10         | 0.00%             | 2036-12-05      | Variable      | 0.09%                 | No            |                  3 | On Loan: No      |
| PLAYPOWER INC                                                                    | PLAYPOWER TERM B 1LN 05/10/2026                                                                          | CUSIP: 72813NAU9<br>LEI: 549300SUBBD4NQQD2G45 | Long             | LON              | CORP              | US        |     448029 | PA      | $341621.82     | 0.00%             | 2026-05-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 12/01/2032#SB0030                                                                           | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1958806 | PA      | $1877891.60    | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                          | CORPORACION NACIONAL DEL COBRE DE CHILE 3.7% 01/30/2050 144A                                             | CUSIP: 21987BBA5<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    1195000 | PA      | $877130.00     | 0.00%             | 2050-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/28 #483639                                                                                  | CUSIP: 36209WHQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133 | PA      | $135.65        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER NEX US INC                                                               | CHARTER NEXT TERM 1LN 12/01/2027                                                                         | CUSIP: 16125TAJ1<br>LEI: 549300KRNU8RNVGYXG75 | Long             | LON              | CORP              | US        |    2065719 | PA      | $2009882.23    | 0.01%             | 2027-12-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3119 PO 0 2/36                                                                                       | CUSIP: 31396HSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     114945 | PA      | $92340.86      | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MEDCO PLATINUM ROAD PTE LTD                                                      | MEDCO PLATINUM ROAD PTE LTD 6.75% 01/30/2025 144A                                                        | CUSIP: 58406HAA8<br>LEI: 254900CW3HTAEZITE455 | Long             | DBT              | CORP              | SG        |     700000 | PA      | $678912.50     | 0.00%             | 2025-01-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #735366                                                                                  | CUSIP: 3620AN6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9923 | PA      | $9815.89       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2041#AH4493                                                                         | CUSIP: 3138A57F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54831 | PA      | $54539.04      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                          | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                                 | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    2108000 | PA      | $1949900.00    | 0.01%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.65% 7/37 #942609                                                                              | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9929 | PA      | $10096.10      | 0.00%             | 2037-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 9/42 #AL2537                                                                                  | CUSIP: 3138EJZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196390 | PA      | $184196.73     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONNECTWISE LLC                                                                  | CONNECTWISE TERM B 1LN 09/30/2028                                                                        | CUSIP: 20786NAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2367112 | PA      | $2268877.33    | 0.01%             | 2028-09-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 03/01/2045#AY5510                                                                         | CUSIP: 3138YKDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303425 | PA      | $294688.17     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SFO COMMERICAL MORTGAGE TRUST 2021                                               | SFO COMMERICAL MORTGAGE TRUST 2021-555 F 1ML+365 05/15/2038 144A                                         | CUSIP: 78432WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     539000 | PA      | $459987.07     | 0.00%             | 2038-05-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| JORDAN KINGDOM OF                                                                | JORDAN KINGDOM OF 7.375% 10/10/2047 144A                                                                 | CUSIP: 418097AJ0<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |     155000 | PA      | $129425.00     | 0.00%             | 2047-10-10      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 07/01/2045#Q34759                                                                         | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91539 | PA      | $83512.40      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 1/28 #459649                                                                                  | CUSIP: 36208STE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        457 | PA      | $477.11        | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2011-H17 FA 1ML+53 6/61                                                                              | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     362156 | PA      | $359143.57     | 0.00%             | 2061-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 10/39 #G08368                                                                                 | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11097 | PA      | $11038.77      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 05/01/2043#Q18481                                                                         | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71200 | PA      | $69391.67      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 10/01/2031#AS8010                                                                         | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1730864 | PA      | $1637074.16    | 0.01%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                      | APACHE CORP 4.25% 01/15/2030                                                                             | CUSIP: 037411BF1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     555000 | PA      | $498756.30     | 0.00%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORELOGIC INC                                                                    | CORELOGIC TERM B 1LN 06/02/2028                                                                          | CUSIP: 21870FBA6<br>LEI: 54930086CD8K2UIL0516 | Long             | LON              | CORP              | US        |    5685331 | PA      | $4676184.42    | 0.02%             | 2028-06-02      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 6.29% 3/36 #1G1852                                                                              | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15299 | PA      | $15205.67      | 0.00%             | 2036-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                             | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   19749000 | PA      | $18344768.09   | 0.10%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 2/44 #AG9361                                                                                  | CUSIP: 36182EMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75485 | PA      | $71513.73      | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PAC PPTYS LP 4.65% 04/01/2029                                                                     | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |   15534000 | PA      | $13527261.18   | 0.07%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HORIZON THERAPEUTICS USA INC                                                     | HORIZON THERAPEUTICS TERM B 1LN 03/15/2028                                                               | CUSIP: 44055UAD7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1408550 | PA      | $1392703.81    | 0.01%             | 2028-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGOLA REPUBLIC                                                                  | ANGOLA REPUBLIC 8.75% 04/14/2032 144A                                                                    | CUSIP: 035198AF7<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     430000 | PA      | $384312.50     | 0.00%             | 2032-04-14      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 3.875% 09/10/2024                                                                  | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   12990000 | PA      | $12766954.04   | 0.07%             | 2024-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/42 #AJ8222                                                                                  | CUSIP: 3138E1D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7686 | PA      | $7421.58       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2034#799632                                                                         | CUSIP: 31405ULM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9653 | PA      | $9554.78       | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRF SA                                                                           | BRF SA 4.875% 01/24/2030 144A                                                                            | CUSIP: 10552TAG2<br>LEI: 254900MTXR9LUVQFU480 | Long             | DBT              | CORP              | BR        |     575000 | PA      | $476119.58     | 0.00%             | 2030-01-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                                              | CUSIP: 3136AA4A0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     925691 | PA      | $842995.77     | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #469552                                                                                  | CUSIP: 36209ETH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        500 | PA      | $512.39        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019 1ML+265 10/15/2036 144A                                                                    | CUSIP: 056054AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4038350 | PA      | $3810276.50    | 0.02%             | 2036-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AMYNTA AGENCY BORROWER INC                                                       | AMYNTA TERM B 1LN 02/28/2025                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     815000 | PA      | $774250.00     | 0.00%             | 2025-02-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/29 #252805                                                                                 | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        232 | PA      | $241.79        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF UZBEKISTAN                                                      | NATIONAL BANK OF UZBEKISTAN 4.85% 10/21/2025 REGS                                                        | CUSIP: N/A<br>LEI: 253400TZJ7T1YULTGN68       | Long             | DBT              | NUSS              | UZ        |     525000 | PA      | $468989.06     | 0.00%             | 2025-10-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAMB COMMERCIAL MORTGAGE TRUST 2021-CX2                                          | CAMB COMMERCIAL MORTGAGE TRUST 2021-CX2 2.7712% 11/10/2046 144A                                          | CUSIP: 12477BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     294000 | PA      | $201803.13     | 0.00%             | 2046-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 6.5% 11/31 #003161                                                                               | CUSIP: 36202DQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1135 | PA      | $1184.84       | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#738412                                                                         | CUSIP: 31402UKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11944 | PA      | $11817.23      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                                    | LONG GILT FUTURE MAR23 G H3                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       -125 | NC      | $132675.53     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/25 #245463                                                                                  | CUSIP: 36219CTU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $114.60        | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.95% 01/28/2060                                                                     | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   16303000 | PA      | $10275780.90   | 0.05%             | 2060-01-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS AMER 2019-1 TR                                                     | HOME PARTNERS AMER 2019-1 TR 3.604% 09/17/2039 144A                                                      | CUSIP: 43731QAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     322977 | PA      | $275445.05     | 0.00%             | 2039-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 11/32 #781548                                                                                 | CUSIP: 36225BWH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        345 | PA      | $360.08        | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2020-C7                                                             | BBCMS MTG TR 2020-C7 CSTR 04/15/2053 144A                                                                | CUSIP: 05492VAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $138721.38     | 0.00%             | 2053-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/40 #737311                                                                                  | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34748 | PA      | $35073.33      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORBES ENERGY SVCS LTD                                                           | FORBES ENERGY SVCS LTD NEW                                                                               | CUSIP: 345143200<br>LEI: 5493000KNGZL65YWY755 | Long             | EC               | CORP              | US        |      55600 | NS      | $0.56          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2041#890489                                                                         | CUSIP: 31410LKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8136 | PA      | $8091.87       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 5/41 #Q00753                                                                                  | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34791 | PA      | $34649.68      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2020-SFR1 TR                                                | PROGRESS RESIDENTIAL 2020-SFR1 TR 5.268% 04/17/2037 144A                                                 | CUSIP: 74331CAH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     105000 | PA      | $95846.88      | 0.00%             | 2037-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 07/01/2051#QC3699                                                                         | CUSIP: 3133ANDC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4846481 | PA      | $4174493.82    | 0.02%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                                   | PROOFPOINT TERM B 1LN 08/31/2028                                                                         | CUSIP: 74345HAB7<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |    4471212 | PA      | $4296566.94    | 0.02%             | 2028-08-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                                            | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                                              | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4553256 | PA      | $3800207.80    | 0.02%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 6/25 #306974                                                                                  | CUSIP: 31373X6K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.08         | 0.00%             | 2025-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2% 01/01/2053 #TBA                                                                             | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  361800000 | PA      | $297868818.42  | 1.56%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FRONERI US INC                                                                   | FRONERI TERM B 1LN 01/29/2027                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1671525 | PA      | $1622566.03    | 0.01%             | 2027-01-29      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 9/34 #574764                                                                                  | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4313 | PA      | $4536.23       | 0.00%             | 2034-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #406650                                                                                 | CUSIP: 36206BWK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        100 | PA      | $101.26        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                             | FRONTIER TERM B 1LN 05/01/2028                                                                           | CUSIP: 35906EAQ3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    7513895 | PA      | $7200189.43    | 0.04%             | 2028-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/31 #622547                                                                                  | CUSIP: 31389DTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2905 | PA      | $3069.48       | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 11/01/2042#AQ2116                                                                         | CUSIP: 3138MHK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13949 | PA      | $12661.49      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIMETREE BAY CAYMAN, LTD.                                                        | LIMETREE BAY CAYMAN LTD                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KY        |        464 | NS      | $15650.72      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/32 #584359                                                                                  | CUSIP: 36201JE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        250 | PA      | $263.19        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                              | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   73217000 | PA      | $68775912.31   | 0.36%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                           | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                                  | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4779000 | PA      | $4518198.50    | 0.02%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 9/41 #Q03358                                                                                  | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78248 | PA      | $75720.86      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/41 #AL0913                                                                                  | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188529 | PA      | $198161.95     | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PATHWAY VET ALLIANCE LLC                                                         | PATHWAY VET TERM B 1LN 03/31/2027                                                                        | CUSIP: 70323KAE8<br>LEI: 2549001HRKTHAW7MOH74 | Long             | LON              | CORP              | US        |    1560799 | PA      | $1368493.20    | 0.01%             | 2027-03-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                      | MATCH GROUP HLD II LLC 5% 12/15/2027 144A                                                                | CUSIP: 57665RAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1463603.35    | 0.01%             | 2027-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 11/01/2051#RA6302                                                                           | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5898781 | PA      | $4867173.46    | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 11/20/2043#BH6402                                                                           | CUSIP: 3617H4DF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     719297 | PA      | $674779.99     | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 01/01/2041#A96051                                                                         | CUSIP: 312944WL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1119541 | PA      | $1114868.41    | 0.01%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                 | KINDER MORGAN ENERGY PTNRS LP 3.45% 02/15/2023                                                           | CUSIP: 494550BM7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    3804000 | PA      | $3790294.11    | 0.02%             | 2023-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 06/15/2043#740830                                                                         | CUSIP: 3620AVA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33195 | PA      | $31459.03      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #418755                                                                                 | CUSIP: 36206RE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        139 | PA      | $142.17        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                        | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                               | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    9940000 | PA      | $8714093.84    | 0.05%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/32 #581769                                                                                  | CUSIP: 36201FJN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1579 | PA      | $1663.15       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 6/28 #251822                                                                                  | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        618 | PA      | $646.22        | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                   | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                          | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    8895000 | PA      | $7859620.67    | 0.04%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 07/01/2043#Q20358                                                                         | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28719 | PA      | $27989.74      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTAIN HOLDINGS GIBRALTAR LTD                                                    | ENTAIN TERM B4 1LN 03/16/2027                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GI        |    1086250 | PA      | $1069282.78    | 0.01%             | 2027-03-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 07/51#BQ1010                                                                                | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     709070 | PA      | $586393.94     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN HLDGS LLLP / LADDER CAP FIN CORP                                  | LADDER CAP FIN HLDGS LLLP/CORP 4.75% 06/15/2029 144A                                                     | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     975000 | PA      | $797153.55     | 0.00%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-IMC C 1ML+160 04/15/34 144A                                                                | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4315000 | PA      | $4102739.54    | 0.02%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 11/39 #726916                                                                                 | CUSIP: 3620ADSD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17386 | PA      | $17220.89      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #737007                                                                                  | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40216 | PA      | $39775.03      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/40 #743877                                                                                  | CUSIP: 3620AYM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4186 | PA      | $4146.09       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JSW STEEL LTD                                                                    | JSW STEEL LTD 3.95% 04/05/2027 144A                                                                      | CUSIP: 46635UAC3<br>LEI: 335800EK6HZSC4CVAJ09 | Long             | DBT              | CORP              | IN        |     645000 | PA      | $538575.00     | 0.00%             | 2027-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2003-21 SK -1ML+810 3/33                                                                             | CUSIP: 31392JY37<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6255 | PA      | $786.03        | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TELENET FINANCE LUXEMBOURG NOTES SARL                                            | TELENET FINANCE LUXEMBOURG NOTES SARL 5.5% 03/01/2028 144A                                               | CUSIP: N/A<br>LEI: 2138007RI9GLJPCC3E25       | Long             | DBT              | CORP              | LU        |    4000000 | PA      | $3582000.00    | 0.02%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT OF                                                            | BERMUDA GOVERNMENT OF 2.375% 08/20/2030 144A                                                             | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     280000 | PA      | $229302.50     | 0.00%             | 2030-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2045#Q33347                                                                         | CUSIP: 3132QPWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63912 | PA      | $60210.48      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC                                                    | CAESARS RESORT COLLECTION TERM B 1LN 12/22/2024                                                          | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |    8595010 | PA      | $8529773.73    | 0.04%             | 2024-12-22      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/24 #389975                                                                                  | CUSIP: 36205GFQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        162 | PA      | $162.70        | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/27 #455273                                                                                  | CUSIP: 36208MXA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        236 | PA      | $244.22        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEXSTAR BROADCASTING INC                                                         | NEXSTAR BROADCASTING TERM B 09/19/2026                                                                   | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |    2489159 | PA      | $2466855.86    | 0.01%             | 2026-09-19      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 1/27 #256630                                                                                  | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3532 | PA      | $3599.32       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                         | LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A                                                          | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    4589000 | PA      | $4265024.81    | 0.02%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 03/01/2043#AR9089                                                                         | CUSIP: 3138W7C36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201155 | PA      | $184476.24     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                                        | HEALTHPEAK PROPERTIES 3.5% 07/15/2029                                                                    | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    1322000 | PA      | $1185796.36    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 2/29 #C22365                                                                                  | CUSIP: 31293KTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $114.32        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2046#Q38914                                                                           | CUSIP: 3132QV3Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98873 | PA      | $95929.25      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2040#V81750                                                                         | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     645911 | PA      | $608904.92     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC NV                                                    | GOLDEN NUGGET TERM B 1LN 01/27/2029                                                                      | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   15877884 | PA      | $15120032.29   | 0.08%             | 2029-01-27      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                        | MYLAN INC 4.55% 04/15/2028                                                                               | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |    7694000 | PA      | $7245702.40    | 0.04%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 10/40 #AB1611                                                                                 | CUSIP: 31416WYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14756 | PA      | $13882.23      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+107.21 10/15/2036 144A                                         | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3433000 | PA      | $3198039.99    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 02/01/2041#                                                                                 | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20112 | PA      | $17254.88      | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 1/41 #759100                                                                                  | CUSIP: 36230UDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9020 | PA      | $8516.73       | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                 | ISRAEL STATE OF 3.375% 01/15/2050                                                                        | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1090000 | PA      | $830632.32     | 0.00%             | 2050-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/25 #322344                                                                                  | CUSIP: 31374SBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $7.27          | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 4.323/VAR 04/26/2028                                                               | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   25000000 | PA      | $23959655.75   | 0.13%             | 2028-04-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                     | ANHEUSER-BUSCH INBEV FIN INC 4.7% 02/01/2036                                                             | CUSIP: 035242AM8<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   13110000 | PA      | $12578975.25   | 0.07%             | 2036-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VASA TR 2021-VASA                                                                | VASA TR 2021-VASA G 1ML+500 04/15/2060 144A                                                              | CUSIP: 92230AAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168000 | PA      | $152941.10     | 0.00%             | 2039-07-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/28 #781277                                                                                 | CUSIP: 36225BM21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        121 | PA      | $124.70        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 01/01/2034#J40064                                                                           | CUSIP: 31307YB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173440 | PA      | $165064.36     | 0.00%             | 2034-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-H1                                           | MORGAN STANLEY CAPITAL I TRUST 2017-H1 4.281% 06/15/2050                                                 | CUSIP: 61691JBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     640000 | PA      | $549378.94     | 0.00%             | 2050-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                          | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   10700000 | PA      | $9876644.52    | 0.05%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 02/01/2033#MA3283                                                                           | CUSIP: 31418CUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299940 | PA      | $286144.08     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2051#MA4467                                                                           | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     910531 | PA      | $809284.14     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                          | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                                 | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    2834000 | PA      | $2756164.19    | 0.01%             | 2026-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 05/01/2041#AI0287                                                                         | CUSIP: 3138ADJ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7580 | PA      | $7724.31       | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SRI LANKA GOVT DEMOCRATIC SOCIALIST REP                                          | SRI LANKA GOVT DEMOC SOCIA REP 7.55% 03/28/2030 144A                                                     | CUSIP: 85227SBB1<br>LEI: 254900HXCCIOHM74FA02 | Long             | DBT              | NUSS              | LK        |     335000 | PA      | $100562.81     | 0.00%             | 2030-03-28      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/33 #611489                                                                                  | CUSIP: 36202WKA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1713 | PA      | $1713.25       | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/28 #251410                                                                                  | CUSIP: 31371GGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        358 | PA      | $372.01        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KAZMUAIGAZ NATIONAL CO JSC                                                       | KAZMUNAYGAS NATIONAL CO JSC 3.5% 04/14/2033 144A                                                         | CUSIP: 48126PAA0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     495000 | PA      | $365557.50     | 0.00%             | 2033-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                              | AVANTOR FUNDING INC 4.625% 07/15/2028 144A                                                               | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    1280000 | PA      | $1177600.00    | 0.01%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/28 #456151                                                                                  | CUSIP: 36208NWL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        372 | PA      | $379.99        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OOREDOO INTERNATIONAL FINANCE LTD                                                | OOREDOO INTL FIN LTD 3.25% 02/21/2023 144A                                                               | CUSIP: 74735K2A9<br>LEI: 549300BHXCDJ03WU7N77 | Long             | DBT              | CORP              | BM        |     645000 | PA      | $641775.00     | 0.00%             | 2023-02-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATKORE INTL INC                                                                  | ATKORE TERM B 1LN 05/26/2028                                                                             | CUSIP: 04765BAJ1<br>LEI: 549300G7TKUUPGRV2D81 | Long             | LON              | CORP              | US        |    1016425 | PA      | $1008374.91    | 0.01%             | 2028-05-26      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.875% 08/15/2028                                                                              | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78639600 | PA      | $74790560.40   | 0.39%             | 2028-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 02/34#G30703                                                                              | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3553568 | PA      | $3438757.12    | 0.02%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KENYA REPUBLIC OF                                                                | KENYA REPUBLIC OF 6.3% 01/23/2034 144A                                                                   | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |     415000 | PA      | $325256.25     | 0.00%             | 2034-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                                | DISH NETWORK CORP 11.75% 11/15/2027 144A                                                                 | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    4485000 | PA      | $4609817.55    | 0.02%             | 2027-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 09/01/2043#G60065                                                                           | CUSIP: 31335ACA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1745987 | PA      | $1690780.63    | 0.01%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROJECT SILVER 2019                                                              | SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A                                           | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8854091 | PA      | $6810555.23    | 0.04%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                      | CHENIERE ENERGY PARTNERS LP 3.25% 01/31/2032                                                             | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2435000 | PA      | $1981481.25    | 0.01%             | 2032-01-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                      | ROYAL CARIBBEAN CRUISES LTD 5.5% 08/31/2026 144A                                                         | CUSIP: 780153BJ0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    3920000 | PA      | $3400600.00    | 0.02%             | 2026-08-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                          | UBSCM 2017-C7 XA CSTR 12/50                                                                              | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27292091 | PA      | $970433.07     | 0.01%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2047#BD5294                                                                         | CUSIP: 3140FC3C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128753 | PA      | $120782.26     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                       | J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A                                     | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1323000 | PA      | $1152725.80    | 0.01%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUDSON YDS 2019-30HY MTG TR                                                      | HUDSON YDS 2019-30HY MTG TR E CSTR 07/10/2039 144A                                                       | CUSIP: 44421GAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     483000 | PA      | $342532.30     | 0.00%             | 2039-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/41 #738429                                                                                  | CUSIP: 3620ASLJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20507 | PA      | $20706.87      | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #471517                                                                                  | CUSIP: 36209GYN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        117 | PA      | $120.22        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 5.8% 05/01/2025                                                                            | CUSIP: 02005NBJ8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   11179000 | PA      | $11225142.22   | 0.06%             | 2025-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 5.247%/VAR 07/26/2030                                                         | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   22350000 | PA      | $21303210.26   | 0.11%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE7376                                                                           | CUSIP: 31419JFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38535 | PA      | $37248.13      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/32 #656362                                                                                  | CUSIP: 31390UFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1859 | PA      | $1987.79       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 2/1/43 #Q15635                                                                              | CUSIP: 3132J6V50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25064 | PA      | $23007.39      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                                                      | HOLOGIC INC 3.25% 02/15/2029 144A                                                                        | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |    2520000 | PA      | $2214097.20    | 0.01%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2046#Q40085                                                                         | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1682983 | PA      | $1584981.13    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 6/41 #Q01208                                                                                  | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24451 | PA      | $24328.84      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 03/15/2035#631185                                                                         | CUSIP: 36291LF26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7267 | PA      | $7292.21       | 0.00%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 01/01/2052#FS0288                                                                           | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5500597 | PA      | $4538625.44    | 0.02%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6.5% 08/01/2032#                                                                               | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6293 | PA      | $6599.89       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 07/01/2029#                                                                                 | CUSIP: 31293S6F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $109.06        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITGO PETROLEUM CORP                                                             | CITGO TERM LOAN B 1LN 03/28/2024                                                                         | CUSIP: 17302UAM4<br>LEI: YX52P86PXMLYDOTUQ225 | Long             | LON              | CORP              | US        |    3625554 | PA      | $3623741.53    | 0.02%             | 2024-03-28      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| BANK AMER MERRILL LYNCH COML MTG TR 2016-UBS10                                   | BANK AMER MERRILL LYNCH COML MTG TR 2016-UBS10 CSTR 06/15/2049                                           | CUSIP: 06054MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9132198 | PA      | $403856.86     | 0.00%             | 2049-07-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                                                          | SSE PLC 3.74%/VAR PERP REGS                                                                              | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |    1920000 | PA      | $2092877.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                            | ARGENTINA REPUBLIC OF STEP 01/09/2038                                                                    | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    4159773 | PA      | $1257811.36    | 0.01%             | 2038-01-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NCL FINANCE LTD                                                                  | NCL FINANCE LTD 6.125% 03/15/2028 144A                                                                   | CUSIP: 62888HAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     475000 | PA      | $366071.88     | 0.00%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES INTL INC                                                        | SCIENTIFIC GAMES TERM 1LN 04/07/2029                                                                     | CUSIP: N/A<br>LEI: RLTHESQ0RNFQJWPBJN60       | Long             | LON              | CORP              | US        |    3172050 | PA      | $3106229.96    | 0.02%             | 2029-04-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 7/40 #739706                                                                                  | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17462 | PA      | $17631.11      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD FINANCE CO INC                                    | GO DADDY OPERATING CO LLC / GD FINANCE CO INC 3.5% 03/01/2029 144A                                       | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2239458.32    | 0.01%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | CARVANA CO 4.875% 09/01/2029 144A                                                                        | CUSIP: 146869AH5<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     950000 | PA      | $317460.74     | 0.00%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR                                           | CD 2017-CD4 D 3.3% 05/10/2050 144A                                                                       | CUSIP: 12515DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     971000 | PA      | $727726.63     | 0.00%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                                                                | MFA FINANCIAL 7.5% PFD PERP                                                                              | CUSIP: 55272X409<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |      13700 | NS      | $269753.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 7.1% 11/15/2027                                                                            | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   21840000 | PA      | $22460176.94   | 0.12%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3.5% 12/01/2052 #TBA                                                                           | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  127825000 | PA      | $117119656.25  | 0.61%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.875% 10/16/2025                                                                    | CUSIP: 71654QDH2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     575000 | PA      | $557922.50     | 0.00%             | 2025-10-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC38                                                         | GS MTG SECS TR 2019-GC38 3% 02/10/2052 144A                                                              | CUSIP: 36252SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     543000 | PA      | $382722.47     | 0.00%             | 2052-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 4.125% 05/15/2051                                                                   | CUSIP: 195325DT9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     325000 | PA      | $191425.00     | 0.00%             | 2051-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 9/41 #005174                                                                               | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217346 | PA      | $210363.08     | 0.00%             | 2041-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE7679                                                                           | CUSIP: 31419JQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126208 | PA      | $121959.41     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 05/01/2051#CB0404                                                                         | CUSIP: 3140QKNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23763412 | PA      | $20572467.81   | 0.11%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/25 #319213                                                                                  | CUSIP: 31374NSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $73.68         | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/40 #748670                                                                                 | CUSIP: 3620C4W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4160 | PA      | $4021.61       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTICE FING SA                                                                   | ALTICE FING SA 5.75% 08/15/2029 144A                                                                     | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |   13885000 | PA      | $11354597.60   | 0.06%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IVORY COAST (COTE D'IVOIRE)                                                      | IVORY COAST (COTE D'IVOIRE) 6.125% 06/15/2033 144A                                                       | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    1680000 | PA      | $1484700.00    | 0.01%             | 2033-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 7/39 #931506                                                                                  | CUSIP: 31412P3P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35973 | PA      | $35737.74      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 4.898% 5/35 #995272                                                                             | CUSIP: 31416BT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13561 | PA      | $13619.30      | 0.00%             | 2035-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS2 MTG TR                                                            | COMM 2014-UBS2 D MTG TR CSTR 03/10/2047 144A                                                             | CUSIP: 12591UAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     542000 | PA      | $477957.39     | 0.00%             | 2047-03-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RECORDED BOOKS INC                                                               | RBMEDIA TERM B 1LN 08/29/2025                                                                            | CUSIP: 37610GAE8<br>LEI: 549300YXME0U2XYD7K47 | Long             | LON              | CORP              | US        |     235231 | PA      | $231114.27     | 0.00%             | 2025-08-29      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                      | ASURION TERM B8 1LN 12/23/2026                                                                           | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    7638739 | PA      | $6671140.27    | 0.03%             | 2026-12-23      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2020-GC46                                                  | CITIGROUP COML MTG TR 2020-GC46 2.6% 02/15/2053 144A                                                     | CUSIP: 17328RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76000 | PA      | $46111.57      | 0.00%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| C and W SENIOR FINANCING DAC                                                     | C and W SENIOR FINANCING DAC 6.875% 09/15/2027 144A                                                      | CUSIP: 12674TAA4<br>LEI: 5493009O8OIWZPZRY516 | Long             | DBT              | CORP              | IE        |   17714000 | PA      | $15743317.50   | 0.08%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CMBX AAACDSIGEN 12                                                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   24350000 | NC      | $241810.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM TERM F 1LN 12/9/2025                                                                           | CUSIP: 89364MBR4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    9645741 | PA      | $9491988.15    | 0.05%             | 2025-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 08/15/2033#603089                                                                         | CUSIP: 36200J7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15166 | PA      | $15174.02      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    3740000 | NC      | $51165.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2047#BE8189                                                                         | CUSIP: 3140FUC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12825 | PA      | $12771.08      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 08/01/2043#Q20882                                                                         | CUSIP: 3132JM6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6095 | PA      | $5940.12       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 10/01/2033#                                                                                 | CUSIP: 31296PYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11325 | PA      | $11426.72      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                       | BMO 2022-C1 MORTGAGE TRUST 2022-C1 360E CSTR 02/15/2042 144A                                             | CUSIP: 05609MDE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     546000 | PA      | $348707.49     | 0.00%             | 2042-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 10/40 #A94662                                                                                 | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39930 | PA      | $39764.55      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                     | CHS/CMNTY HEALTH SYSTEMS INC 5.25% 05/15/2030 144A                                                       | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    7060000 | PA      | $5383956.00    | 0.03%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/28 #475656                                                                                 | CUSIP: 36209MMD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1065 | PA      | $1100.46       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/36 #651859                                                                                  | CUSIP: 36292LE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7078 | PA      | $7107.88       | 0.00%             | 2036-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                 | HILTON DOMESTIC OPERATING CO INC 4% 05/01/2031 144A                                                      | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    2320000 | PA      | $1951505.00    | 0.01%             | 2031-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLIED SYS INC                                                                  | APPLIED SYSTEMS TERM B 1LN 09/19/2024                                                                    | CUSIP: 03827FAX9<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |    1235000 | PA      | $1230084.70    | 0.01%             | 2024-09-19      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2011-C3                                        | JP MORGAN CHASE CO MT SE 2011-C3 H CSTR 02/15/2046 144A                                                  | CUSIP: 46635TBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453000 | PA      | $43678.12      | 0.00%             | 2046-02-15      | Variable      | 0.04%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/40 #AE8539                                                                                 | CUSIP: 31419KPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1211 | PA      | $1170.09       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BEECHWOOD PARK CLO LTD                                                           | BEECHWOOD PARK CLO LTD 19-1A A1R TSFR3M+130 01/17/2035 144A                                              | CUSIP: 07355TAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17449000 | PA      | $17092900.81   | 0.09%             | 2035-01-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 5/40 #741269                                                                                  | CUSIP: 3620AVQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5842 | PA      | $5786.32       | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/28 #413862                                                                                  | CUSIP: 31379AWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1497 | PA      | $1546.05       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2011-H05 FA 1ML+50 12/60                                                                             | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     289542 | PA      | $287017.46     | 0.00%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 1.5% 12/01/2037 #TBA                                                                           | CUSIP: 01F0124C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -45400000 | PA      | $-39679046.12  | -0.21%            | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | ALTRIA GROUP INC 4.25% 08/09/2042                                                                        | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   10924000 | PA      | $8145193.85    | 0.04%             | 2042-08-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                               | POLAND REPUBLIC OF 5.75% 11/16/2032                                                                      | CUSIP: 857524AE2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     725000 | PA      | $763019.00     | 0.00%             | 2032-11-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERICAST CORP                                                                    | VERICAST TERM 1LN 06/16/2026                                                                             | CUSIP: 181593AQ7<br>LEI: 549300J73P7FL8TVF308 | Long             | LON              | CORP              | US        |    1088838 | PA      | $784649.19     | 0.00%             | 2026-06-16      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                         | LAMB WESTON HOLDINGS INC 4.125% 01/31/2030 144A                                                          | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    3310000 | PA      | $2927297.80    | 0.02%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 6.00% 11/31 #003160                                                                              | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6823 | PA      | $7050.83       | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2002-63 FN 1ML+100 10/32                                                                             | CUSIP: 31392ED23<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       7118 | PA      | $7201.64       | 0.00%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WP GLIMCHER MALL TR 15-WPG                                                       | JPMDB 2015-WPG PR1 CSTAR 6/5/35 144A                                                                     | CUSIP: 92939VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     289000 | PA      | $228819.45     | 0.00%             | 2035-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINANCE BV                                                   | EMBRAER NETHERLANDS FINANCE BV 5.05% 06/15/2025                                                          | CUSIP: 29082HAA0<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |    1285000 | PA      | $1240410.50    | 0.01%             | 2025-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8% 07/01/2025#                                                                                 | CUSIP: 31335GLB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $25.78         | 0.00%             | 2025-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 11/39 #719739                                                                                 | CUSIP: 3620A5S42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6829 | PA      | $7199.21       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #727117                                                                                  | CUSIP: 31402EYN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11621 | PA      | $11491.23      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                   | SMRT 2022-MINI TSFR1M+270 01/15/2039 144A                                                                | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1154000 | PA      | $1055651.04    | 0.01%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS AMER 2021-3 TR                                                     | HOME PARTNERS AMER 2021-3 TR 4.242% 01/17/2041 144A                                                      | CUSIP: 43730XAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     332967 | PA      | $273323.99     | 0.00%             | 2041-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/25 #319640                                                                                  | CUSIP: 31374PBH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $38.49         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/41 #AH0358                                                                                  | CUSIP: 3138A1MG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4944 | PA      | $4784.68       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 2/23 #342527                                                                                  | CUSIP: 36224YPL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4 | PA      | $4.49          | 0.00%             | 2023-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2010-150 ZC 4.75% 01/41                                                                              | CUSIP: 31397QAV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     883663 | PA      | $877971.73     | 0.00%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/44#AW5410                                                                              | CUSIP: 3138XVAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59580 | PA      | $61095.20      | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP 1ML+202.68 11/15/2038 144A                                                             | CUSIP: 78472UAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1298000 | PA      | $1216681.86    | 0.01%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 12/01/2032#FM1681                                                                         | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6909535 | PA      | $6535128.61    | 0.03%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                                           | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      47645 | PA      | $1690.33       | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AT1323                                                                           | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54077 | PA      | $50829.92      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.0% 8/45#Q35372                                                                                    | CUSIP: 3132QR6J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36119 | PA      | $32951.38      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 5/40 #004696                                                                               | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28995 | PA      | $28816.43      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/27 #398576                                                                                  | CUSIP: 31378GXD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $10.66         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RACKSPACE HOSTING INC                                                            | RACKSPACE HOSTING INC 5.375% 12/01/2028 144A                                                             | CUSIP: 750098AA3<br>LEI: 549300QTYCKLMFSE8I97 | Long             | DBT              | CORP              | US        |   15649000 | PA      | $7135458.88    | 0.04%             | 2028-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2046#Q40647                                                                         | CUSIP: 3132WDWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     752086 | PA      | $707586.31     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 5.705% 05/01/2040                                                                              | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    7640000 | PA      | $7279926.34    | 0.04%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 5.75% 03/22/2024                                                                      | CUSIP: 900123CF5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     380000 | PA      | $378100.00     | 0.00%             | 2024-03-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #737855                                                                                  | CUSIP: 31402TWQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36236 | PA      | $35843.52      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE ASSURANCES SA                                                    | CRDT AGR ASSR 4.75/VAR 9/27/48                                                                           | CUSIP: N/A<br>LEI: 969500K2MUPSI57XK083       | Long             | DBT              | CORP              | FR        |    1700000 | PA      | $1709315.57    | 0.01%             | 2048-09-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                      | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                       | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3104128 | PA      | $2491177.04    | 0.01%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/27 #361825                                                                                  | CUSIP: 31376P4J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $38.69         | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                            | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC 3ML+115 10/15/2035 144A                                            | CUSIP: 26246BAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11160000 | PA      | $10795268.88   | 0.06%             | 2035-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4.375% 10/31/2024                                                                              | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15300000 | PA      | $15296413.99   | 0.08%             | 2024-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                        | TEGNA INC 4.625% 03/15/2028                                                                              | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1329785.10    | 0.01%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.84% 01/23/2030                                                                     | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   33047000 | PA      | $27131587.00   | 0.14%             | 2030-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/25 #318815                                                                                  | CUSIP: 31374NDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $38.88         | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-H1                                           | MORGAN STANLEY CAPITAL I TRUST 2017-H1 D 2.546% 06/15/2050 144A                                          | CUSIP: 61691JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1912000 | PA      | $1359895.28    | 0.01%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                                                   | BANK 2017-BNK8 E 2.8% 11/15/2050 144A                                                                    | CUSIP: 06650AAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     609000 | PA      | $346521.24     | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 10/01/2045#AL7593                                                                         | CUSIP: 3138EQNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2750910 | PA      | $2682019.59    | 0.01%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 7/24 #403923                                                                                  | CUSIP: 36205XVQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $9.86          | 0.00%             | 2024-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FRANCHISE GROUP INC                                                              | FRANCHISE GROUP TERM B 1LN 03/10/2026                                                                    | CUSIP: 35180YAB9<br>LEI: 549300MWCHSL8BSOMV77 | Long             | LON              | CORP              | US        |    1722069 | PA      | $1655338.60    | 0.01%             | 2026-03-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2049#CA4860                                                                           | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4173158 | PA      | $3748245.79    | 0.02%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                               | PEACE PARK CLO LTD 3ML+113 10/20/2034 144A                                                               | CUSIP: 70470MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12426000 | PA      | $12077686.79   | 0.06%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE1 MTG TR                                                           | COMM 2012-CR1 D CSTR 5/45                                                                                | CUSIP: 12624BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1160000 | PA      | $851144.78     | 0.00%             | 2045-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026                                                               | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    9211000 | PA      | $9211000.00    | 0.05%             | 2026-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #780259                                                                                  | CUSIP: 31404VZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4554 | PA      | $4501.29       | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                    | AIB GROUP PLC 6.25%/VAR PERP REGS                                                                        | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | EP               | CORP              | IE        |    1780000 | PA      | $1761969.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PLAYTIKA HOLDING CORP                                                            | PLAYTIKA TERM B 1LN 03/11/2028                                                                           | CUSIP: 72814CAF5<br>LEI: 254900E35Z4TKA4UFG64 | Long             | LON              | CORP              | US        |    1542540 | PA      | $1501569.83    | 0.01%             | 2028-03-11      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BRASKEM IDESA SAPI                                                               | BRASKEM IDESA SAPI 7.45% 11/15/2029 144A                                                                 | CUSIP: 10554NAA6<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |     180000 | PA      | $140962.50     | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP                     | CRESTWOOD MIDSTRM PTN/FIN CORP 5.75% 04/01/2025                                                          | CUSIP: 226373AP3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1941000 | PA      | $1892234.37    | 0.01%             | 2025-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENGAL DEBT MERGER SUB LLC                                                       | TROPICANA TERM 2LN 01/24/2030                                                                            | CUSIP: 62984CAB9<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |     700000 | PA      | $608125.00     | 0.00%             | 2030-01-24      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 8/36 #AE0746                                                                                  | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99514 | PA      | $104380.46     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                        | SAUDI ARABIAN OIL COMPANY 3.5% 11/24/2070 144A                                                           | CUSIP: 80414L2M6<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     645000 | PA      | $445856.25     | 0.00%             | 2070-11-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2021-JACX                                                 | BAMLL COML MTG SECS TR 2021-JACX E 1ML+375 09/15/2038 144A                                               | CUSIP: 05493LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     627000 | PA      | $559021.35     | 0.00%             | 2038-09-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026                                                            | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    2017000 | PA      | $1950068.32    | 0.01%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #732126                                                                                  | CUSIP: 31402LLF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21444 | PA      | $21210.90      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/28 #454037                                                                                  | CUSIP: 36208LLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        218 | PA      | $224.91        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                         | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52865 | PA      | $51521.73      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS5                                                          | GS MTG SECS TR 2017-GS5 CSTR 03/10/2050                                                                  | CUSIP: 36252HAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651000 | PA      | $542136.00     | 0.00%             | 2050-03-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MISC CAPITAL TWO LABUAN LIMITED                                                  | MISC CAPITAL TWO LABUAN LIMITED 3.625% 04/06/2025 144A                                                   | CUSIP: 60475DAA9<br>LEI: 9845000ED8376T875113 | Long             | DBT              | CORP              | MY        |     495000 | PA      | $469878.75     | 0.00%             | 2025-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXI LTD 2019-21A A                                                     | MAGNETITE XXI LTD 2019-21A A 3ML+102 04/20/2034 144A                                                     | CUSIP: 55954PAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11245000 | PA      | $10908257.23   | 0.06%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC                           | RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC FRN 6ML+562.5 10/15/2026 144A                     | CUSIP: 76954LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6565000 | PA      | $6335225.00    | 0.03%             | 2026-10-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 12/01/2045#Q38088                                                                           | CUSIP: 3132QU7A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227824 | PA      | $221039.86     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                  | ESKOM HLDGS LTD 7.125% 02/11/2025 144A                                                                   | CUSIP: 29646AAB2<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |     725000 | PA      | $678328.13     | 0.00%             | 2025-02-11      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                   | OMAN SULTANATE 6.5% 03/08/2047 144A                                                                      | CUSIP: 682051AF4<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     300000 | PA      | $267750.00     | 0.00%             | 2047-03-08      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC TERM B-5 04/15/2027                                                                     | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |    2552812 | PA      | $2387951.87    | 0.01%             | 2027-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #398926                                                                                  | CUSIP: 31378HD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $268.46        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                                           | ATHENAHEALTH TERM DD 1LN 02/15/2029                                                                      | CUSIP: 04686RAC7<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |    3186957 | PA      | $2903317.39    | 0.02%             | 2029-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                | ICAHN ENTERPRISES LP/FIN CORP 6.25% 05/15/2026                                                           | CUSIP: 451102BT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8660000 | PA      | $8478659.60    | 0.04%             | 2026-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/28 #412598                                                                                  | CUSIP: 31378YKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $203.68        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                            | REYNOLDS AMERICAN INC 7.25% 06/15/2037                                                                   | CUSIP: 761713AT3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    1835000 | PA      | $1885787.30    | 0.01%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RH                                                                               | RH TERM B 1LN 10/20/2028                                                                                 | CUSIP: 76133MAB7<br>LEI: 5493008MTS3OGGMHGK69 | Long             | LON              | CORP              | US        |    1687950 | PA      | $1586673.00    | 0.01%             | 2028-10-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/41 #734392                                                                                  | CUSIP: 3620AM2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38896 | PA      | $39297.78      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2022                                                                   | BPR TR 2022-OANA TSFR1M+374.5 04/15/2024 144A                                                            | CUSIP: 05592DAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1327000 | PA      | $1208947.43    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GABONESE REPUBLIC                                                                | GABONESE REPUBLIC 7% 11/24/2031 144A                                                                     | CUSIP: 362420AE1<br>LEI: N/A                  | Long             | DBT              | NUSS              | GA        |     880000 | PA      | $724515.00     | 0.00%             | 2031-11-24      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 1/40 #AD0732                                                                                  | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86172 | PA      | $90645.87      | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/40 #682568                                                                                 | CUSIP: 36295WJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120534 | PA      | $116520.40     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #395754                                                                                  | CUSIP: 31378DTK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $27.79         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2042#Q13654                                                                         | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26156 | PA      | $25507.92      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/35 #838762                                                                                  | CUSIP: 31407RZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $265.16        | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 2.25% 11/15/2031                                                                        | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $7960128.10    | 0.04%             | 2031-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                 | HILTON DOMESTIC OPERATING CO INC 3.75% 05/01/2029 144A                                                   | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     370000 | PA      | $328341.70     | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                 | VODAFONE GROUP PLC 6.25%/VAR 10/03/2078 REGS                                                             | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |    2515000 | PA      | $2420687.50    | 0.01%             | 2078-10-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 01/01/2032#                                                                                 | CUSIP: 31287NUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2371 | PA      | $2449.11       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 06/01/2041#                                                                                 | CUSIP: 3132GEQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4681 | PA      | $4541.69       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 07/15/2035#643292                                                                         | CUSIP: 36292AUR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33133 | PA      | $33228.83      | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 4.625% 06/15/2028 144A                                                             | CUSIP: 88033GDG2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    2985000 | PA      | $2671632.22    | 0.01%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAZZ FINANCING LUX SARL                                                          | JAZZ PHARMACEUTICALS TERM B 1LN 05/05/2028                                                               | CUSIP: N/A<br>LEI: 635400WUEO2NSG5OIU34       | Long             | LON              | CORP              | LU        |    5578109 | PA      | $5529300.21    | 0.03%             | 2028-05-05      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 11/15/2042#AB9201                                                                           | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13565 | PA      | $13097.70      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC                          | EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC 3ML+125 01/15/2034 144A                          | CUSIP: 27830BBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3200000 | PA      | $3117238.40    | 0.02%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                                                           | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     463154 | PA      | $467566.81     | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 4.625% 01/15/2029                                                                          | CUSIP: 893647BP1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    5080000 | PA      | $4469739.60    | 0.02%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2014-150E                                         | MORGAN STANLEY CAPITAL I TRUST 2014-150E C CSTR 09/09/32 144A                                            | CUSIP: 61764BAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     238000 | PA      | $205011.56     | 0.00%             | 2032-09-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SABIC CAPITAL II BV                                                              | SABIC CAPITAL II BV 4% 10/10/2023 144A                                                                   | CUSIP: 78520LAA8<br>LEI: 2138005PCUTH59D4RJ83 | Long             | DBT              | CORP              | NL        |     902000 | PA      | $893431.00     | 0.00%             | 2023-10-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                         | SOUTH AFRICA REPUBLIC OF 5% 10/12/2046                                                                   | CUSIP: 836205AV6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     670000 | PA      | $478756.88     | 0.00%             | 2046-10-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 10/15/2040#705890                                                                         | CUSIP: 36297AF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103465 | PA      | $100014.04     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                             | OLYMPUS WATER US HOLDING CORPORATION 4.25% 10/01/2028 144A                                               | CUSIP: 681639AA8<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |    3410000 | PA      | $2762816.10    | 0.01%             | 2028-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRIMO WATER HOLDINGS INC                                                         | PRIMO WATER HOLDINGS INC 4.375% 04/30/2029 144A                                                          | CUSIP: 74168LAA4<br>LEI: 9845008F9A5F2E1D4832 | Long             | DBT              | CORP              | US        |    3720000 | PA      | $3214675.20    | 0.02%             | 2029-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLUTTER FINANCING BV                                                             | FLUTTER ENTERTAINMENT TERM B 1LN 07/04/2028                                                              | CUSIP: N/A<br>LEI: 635400VFWPBIKJK6GN11       | Long             | LON              | CORP              | NL        |    1980000 | PA      | $1964041.20    | 0.01%             | 2028-07-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GREYSTAR REAL ESTATE PARTNERS LLC                                                | GREYSTAR REAL ESTATE PARTNERS LLC 5.75% 12/01/2025 144A                                                  | CUSIP: 39807UAB2<br>LEI: 254900HGC806SXAS4M46 | Long             | DBT              | CORP              | US        |     261000 | PA      | $253524.96     | 0.00%             | 2025-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 12/01/2052 #TBA                                                                             | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  166500000 | PA      | $146083203.90  | 0.76%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #445661                                                                                  | CUSIP: 36207YB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        268 | PA      | $277.34        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #678655                                                                                  | CUSIP: 36295R5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52984 | PA      | $52481.11      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| USI INC                                                                          | USI TERM 1LN 11/16/2029                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     825000 | PA      | $810711.00     | 0.00%             | 2029-11-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 4/32 #C01343                                                                                  | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1620 | PA      | $1697.80       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                        | EGYPT (ARAB) REPUBLIC OF 7.903% 02/21/2048 144A                                                          | CUSIP: 03846JW55<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     534000 | PA      | $343095.00     | 0.00%             | 2048-02-21      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC                                                           | ARBOR REALTY TRUST INC SER F 6.25%/VAR PFD PERP                                                          | CUSIP: 038923850<br>LEI: 549300ASFUWYQO0RW077 | Long             | EP               | CORP              | US        |      22800 | NS      | $453492.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.252% 08/01/2041#                                                                             | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353337 | PA      | $355498.45     | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN POSEIDON LTD                                                          | TRANSOCEAN POSEIDON LTD 6.875% 02/01/2027 144A                                                           | CUSIP: 89383JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     997500 | PA      | $970068.75     | 0.01%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/27 #449782                                                                                 | CUSIP: 36208FUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         63 | PA      | $63.06         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                          | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    6700000 | NC      | $91660.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DG INVESTMENT INTERMEDIATE HOLDINGS 2 INC                                        | CONVERGINT TECH TERM 2LN 03/31/2029                                                                      | CUSIP: 23344MAF5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     315000 | PA      | $277200.00     | 0.00%             | 2029-03-31      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-IG3 MTG TR                                                        | BENCHMARK 2020-IG3 MTG TR CSTR 09/15/2048 144A                                                           | CUSIP: 08162QCC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     789000 | PA      | $557465.27     | 0.00%             | 2048-09-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                         | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1213699 | PA      | $994944.89     | 0.01%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 3% 12/01/2037 #TBA                                                                             | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    6300000 | PA      | $5928890.94    | 0.03%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ACNR HOLDINGS INC                                                                | ACNR HOLDINGS INC TERM 09/16/2025 DIP                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      73404 | PA      | $73404.44      | 0.00%             | 2025-09-16      | Variable      | 0.20%                 | No            |                  3 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 4.625% 12/01/2029 144A                                             | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     270000 | PA      | $244990.79     | 0.00%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 09/01/2052#CB4682                                                                           | CUSIP: 3140QQFY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5847946 | PA      | $5892453.59    | 0.03%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 10/45#MA3174                                                                                | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11507 | PA      | $11241.88      | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 5.5% 02/15/2035                                                           | CUSIP: 31395MRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     489253 | PA      | $504240.34     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #667416                                                                                  | CUSIP: 36295DN96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8474 | PA      | $8540.50       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                                | UNITED KINGDOM G.B. and N.IRELAND 1% 04/22/2024 REGS                                                     | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    4355000 | PA      | $5087395.23    | 0.03%             | 2024-04-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ADT SECURITY CORP/THE                                                            | ADT SECURITY CORP/THE 4.125% 08/01/2029 144A                                                             | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1143381.10    | 0.01%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK AS (UNGTD) 2.25%/VAR 01/14/2028 REGS                                                         | CUSIP: N/A<br>LEI: MAES062Z21O4RZ2U7M96       | Long             | DBT              | CORP              | DK        |    2290000 | PA      | $2358516.51    | 0.01%             | 2028-01-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 1/36 #745154                                                                                  | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4685 | PA      | $4892.85       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 10/25 #409616                                                                                 | CUSIP: 36206FAR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        311 | PA      | $317.95        | 0.00%             | 2025-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 10/24 #383287                                                                                 | CUSIP: 36204XXQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         67 | PA      | $67.43         | 0.00%             | 2024-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#684974                                                                         | CUSIP: 31400D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24282 | PA      | $24023.70      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2012-H07 FA 1ML+63 3/20/62                                                                           | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     175904 | PA      | $174286.24     | 0.00%             | 2062-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DBGS 2018-C1 MTG TR                                                              | DBGS MTG TR 2018-C1 C CSTR 10/15/2051                                                                    | CUSIP: 23307DBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189000 | PA      | $161085.89     | 0.00%             | 2051-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 5% 04/48#784805                                                                                  | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3457463 | PA      | $3547465.86    | 0.02%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                                        | CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A                                                      | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5780000 | PA      | $5612808.30    | 0.03%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAMELOT FIN S A                                                                  | CAMELOT FIN S A 1 TERM B 10/31/2026                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | LU        |    1950608 | PA      | $1915009.48    | 0.01%             | 2026-10-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                                                           | CUSIP: 31394EWW4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     387041 | PA      | $392900.86     | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                                                         | UNITED NATURAL FOODS INC TERM B 10/22/2025                                                               | CUSIP: N/A<br>LEI: 549300GKGW6WPZ282D40       | Long             | LON              | CORP              | US        |     418750 | PA      | $416333.81     | 0.00%             | 2025-10-22      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                                        | BENCHMARK 2019-B12 MTG TR 3.5702% 08/15/2052                                                             | CUSIP: 08162FAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     462000 | PA      | $383330.22     | 0.00%             | 2052-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2010-H18 AF 1ML+30 9/60                                                                              | CUSIP: 38375BER9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     148022 | PA      | $146120.21     | 0.00%             | 2060-09-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/31 #555999                                                                                 | CUSIP: 36213JUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        350 | PA      | $367.16        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2044#AW5937                                                                         | CUSIP: 3138XVS35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1541 | PA      | $1543.93       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 04/15/2043#AA6309                                                                         | CUSIP: 36178EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98883 | PA      | $93711.04      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 11/39 #678648                                                                                 | CUSIP: 36295R5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62563 | PA      | $61960.43      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MESQUITE ENERGY INC                                                              | SANCHEZ ENERGY DIP ROLL UP TERM 12/31/2049                                                               | CUSIP: N/A<br>LEI: 549300SB0HTIM17TVR61       | Long             | LON              | CORP              | US        |     528000 | PA      | $0.05          | 0.00%             | 2049-12-31      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| BENCHMARK 2020 MORTGAGE TRUST                                                    | BENCHMARK MORTGAGE TRUST 2020-B22 E 2% 01/15/2054 144A                                                   | CUSIP: 08163BAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     502000 | PA      | $273414.50     | 0.00%             | 2054-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                              | US LBM TERM B 1LN 12/18/2027                                                                             | CUSIP: 50179JAB4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |    4894340 | PA      | $4200225.08    | 0.02%             | 2027-12-18      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 08/15/2040#747723                                                                         | CUSIP: 3620C3VQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6905 | PA      | $6973.40       | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 4.5% 06/01/2050                                                           | CUSIP: 035240AT7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $18082307.80   | 0.09%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 2/28 #251500                                                                                  | CUSIP: 31371GKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $98.72         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GALAXY US OPCO INC                                                               | VIALTO TERM 1LN 04/29/2029                                                                               | CUSIP: 36321DAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1120000 | PA      | $1020600.00    | 0.01%             | 2029-04-29      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 1/28 #313947                                                                                  | CUSIP: 31374GWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $75.13         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 06/47#BH4269                                                                                | CUSIP: 3140GSW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76367 | PA      | $73953.43      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMBECTA CORP                                                                     | EMBECTA CORP 5% 02/15/2030 144A                                                                          | CUSIP: 29082KAA3<br>LEI: 549300RPG8GXVDHNXZ62 | Long             | DBT              | CORP              | US        |     800000 | PA      | $686000.00     | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 01/01/2035#FM2286                                                                           | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2448924 | PA      | $2331692.87    | 0.01%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                       | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   10374000 | PA      | $9271788.23    | 0.05%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2042#AK6744                                                                           | CUSIP: 3138EBP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15181 | PA      | $14666.31      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.50% 10/41 #005202                                                                              | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12627 | PA      | $11915.35      | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 7/40 #A93142                                                                                  | CUSIP: 312941P35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47318 | PA      | $47074.17      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 12/20/2049#MA6338                                                                             | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1659675 | PA      | $1516256.50    | 0.01%             | 2049-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2044#G07922                                                                         | CUSIP: 3128MAD30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5177802 | PA      | $4894091.80    | 0.03%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| USIMINAS INTERNATIONAL SARL                                                      | USIMINAS INTERNATIONAL SARL 5.875% 07/18/2026 144A                                                       | CUSIP: 91734JAA8<br>LEI: 529900KLYX6QPXVIVP43 | Long             | DBT              | CORP              | LU        |    1025000 | PA      | $983871.88     | 0.01%             | 2026-07-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                                                              | CHURCHILL DOWNS TERM B 1LN 03/17/2028                                                                    | CUSIP: 17148PAF8<br>LEI: 529900FODTBQC8MIS994 | Long             | LON              | CORP              | US        |     985000 | PA      | $967762.50     | 0.01%             | 2028-03-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MEDCO LAUREL TREE PTE LTD                                                        | MEDCO LAUREL TREE PTE LTD 6.95% 11/12/2028 144A                                                          | CUSIP: 58406RAA6<br>LEI: 254900SX7FFGRREZD046 | Long             | DBT              | CORP              | SG        |     890000 | PA      | $779473.13     | 0.00%             | 2028-11-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.0% 08/45#AS5634                                                                                   | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139835 | PA      | $127453.98     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                          | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                            | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18147756 | PA      | $15633772.46   | 0.08%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/27 #441653                                                                                  | CUSIP: 36207TTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        213 | PA      | $220.58        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/39 #722204                                                                                  | CUSIP: 3620A8KR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31007 | PA      | $30686.01      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/31 #468613                                                                                  | CUSIP: 36209DSA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        679 | PA      | $712.89        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 3.417% 12/01/2040#848392                                                                        | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208390 | PA      | $208593.56     | 0.00%             | 2040-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAP                                                               | TELECOM ITALIA CAP 6% 09/30/2034                                                                         | CUSIP: 87927VAM0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |    1165000 | PA      | $899717.85     | 0.00%             | 2034-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/32 #578193                                                                                  | CUSIP: 36201BKE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3311 | PA      | $3415.84       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DAE FDG LLC                                                                      | DAE FDG LLC 1.55% 08/01/2024 144A                                                                        | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |     905000 | PA      | $839170.30     | 0.00%             | 2024-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OLEODUCTO CENTRAL SA                                                             | OLEODUCTO CENTRAL SA 4% 07/14/2027 144A                                                                  | CUSIP: 680617AC1<br>LEI: 254900W4CPYCQFVH5E92 | Long             | DBT              | CORP              | CO        |    1590000 | PA      | $1369387.50    | 0.01%             | 2027-07-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                              | NOVA CHEMICALS CORP 5.25% 06/01/2027 144A                                                                | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    3959000 | PA      | $3553507.22    | 0.02%             | 2027-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACCESS BANK NIGERIA PLC                                                          | ACCESS BANK NIGERIA PLC 6.125% 09/21/2026 144A                                                           | CUSIP: 00434G2B5<br>LEI: 029200328C3N9YI2D660 | Long             | DBT              | CORP              | NG        |    1070000 | PA      | $830119.38     | 0.00%             | 2026-09-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC                                                                 | MICHAELS COS INC 7.875% 05/01/2029 144A                                                                  | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |     785000 | PA      | $464131.25     | 0.00%             | 2029-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WHATABRANDS LLC                                                                  | WHATABURGER TERM B 1LN 07/21/2028                                                                        | CUSIP: 96244UAF4<br>LEI: 254900HMMX4HTWIP0085 | Long             | LON              | CORP              | US        |    4786599 | PA      | $4546502.87    | 0.02%             | 2028-07-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TEMPO ACQUISITION LLC                                                            | TEMPO TERM B 05/01/2024                                                                                  | CUSIP: 88023HAC4<br>LEI: 549300VV0B2RPMHQGA61 | Long             | LON              | CORP              | US        |     224212 | PA      | $222306.54     | 0.00%             | 2024-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2010-139 NI 4.5% 2/40                                                                                | CUSIP: 31398SVQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      44915 | PA      | $1243.16       | 0.00%             | 2040-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 6% 01/14/2041                                                                         | CUSIP: 900123BJ8<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     490000 | PA      | $356475.00     | 0.00%             | 2041-01-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 7.75%/VAR 03/01/2029 REGS                                                           | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |    2600000 | PA      | $2666323.96    | 0.01%             | 2029-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BX 2021-VOLT                                                                     | BX 2021-VOLT E 1ML+200 09/15/2036 144A                                                                   | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     714000 | PA      | $664340.01     | 0.00%             | 2036-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2018-HART                                                    | GS MTG SECS CORP TR 2018-HART 1ML+100 10/15/2031 144A                                                    | CUSIP: 36259DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10353000 | PA      | $9760629.29    | 0.05%             | 2031-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                                                         | BAYER AG 2.375%/VAR 11/12/2079 REGS                                                                      | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | EP               | CORP              | DE        |    7200000 | PA      | $6818011.18    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/01/2052 #TBA                                                                             | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   73300000 | PA      | $68001487.51   | 0.36%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                  | ESKOM HLDGS LTD 8.45% 08/10/2028 144A                                                                    | CUSIP: 29646AAD8<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |     205000 | PA      | $188087.50     | 0.00%             | 2028-08-10      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| STATE OIL COMPANY OF THE AZERBAIJAN REPUBLIC                                     | STATE OIL CO OF THE AZER 6.95% 03/18/2030 REGS                                                           | CUSIP: N/A<br>LEI: 2549002HARR1VE257O76       | Long             | DBT              | CORP              | AZ        |     400000 | PA      | $405500.00     | 0.00%             | 2030-03-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 04/20/2044#MA1838                                                                           | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5834 | PA      | $5541.98       | 0.00%             | 2044-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5.25% 04/15/2029                                                                      | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4040000 | PA      | $3930234.45    | 0.02%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EG AMERICA LLC                                                                   | EG AMERICA LLC TERM B 1LN 02/06/2025                                                                     | CUSIP: N/A<br>LEI: 549300BY1CRYVPEG9R57       | Long             | LON              | CORP              | US        |    6518045 | PA      | $5940611.02    | 0.03%             | 2025-02-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                        | FNS 339 5 5.5% 8/33                                                                                      | CUSIP: 3136FAZ78<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      24678 | PA      | $4118.24       | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2011-C3                                                  | MSC 2011-C3 G CSTR 07/49                                                                                 | CUSIP: 61760RAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     616400 | PA      | $317044.91     | 0.00%             | 2049-07-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.0% 8/45#AZ5626                                                                                    | CUSIP: 3138YXHC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205301 | PA      | $199197.24     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2% 08/15/2051                                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  710798000 | PA      | $483064988.09  | 2.52%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2357 ZB 6.5% 9/31                                                                                    | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      84291 | PA      | $86559.20      | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/39 #720075                                                                                  | CUSIP: 3620A56L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6169 | PA      | $6105.35       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS AMER 2019-2 TR                                                     | HOME PARTNERS AMER 2019-2 TR 3.866% 10/19/2039 144A                                                      | CUSIP: 43732TAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     492071 | PA      | $406974.95     | 0.00%             | 2039-10-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 05/01/2051#SD7540                                                                         | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32087896 | PA      | $27729005.77   | 0.14%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                      | BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027                                                            | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   11623000 | PA      | $12154842.33   | 0.06%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHR 2101 PD 6% 11/28                                                                                     | CUSIP: 3133TGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3005 | PA      | $3054.03       | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2014-150E                                         | MORGAN STANLEY CAPITAL I TRUST 2014-150E F CSTR 09/09/2032 144A                                          | CUSIP: 61764BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     401000 | PA      | $301235.13     | 0.00%             | 2032-09-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 2/41 #AE6390                                                                                  | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529835 | PA      | $512296.18     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/23 #050765                                                                                  | CUSIP: 313615MN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.53          | 0.00%             | 2023-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE AG 7.5%/VAR PERP REGS                                                                      | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | EP               | CORP              | CH        |    7755000 | PA      | $6397875.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LIQUID TELECOMMUNICATIONS FINANCING PLC                                          | LIQUID TELECOMMUNICATIONS FINANCING PLC 5.5% 09/04/2026 144A                                             | CUSIP: 536333AB3<br>LEI: 635400MXAVJRJJCWVI87 | Long             | DBT              | CORP              | GB        |    1205000 | PA      | $831450.00     | 0.00%             | 2026-09-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COVANTA HLDG CORP                                                                | COVANTA TERM C 1LN 11/30/2028                                                                            | CUSIP: N/A<br>LEI: 40XIFLS8XDQGGHGPGC04       | Long             | LON              | CORP              | US        |     110105 | PA      | $107811.05     | 0.00%             | 2028-11-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ISHARES BROAD USD HIGH YIELD CORPORATE BOND ETF                                  | iShares Broad USD High Yield Corp Bd ETF                                                                 | CUSIP: 46435U853<br>LEI: 549300X7H67ZLUE3IZ46 | Long             | EC               | RF                | US        |     508800 | NS      | $18036960.00   | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| SABRA HEALTH CARE LP                                                             | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                                     | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |   24037000 | PA      | $18023923.55   | 0.09%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                | BLACKSTONE PROP PARTNERS EUR HOLD 1% 05/04/2028 REGS                                                     | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    5365000 | PA      | $4341814.15    | 0.02%             | 2028-05-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                                                           | PT PERTAMINA (PERSERO) 4.175% 01/21/2050 144A                                                            | CUSIP: 69370PAG6<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |     405000 | PA      | $313919.55     | 0.00%             | 2050-01-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/48#G61343                                                                                | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1524166 | PA      | $1474494.07    | 0.01%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 4/41 #Q00114                                                                                  | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40181 | PA      | $39969.95      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 1/26 #250440                                                                                  | CUSIP: 31371FEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $58.13         | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.50% 11/27 #780795                                                                                 | CUSIP: 36225A3C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         68 | PA      | $70.74         | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CAMPOSOL SA RGS                                                                  | CAMPOSOL SA 6% 02/03/2027 144A                                                                           | CUSIP: 134638AE5<br>LEI: 5493008B0STMH3JFSW17 | Long             | DBT              | CORP              | PE        |     325000 | PA      | $189475.00     | 0.00%             | 2027-02-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                               | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                       | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14071412 | PA      | $10632640.49   | 0.06%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 06/01/2041#Q01212                                                                         | CUSIP: 3132GEKZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11147 | PA      | $11101.26      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 08/15/2043#AD5680                                                                         | CUSIP: 36180HJZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2442 | PA      | $2370.60       | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 4.25% 02/01/2024                                                                          | CUSIP: 00914AAA0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   11266000 | PA      | $11066384.51   | 0.06%             | 2024-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 3% 10/15/2030                                                                               | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1290854.25    | 0.01%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #AE9416                                                                                 | CUSIP: 31419LPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9200 | PA      | $8887.57       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 05/01/2044#Q26388                                                                         | CUSIP: 3132M6XR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4484 | PA      | $4488.89       | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #399562                                                                                  | CUSIP: 31378HZ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $93.50         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE9771                                                                           | CUSIP: 31419L2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97450 | PA      | $94189.45      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 09/15/2042#AB6821                                                                         | CUSIP: 36178TSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7498 | PA      | $7054.58       | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AP CORE HOLDINGS II LLC                                                          | YAHOO MEDIA TERM B1 1LN 09/01/2027                                                                       | CUSIP: 00187GAC3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     698250 | PA      | $617951.25     | 0.00%             | 2027-09-01      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR                                           | COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR CSTR 05/10/2050                                                   | CUSIP: 12515DAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     739000 | PA      | $615651.15     | 0.00%             | 2050-05-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                          | CORPORACION NACIONAL DEL COBRE DE CHILE 3.15% 01/14/2030 144A                                            | CUSIP: 21987BBB3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     405000 | PA      | $359437.50     | 0.00%             | 2030-01-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2020-SFR1 TR                                                      | FIRSTKEY HOMES 2020-SFR1 TR 4.284% 08/17/2037 144A                                                       | CUSIP: 33767MAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     420000 | PA      | $374983.06     | 0.00%             | 2037-08-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 9/41 #Q03561                                                                                  | CUSIP: 3132GJTS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15769 | PA      | $15272.58      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/29 #781019                                                                                  | CUSIP: 36225BDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         70 | PA      | $71.79         | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLCAN CIA MINERA SAA                                                            | VOLCAN CIA MINERA SAA 4.375% 02/11/2026 144A                                                             | CUSIP: 92863UAB2<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |     275000 | PA      | $234403.13     | 0.00%             | 2026-02-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #466882                                                                                  | CUSIP: 36209BUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        299 | PA      | $308.23        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/31 #608317                                                                                  | CUSIP: 31388LYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $91.53         | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 9/24 #390038                                                                                  | CUSIP: 36205GHP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         76 | PA      | $77.16         | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CEDAR REALTY TRUST INC                                                           | CEDAR RLTY TR I 7.25% PFD PERP                                                                           | CUSIP: 150602407<br>LEI: 54930056URX93R2RSN82 | Long             | EP               | CORP              | US        |        550 | NS      | $7865.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                         | VENTURE GLOBAL CALCASIEU 4.125% 08/15/2031 144A                                                          | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    1485000 | PA      | $1280812.50    | 0.01%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 7/27 #256821                                                                             | CUSIP: 31371NG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32823 | PA      | $33329.93      | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 2.956/VAR 05/13/2031                                                               | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9435000 | PA      | $7867730.45    | 0.04%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                        | BANK IRELAND GROUP PLC 2.375%/VAR 10/14/2029 REGS                                                        | CUSIP: N/A<br>LEI: 635400C8EK6DRI12LJ39       | Long             | DBT              | CORP              | IE        |    2960000 | PA      | $2858674.38    | 0.01%             | 2029-10-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                          | DARLING INGREDIENTS INC 6% 06/15/2030 144A                                                               | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |     810000 | PA      | $789903.90     | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                         | MSCI INC 3.25% 08/15/2033 144A                                                                           | CUSIP: 55354GAQ3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    1220000 | PA      | $958470.02     | 0.01%             | 2033-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                         | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                                | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    4038000 | PA      | $3784347.01    | 0.02%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 12/01/2052 #TBA                                                                             | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12200000 | PA      | $11950756.44   | 0.06%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC COML MTG SECS TR 2016-JP4                                                  | JPMCC COML MTG SECS TR 2016-JP4 CSTR 12/15/2049 144A                                                     | CUSIP: 46645UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     696000 | PA      | $518923.54     | 0.00%             | 2049-12-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SHRIRAM TRANSPORT FINANCE CO LTD                                                 | SHRIRAM TRANSPORT FINANCE CO LTD 4.15% 07/18/2025 144A                                                   | CUSIP: 825547AE2<br>LEI: 335800TM2YO24B76XL26 | Long             | DBT              | CORP              | IN        |     695000 | PA      | $628453.75     | 0.00%             | 2025-07-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 6/40 #G05898                                                                                  | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53491 | PA      | $54510.63      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARMENIA                                                              | REPUBLIC OF ARMENIA 3.6% 02/02/2031 144A                                                                 | CUSIP: 042207AD2<br>LEI: 5299000H77JSW90G7935 | Long             | DBT              | NUSS              | AM        |     560000 | PA      | $428155.00     | 0.00%             | 2031-02-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 11/31 #C01258                                                                                 | CUSIP: 31292HMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3350 | PA      | $3461.30       | 0.00%             | 2031-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARDENAS MERGER SUB LLC                                                          | CARDENAS TONY'S FRESH MARKET TERM 1LN 08/01/2029                                                         | CUSIP: 14141NAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     990000 | PA      | $975565.80     | 0.01%             | 2029-08-01      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                         | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27685 | PA      | $26998.67      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 10/39 #724389                                                                                 | CUSIP: 3620AAXS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3686 | PA      | $3649.23       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                      | IMPERIAL BRANDS FINANCE PLC 6.125% 07/27/2027 144A                                                       | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    7555000 | PA      | $7556694.06    | 0.04%             | 2027-07-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 08/01/2034#C91782                                                                         | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     346414 | PA      | $334464.49     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 12/37 #A69706                                                                                 | CUSIP: 3128L1YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44349 | PA      | $46752.44      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                                | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   10444000 | PA      | $10652880.00   | 0.06%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VTR FINANCE BV                                                                   | VTR FINANCE BV 6.375% 07/15/2028 144A                                                                    | CUSIP: 918374AA7<br>LEI: 213800F4XI4RJB82XM19 | Long             | DBT              | CORP              | NL        |     450000 | PA      | $193584.38     | 0.00%             | 2028-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                             | LIFE 2021-BMR MTG TR 1ML+88 03/15/2036 144A                                                              | CUSIP: 53218CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3263461 | PA      | $3091566.91    | 0.02%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITGO HLDG INC                                                                   | CITGO HLDG INC 9.25% 08/01/2024 144A                                                                     | CUSIP: 17302WAB4<br>LEI: 549300NYHOALWZ2BSL72 | Long             | DBT              | CORP              | US        |     675000 | PA      | $676687.50     | 0.00%             | 2024-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                         | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134145 | PA      | $126626.86     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GUATEMALA, REP OF                                                                | GUATEMALA REP OF 4.9% 06/01/2030 144A                                                                    | CUSIP: 401494AQ2<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     325000 | PA      | $305560.94     | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                           | OCP SA 5.625% 04/25/2024 144A                                                                            | CUSIP: 67091TAA3<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     925000 | PA      | $926156.25     | 0.00%             | 2024-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                | PERU REPUBLIC OF 3.3% 03/11/2041                                                                         | CUSIP: 715638DS8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     700000 | PA      | $522200.00     | 0.00%             | 2041-03-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-21M MTG TR                                                               | BX 2021-21M MTG TR 1ML+401 10/15/2036 144A                                                               | CUSIP: 05609CAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     422422 | PA      | $373263.59     | 0.00%             | 2036-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 5.875% 01/30/2060 144A                                                                | CUSIP: 25714PEE4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     570000 | PA      | $421800.00     | 0.00%             | 2060-01-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 6/40 #A92350                                                                                  | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67240 | PA      | $68522.15      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/31 #604620                                                                                  | CUSIP: 31388GVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $221.85        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 04/15/2043#AD7475                                                                           | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15955 | PA      | $15485.89      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #AE7472                                                                                 | CUSIP: 31419JJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8486 | PA      | $8207.01       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 08/15/2043#AG0440                                                                         | CUSIP: 36181TPZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17137 | PA      | $15878.36      | 0.00%             | 2043-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 1.65% 03/25/2026                                                                             | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   12241000 | PA      | $10987377.03   | 0.06%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ZEKELMAN INDUSTRIES INC                                                          | ZEKELMAN INDUSTRIES TERM 1LN 01/24/2027                                                                  | CUSIP: 98931YAC7<br>LEI: 549300S5LMRAKDWWI425 | Long             | LON              | CORP              | US        |    1083748 | PA      | $1055755.23    | 0.01%             | 2027-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 03/15/2041#738107                                                                           | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11429 | PA      | $11045.15      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                     | UNIVISION COMMUNICATIONS INC 4.5% 05/01/2029 144A                                                        | CUSIP: 914906AV4<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1362000.00    | 0.01%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                   | SEMT 2004-6 A3B 6ML+44 7/34                                                                              | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1700 | PA      | $1532.29       | 0.00%             | 2034-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CTR PARTNERSHIP LP / CARETRUST CAP CORP                                          | CTR PARTNERSHIP LP / CARETRUST CAP CORP 3.875% 06/30/2028 144A                                           | CUSIP: 126458AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3950000 | PA      | $3374485.00    | 0.02%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 3.228% 7/41#AI3469                                                                              | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9721 | PA      | $9864.73       | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/39 #720064                                                                                  | CUSIP: 3620A55Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40129 | PA      | $39687.00      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2020-VKNG                                           | BX COMMERCIAL MORTGAGE TRUST 2020-VKNG E 1ML+210 10/15/2037 144A                                         | CUSIP: 12433YAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     262500 | PA      | $242729.08     | 0.00%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                                    | II-VI TERM B 1LN 07/01/2029                                                                              | CUSIP: 45173JAQ7<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |    4420000 | PA      | $4367534.60    | 0.02%             | 2029-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                               | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                                            | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19300000 | PA      | $524645.41     | 0.00%             | 2042-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                       | MATTEL INC 3.75% 04/01/2029 144A                                                                         | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    4355000 | PA      | $3813542.85    | 0.02%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                    | AIA GROUP LTD 3.375% 04/07/2030 144A                                                                     | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   15590000 | PA      | $13762927.92   | 0.07%             | 2030-04-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 05/15/2043#AC9633                                                                         | CUSIP: 36179KV27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8263 | PA      | $7830.76       | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 7.00% 9/26 #G30299                                                                             | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7275 | PA      | $7410.63       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST 2021-SFR6                                             | PROGRESS RESIDENTIAL TRUST 2021-SFR6 4.003% 07/17/2038 144A                                              | CUSIP: 74333HAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     168000 | PA      | $140941.15     | 0.00%             | 2038-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                    | PG and E CORP 5.25% 07/01/2030                                                                           | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    5870000 | PA      | $5315196.95    | 0.03%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                              | NIGERIA REPUBLIC 6.125% 09/28/2028 144A                                                                  | CUSIP: 65412JAR4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    1095000 | PA      | $841781.25     | 0.00%             | 2028-09-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 06/15/2043#AE4598                                                                         | CUSIP: 36180XDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26828 | PA      | $25424.65      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 3.428% 03/15/2024 144A                                                                    | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    8648000 | PA      | $8396841.67    | 0.04%             | 2024-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 08/01/2040#A93375                                                                         | CUSIP: 312941XC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3467 | PA      | $3451.00       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2047#AX5857                                                                           | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54804 | PA      | $52850.41      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 07/15/2040#739708                                                                         | CUSIP: 3620ATYD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1556 | PA      | $1571.86       | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                         | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     625863 | PA      | $575527.66     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 2/41 #AH4471                                                                                  | CUSIP: 3138A56H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22577 | PA      | $21827.63      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 7.3% 08/15/2031                                                                                | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    4951000 | PA      | $5441065.63    | 0.03%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2047#AL9776                                                                         | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     743176 | PA      | $697398.13     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                              | SIRIUS XM RADIO INC 4.125% 07/01/2030 144A                                                               | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    3055000 | PA      | $2577870.10    | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #448957                                                                                  | CUSIP: 36208EWS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        158 | PA      | $163.59        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 6.50% 1/27 #D97164                                                                             | CUSIP: 3128E35Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3392 | PA      | $3440.85       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS PTY LTD                                                 | AUSNET SERVICES HOLDINGS PTY LTD 1.625%/VAR 03/11/2081 REGS                                              | CUSIP: N/A<br>LEI: TTMIG9TE1S0X3ZPDHD61       | Long             | DBT              | CORP              | AU        |     650000 | PA      | $554382.77     | 0.00%             | 2081-03-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MESSER INDUSTRIES USA INC                                                        | MESSER INDUSTRIES TERM B 1LN 03/01/2026                                                                  | CUSIP: N/A<br>LEI: 529900HNC1EZT3TC1260       | Long             | LON              | CORP              | US        |    1272693 | PA      | $1252546.37    | 0.01%             | 2026-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TULLOW OIL PLC                                                                   | TULLOW OIL PLC 7% 03/01/2025 144A                                                                        | CUSIP: 899415AE3<br>LEI: 2138003EYHWO75RKS857 | Long             | DBT              | CORP              | GB        |     455000 | PA      | $311675.00     | 0.00%             | 2025-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2047#BH3707                                                                         | CUSIP: 3140GSDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69459 | PA      | $68840.63      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                               | NUMERICABLE TERM B-11 07/31/2025                                                                         | CUSIP: 67053NAK0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4367673 | PA      | $4182046.91    | 0.02%             | 2025-07-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MARKS and SPENCER PLC                                                            | MARKS and SPENCER PLC 3.75% 05/19/2026 REGS                                                              | CUSIP: N/A<br>LEI: 213800CN1RI3UCIZWB95       | Long             | DBT              | CORP              | GB        |    2645000 | PA      | $2779645.54    | 0.01%             | 2026-05-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 4/40 #723739                                                                                  | CUSIP: 3620AABG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38532 | PA      | $37232.13      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/40#V81744                                                                              | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316140 | PA      | $298026.94     | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROBLOX CORP                                                                      | ROBLOX CORP 3.875% 05/01/2030 144A                                                                       | CUSIP: 771049AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4985000 | PA      | $4079125.80    | 0.02%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2042#Q13121                                                                         | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106591 | PA      | $103949.79     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                    | UNICREDIT SPA 2.731%/VAR 01/15/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 549300TRUWO2CD2G5692       | Long             | DBT              | CORP              | IT        |    3350000 | PA      | $2962606.51    | 0.02%             | 2032-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                      | BOSTON PPTYS LTD PARTNERSHIP 3.25% 01/30/2031                                                            | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    8522000 | PA      | $7123371.41    | 0.04%             | 2031-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2022-C17                                                            | BBCMS MTG TR 2022-C17 4.889% 09/15/2055                                                                  | CUSIP: 054976AK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     588000 | PA      | $530852.04     | 0.00%             | 2055-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2034#775470                                                                         | CUSIP: 31404QQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9622 | PA      | $9519.76       | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 5.5% 11/15/2027                                                                            | CUSIP: 893647BL0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    8759000 | PA      | $8255357.50    | 0.04%             | 2027-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 4.5% 04/15/2050                                                                         | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    5491000 | PA      | $4638148.81    | 0.02%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #475908                                                                                  | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        575 | PA      | $591.64        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.5% 09/15/2039#713871                                                                         | CUSIP: 36297KCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30541 | PA      | $30230.64      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR REPUBLIC OF                                                          | EL SALVADOR REPUBLIC OF 7.1246% 01/20/2050 144A                                                          | CUSIP: 283875BZ4<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |     405000 | PA      | $146306.25     | 0.00%             | 2050-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                         | CHC COML MTG TR 2019-CHC 1ML+175 06/15/2034 144A                                                         | CUSIP: 162665AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3541260 | PA      | $3390496.78    | 0.02%             | 2034-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COML MTG SECS TR 2012-CIBX                                       | JPMCC 2012-CBX E CSTR 6/45                                                                               | CUSIP: 46637WAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     534936 | PA      | $457797.59     | 0.00%             | 2045-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BROWN GROUP HOLDING LLC                                                          | SIGNATURE AVIATION TERM B2 1LN 06/09/2029                                                                | CUSIP: 11565HAD8<br>LEI: 25490094PF4HHK9QS109 | Long             | LON              | CORP              | US        |    1130000 | PA      | $1121525.00    | 0.01%             | 2029-06-09      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 3/41 #738106                                                                                  | CUSIP: 3620ASAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19166 | PA      | $19366.16      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/24 #377223                                                                                  | CUSIP: 36204RAY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         23 | PA      | $22.79         | 0.00%             | 2024-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 7/40 #004923                                                                               | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116408 | PA      | $115709.16     | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #476062                                                                                  | CUSIP: 36209MZ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $55.73         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 07/01/2043#Q19606                                                                         | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60186 | PA      | $58657.18      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 3/25 #780075                                                                                  | CUSIP: 36225ACL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.00          | 0.00%             | 2025-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG ENERGY INC 5.25% 06/15/2029 144A                                                                     | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1975000 | PA      | $1820268.63    | 0.01%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2018                                                     | DRSLF 2020-78A A 3ML+118 04/17/2033 144A                                                                 | CUSIP: 26253LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8700000 | PA      | $8484657.60    | 0.04%             | 2033-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2012-C5                                  | MSBAM 2012-C5 E VAR 08/15/2045 144A                                                                      | CUSIP: 61761AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159000 | PA      | $146853.32     | 0.00%             | 2045-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/40 #AD8779                                                                                 | CUSIP: 31418WXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1405 | PA      | $1361.31       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                                     | JDE PEETS BV 2.25% 09/24/2031 144A                                                                       | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    3800000 | PA      | $2846950.80    | 0.01%             | 2031-09-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TELEFONICA CELULAR DEL PARAGUAY SA                                               | TELEFONICA CELULAR PARAGUAY SA 5.875% 04/15/2027 144A                                                    | CUSIP: 87936VAB3<br>LEI: 254900R8A8IKGF4THL54 | Long             | DBT              | CORP              | PY        |    1099000 | PA      | $1036203.14    | 0.01%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/39 #935695                                                                                 | CUSIP: 31412U7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19774 | PA      | $19667.65      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 08/01/2045#AZ2035                                                                         | CUSIP: 3138YTHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81002 | PA      | $78593.74      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 3/36 #888342                                                                                  | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49017 | PA      | $50899.28      | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 3.8% 06/09/2023                                                                     | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   13301000 | PA      | $12735161.23   | 0.07%             | 2023-06-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO DE RESERVAS DE LA REPUBLICA DOMINICANA                                     | BANCO DE RESERVAS DE LA REPUBLICA DOMINICANA 7% 02/01/2023 144A                                          | CUSIP: 059566AA7<br>LEI: 549300CKQT0JZ2EGNC56 | Long             | DBT              | CORP              | DO        |     118000 | PA      | $117336.25     | 0.00%             | 2023-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Standard Industries Inc/NJ                                                       | STANDARD INDUSTRIES TERM B 1LN 09/22/2028                                                                | CUSIP: 85350EAB2<br>LEI: 54930064UHXCIUWVI755 | Long             | LON              | CORP              | US        |     987090 | PA      | $975373.24     | 0.01%             | 2028-09-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 5.5% 09/13/2025                                                                            | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    8473000 | PA      | $8599302.69    | 0.04%             | 2025-09-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                      | ASURION TERM B-7 11/03/2024                                                                              | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    6085116 | PA      | $5825220.85    | 0.03%             | 2024-11-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                      | BAMLL COML MTG SECS TR 2019 3.287% 11/05/2032 144A                                                       | CUSIP: 05492PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6400000 | PA      | $5921628.16    | 0.03%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA ASAHAN ALUMINIUM TBK PT                                                | INDONESIA ASAHAN ALUMINIUM TBK PT 5.45% 05/15/2030 144A                                                  | CUSIP: 74445PAF9<br>LEI: 2549008P48EB9SN2OI80 | Long             | DBT              | CORP              | ID        |    1145000 | PA      | $1072578.75    | 0.01%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2021-SFR1 TR                                                  | TRICON RESIDENTIAL 2021-SFR1 TR 4.133% 07/17/2038 144A                                                   | CUSIP: 89614YAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     168000 | PA      | $139401.38     | 0.00%             | 2038-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                      | ROYAL CARIBBEAN CRUISES LTD 5.5% 04/01/2028 144A                                                         | CUSIP: 780153BG6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    3635000 | PA      | $2967068.75    | 0.02%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2013-133 IB 3% 04/32                                                                                 | CUSIP: 3136AHQ94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     154926 | PA      | $5086.61       | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#741539                                                                         | CUSIP: 31402XZC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21424 | PA      | $21186.84      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 10/01/2045#BA4574                                                                         | CUSIP: 3140E9CL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179489 | PA      | $174152.48     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 4.282% 01/09/2028 144A                                                              | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    3350000 | PA      | $2729620.67    | 0.01%             | 2028-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 09/01/2033#                                                                                 | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37130 | PA      | $38437.39      | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3366 FD 1ML+25 5/37                                                                                  | CUSIP: 31397KMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     122579 | PA      | $121918.16     | 0.00%             | 2037-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/28 #482687                                                                                  | CUSIP: 36209VF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         68 | PA      | $70.13         | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/29 #520559                                                                                 | CUSIP: 31384DJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1597 | PA      | $1691.32       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER | PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER 7.5% 06/01/2025 144A    | CUSIP: 70052LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     560000 | PA      | $564200.00     | 0.00%             | 2025-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 11/01/2032#MA3188                                                                           | CUSIP: 31418CRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18707 | PA      | $17870.23      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/41 #778681                                                                                 | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64543 | PA      | $62318.14      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#CB2348                                                                           | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3564420 | PA      | $2948854.14    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 12/35 #AD0723                                                                                 | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146683 | PA      | $153796.33     | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                            | LCH OIS SOFRV3.25% MAC 12/21/24                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |   27295000 | NC      | $-247987.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE7382                                                                           | CUSIP: 31419JFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44634 | PA      | $43227.02      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 06/01/2041#                                                                               | CUSIP: 3132GESV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16513 | PA      | $16446.48      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NATIONAL ASSOCIATION                                            | WELLS FARGO BK NATL ASSN 5.25% 08/01/2023 REGS                                                           | CUSIP: N/A<br>LEI: KB1H1DSPRFMYMCUFXT09       | Long             | DBT              | CORP              | US        |     850000 | PA      | $1024933.75    | 0.01%             | 2023-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2034#782425                                                                         | CUSIP: 31404YHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8795 | PA      | $8697.85       | 0.00%             | 2034-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXA RESOURCES SA                                                                | NEXA RESOURCES SA 6.5% 01/18/2028 144A                                                                   | CUSIP: 65290DAA1<br>LEI: 549300QRMRHM7GAU7L47 | Long             | DBT              | CORP              | LU        |     965000 | PA      | $932431.25     | 0.00%             | 2028-01-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                            | EG GLOBAL FINANCE PLC 8.5% 10/30/2025 144A                                                               | CUSIP: 28228PAB7<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |    4855000 | PA      | $4633272.78    | 0.02%             | 2025-10-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                         | SOUTH AFRICA REPUBLIC OF 4.85% 09/27/2027                                                                | CUSIP: 836205AW4<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     480000 | PA      | $456990.00     | 0.00%             | 2027-09-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/35 #833016                                                                                  | CUSIP: 31407KN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        352 | PA      | $362.12        | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 6/41 #005082                                                                               | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     707666 | PA      | $703446.79     | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA                                                        | PETROLEOS DE VENEZUELA SA 12.75% 12/31/2049 144A                                                         | CUSIP: 716558AC5<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      98000 | PA      | $4410.81       | 0.00%             | 2049-12-31      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/24 #388655                                                                                  | CUSIP: 36205EWQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         78 | PA      | $78.77         | 0.00%             | 2024-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CRPT 2021                                                                        | CRPT 2021 1ML+220 07/15/2034 144A                                                                        | CUSIP: 12566BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162932 | PA      | $151413.32     | 0.00%             | 2036-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 07/01/2043#Q19690                                                                         | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86083 | PA      | $83896.38      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 5/32 #643194                                                                                  | CUSIP: 31390DRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1114 | PA      | $1155.56       | 0.00%             | 2032-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED PF HOLDINGS LLC                                                           | UNITED PLANET FITNESS TERM B 1LN 12/30/2026                                                              | CUSIP: 91132UAK9<br>LEI: 2549002AF6PASVP2G486 | Long             | LON              | CORP              | US        |     436100 | PA      | $407753.50     | 0.00%             | 2026-12-30      | Variable      | 0.12%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 5/27 #256738                                                                             | CUSIP: 31371NEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5413 | PA      | $5494.15       | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2039#AO3525                                                                         | CUSIP: 3138LT4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55471 | PA      | $55161.70      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.75% 02/01/2032 144A                                                             | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1225000 | PA      | $1024406.25    | 0.01%             | 2032-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                           | IPALCO ENTERPRISES INC 3.7% 09/01/2024                                                                   | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    3797000 | PA      | $3677199.45    | 0.02%             | 2024-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/28 #416921                                                                                  | CUSIP: 31379ED20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $65.74         | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 12/15/2041#778657                                                                         | CUSIP: 36176WZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9336 | PA      | $8806.24       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 08/20/2043#MA1520                                                                           | CUSIP: 36179NVM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4849 | PA      | $4467.29       | 0.00%             | 2043-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/46#AS7008                                                                                | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49988 | PA      | $46986.14      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 4/40 #723743                                                                                  | CUSIP: 3620AABL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17070 | PA      | $16505.72      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 2/27 #256628                                                                             | CUSIP: 31371NA54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2947 | PA      | $2985.56       | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                         | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                          | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $2119508.04    | 0.01%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3.625% 01/15/2032 144A                                | CUSIP: 46590XAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27395000 | PA      | $22600875.00   | 0.12%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/31 #474767                                                                                  | CUSIP: 36209LMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        364 | PA      | $380.43        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-SFP                                                           | HILTON USA TR 2016-SFP 6.15522% 11/05/2035 144A                                                          | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     846000 | PA      | $783767.14     | 0.00%             | 2035-11-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 9/33 #C01622                                                                                  | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16362 | PA      | $16495.06      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 12/23 #780738                                                                                 | CUSIP: 36225AZB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193 | PA      | $193.76        | 0.00%             | 2023-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 01/01/2046#AS6486                                                                           | CUSIP: 3138WGF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2680381 | PA      | $2611580.80    | 0.01%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/27 #411518                                                                                 | CUSIP: 31378XDX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $38.70         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/26 #339193                                                                                  | CUSIP: 31375MXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $157.27        | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                                 | GALAXY PIPELINE ASSETS BIDCO LTD 2.625% 03/31/2036 144A                                                  | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    1890000 | PA      | $1496998.13    | 0.01%             | 2036-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                   | SMRT 2022-MINI TSFR1M+335 01/15/2039 144A                                                                | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     903000 | PA      | $823782.34     | 0.00%             | 2039-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TR 2022-VAMF                                                                  | BX TR 2022-VAMF TSFR1M+329.9 01/15/2039 144A                                                             | CUSIP: 05609TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91000 | PA      | $82560.70      | 0.00%             | 2039-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MHP 2022-MHIL F                                                                  | MHP 2022-MHIL F TSFR1M+395.75 01/15/2027 144A                                                            | CUSIP: 55293DAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     612145 | PA      | $555825.53     | 0.00%             | 2027-01-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/27 #780631                                                                                  | CUSIP: 36225AVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $59.12         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 05/01/2051#CB0454                                                                         | CUSIP: 3140QKQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20855629 | PA      | $17944346.07   | 0.09%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNR 2006-62 KP PO 0% 4/36                                                                                | CUSIP: 31395N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      47003 | PA      | $38465.62      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DCERT BUYER INC                                                                  | DIGICERT TERM B 2LN 02/19/2029                                                                           | CUSIP: N/A<br>LEI: 549300EF826JEEUCHZ67       | Long             | LON              | CORP              | US        |    1330000 | PA      | $1204487.90    | 0.01%             | 2029-02-19      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | FX Forward: EUR/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $148.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/27 #451362                                                                                  | CUSIP: 36208HMK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $65.90         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 05/01/2040#                                                                                 | CUSIP: 312940LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19052 | PA      | $19374.54      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2020-CNP                                                 | MORGAN STANLEY CAP I TR 2020-CNP CSTR 04/05/2042 144A                                                    | CUSIP: 61770YAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252000 | PA      | $160436.03     | 0.00%             | 2042-04-05      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 12/01/2052 #TBA                                                                               | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   83325000 | PA      | $75153783.87   | 0.39%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/31 #551661                                                                                  | CUSIP: 36213DZ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1343 | PA      | $1414.87       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                           | OREILLY AUTOMOTIVE INC 4.2% 04/01/2030                                                                   | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    2481000 | PA      | $2350954.17    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA                                                        | PETROLEOS DE VENEZUELA SA 5.375% 04/12/2027 REGS                                                         | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | VE        |     353900 | PA      | $15925.50      | 0.00%             | 2027-04-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 4/34 #574566                                                                                  | CUSIP: 36200WJK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1322 | PA      | $1353.37       | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                                            | FREEPORT INDONESIA PT 5.315% 04/14/2032 144A                                                             | CUSIP: 69377FAB2<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |     530000 | PA      | $486275.00     | 0.00%             | 2032-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 1/36 #256117                                                                                  | CUSIP: 31371MPA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3816 | PA      | $3780.61       | 0.00%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                                                           | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     416205 | PA      | $406816.41     | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 12/01/2033#J40010                                                                           | CUSIP: 31307YAK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58355 | PA      | $55701.15      | 0.00%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 10/24 #385300                                                                                 | CUSIP: 36205A7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.34         | 0.00%             | 2024-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2040#V81771                                                                         | CUSIP: 3132L66G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112039 | PA      | $105619.61     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDEPENDENCE PLAZA TR 2018-INDP                                                  | INDEPENDENCE PLAZA TR 2018-INDP E 4.996% 07/10/2035 144A                                                 | CUSIP: 45378YAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592000 | PA      | $519003.26     | 0.00%             | 2035-07-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2044#Q24546                                                                         | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40517 | PA      | $39462.82      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                    | COMMSCOPE INC 8.25% 03/01/2027 144A                                                                      | CUSIP: 20338QAA1<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |     545000 | PA      | $467830.73     | 0.00%             | 2027-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 4/1/43 #AT0648                                                                            | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370964 | PA      | $350084.10     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DG INVESTMENT INTERMEDIATE HOLDINGS 2 INC                                        | CONVERGINT TECH TERM B 1LN 03/31/2028                                                                    | CUSIP: 23344MAC2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1367733 | PA      | $1307894.58    | 0.01%             | 2028-03-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                     | UNIVISION TERM B 1LN 01/31/2029                                                                          | CUSIP: 914908BB3<br>LEI: 549300YQDE2JSGTL8V47 | Long             | LON              | CORP              | US        |    3790950 | PA      | $3680367.99    | 0.02%             | 2029-01-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047        | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18624000 | PA      | $15407392.53   | 0.08%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 5.75% 10/12/2110                                                            | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1520000 | PA      | $1315085.00    | 0.01%             | 2110-10-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/33 #604422                                                                                  | CUSIP: 36200MPF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1485 | PA      | $1484.78       | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2048#MA3307                                                                         | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67084 | PA      | $66403.04      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 01/01/2035#FM2349                                                                           | CUSIP: 3140X5TF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12603986 | PA      | $11984871.63   | 0.06%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AEROPUERTO INTERNACIONAL DE TOCUMEN SA                                           | AEROPUERTO INTERNACIONAL DE TOCUMEN SA 5.125% 08/11/2061 144A                                            | CUSIP: 00787CAE2<br>LEI: 254900FO1PHX49ZIGB14 | Long             | DBT              | CORP              | PA        |     295000 | PA      | $223333.44     | 0.00%             | 2061-08-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2014-C24                                                       | WFRBS 2014-C24 XA CSTR 11/47                                                                             | CUSIP: 92939KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10142106 | PA      | $124699.22     | 0.00%             | 2047-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                         | CHC COML MTG TR 2019-CHC F 1ML+280 06/15/2034 144A                                                       | CUSIP: 162665AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2125947 | PA      | $1945106.47    | 0.01%             | 2034-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 3.352%/VAR 04/24/2025                                                                      | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    9970000 | PA      | $9641238.55    | 0.05%             | 2025-04-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNR 1996-28 PK 6.5% 7/25                                                                                 | CUSIP: 31359KKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       2628 | PA      | $2621.62       | 0.00%             | 2025-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/41 #552550                                                                                 | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36512 | PA      | $35261.73      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 5.584% 03/18/2024                                                                     | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   12456000 | PA      | $12315870.00   | 0.06%             | 2024-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #AE2683                                                                                 | CUSIP: 31419C6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8837 | PA      | $8553.95       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC 3.5% 04/04/2025 144A                                                            | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    4316000 | PA      | $4133085.72    | 0.02%             | 2025-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                    | COMMSCOPE TERM B 1LN 04/04/2026                                                                          | CUSIP: 20337EAQ4<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | LON              | CORP              | US        |    5998832 | PA      | $5757019.56    | 0.03%             | 2026-04-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.75% 02/15/2028                                                                               | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54737100 | PA      | $51908303.64   | 0.27%             | 2028-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                       | DAVITA INC 4.625% 06/01/2030 144A                                                                        | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    7540000 | PA      | $6103479.20    | 0.03%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2047#AS9602                                                                         | CUSIP: 3138WKU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60653 | PA      | $60131.77      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 4/26 #303856                                                                                  | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2026 | PA      | $2058.87       | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2021-MC                                                           | BX COML MTG TR 2021-MC G 1ML+308.68 04/15/2034 144A                                                      | CUSIP: 05608GAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     397500 | PA      | $338458.81     | 0.00%             | 2034-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 10/01/2051#CB1801                                                                           | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9806906 | PA      | $8116343.75    | 0.04%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TULLOW OIL PLC                                                                   | TULLOW OIL PLC 10.25% 05/15/2026 144A                                                                    | CUSIP: 899415AG8<br>LEI: 2138003EYHWO75RKS857 | Long             | DBT              | CORP              | GB        |    1300000 | PA      | $1118000.00    | 0.01%             | 2026-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AS4758                                                                           | CUSIP: 36193PJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35222 | PA      | $33107.13      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 9/41 #G06719                                                                                  | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137805 | PA      | $137239.46     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 7.75% 09/01/2028 144A                                                                 | CUSIP: 903724AT9<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     820000 | PA      | $191470.00     | 0.00%             | 2028-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 7/29 #C29204                                                                                  | CUSIP: 31293TGM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        236 | PA      | $241.14        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 04/01/2032#J36729                                                                           | CUSIP: 31307TPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39407 | PA      | $37713.63      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | ALTRIA GROUP INC 5.95% 02/14/2049                                                                        | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    2582000 | PA      | $2293268.13    | 0.01%             | 2049-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2047#BE1526                                                                         | CUSIP: 3140FLVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76516 | PA      | $71778.93      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.25% 05/31/2028                                                                               | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31141000 | PA      | $27205799.34   | 0.14%             | 2028-05-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 3/26 #339493                                                                                  | CUSIP: 31375NC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $103.31        | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 04/15/2043#AA6286                                                                         | CUSIP: 36178D6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27387 | PA      | $25375.23      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 4.063% 11/01/2024                                                                     | CUSIP: 345397ZX4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   42632000 | PA      | $41154617.88   | 0.22%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 08/01/2042#Q10217                                                                           | CUSIP: 3132HLG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14059 | PA      | $12777.60      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SRAM LLC                                                                         | SRAM TERM B 1LN 05/12/2028                                                                               | CUSIP: 85232BAT3<br>LEI: 5493005GYDYQG38FCT53 | Long             | LON              | CORP              | US        |    1477500 | PA      | $1446103.10    | 0.01%             | 2028-05-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/32 #582105                                                                                  | CUSIP: 36201FU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        860 | PA      | $903.65        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDEN ENTERTAINMENT INC                                                         | GOLDEN ENTERTAINMENT INC 7.625% 04/15/2026 144A                                                          | CUSIP: 381013AA9<br>LEI: 549300P8YYCKQVJ0Y638 | Long             | DBT              | CORP              | US        |    3385000 | PA      | $3351150.00    | 0.02%             | 2026-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                       | SYSCO CORP 5.95% 04/01/2030                                                                              | CUSIP: 871829BL0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    4765000 | PA      | $4982572.71    | 0.03%             | 2030-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.25% 02/01/2031 144A                                                             | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4019000 | PA      | $3262624.20    | 0.02%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 11/20/2044#MA2372                                                                           | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     882343 | PA      | $862840.86     | 0.00%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #711174                                                                                  | CUSIP: 36297GCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19145 | PA      | $18947.48      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/25 #319563                                                                                  | CUSIP: 31374N5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $135.22        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 7.00% 11/26 #C91010                                                                            | CUSIP: 3128P7DP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        670 | PA      | $682.50        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/27 #446830                                                                                  | CUSIP: 36208CLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        413 | PA      | $428.04        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                     | SM ENERGY CO 5.625% 06/01/2025                                                                           | CUSIP: 78454LAL4<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1391157.34    | 0.01%             | 2025-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COVANTA HLDG CORP                                                                | COVANTA HLDG CORP 4.875% 12/01/2029 144A                                                                 | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |    3410000 | PA      | $2881450.00    | 0.02%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2043#Q21835                                                                         | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68536 | PA      | $66752.46      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                                | CITIGROUP MTG LN TR 2014-8 VAR 06/27/2037 144A                                                           | CUSIP: 17323AAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     138440 | PA      | $134603.67     | 0.00%             | 2037-06-27      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/25 #414186                                                                                  | CUSIP: 36206LCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        535 | PA      | $540.54        | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 10/01/2050#CA7323                                                                           | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3221880 | PA      | $2683592.86    | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 05/20/2050#MA6657                                                                           | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1426288 | PA      | $1338523.35    | 0.01%             | 2050-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 03/01/2029#                                                                                 | CUSIP: 31293L6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $181.81        | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                                                         | ENEL SOCIETA PER AZIONI 3.375%/VAR PERP REGS                                                             | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |    2010000 | PA      | $1900746.95    | 0.01%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                                        | EQM MIDSTREAM PARTNERS LP 4% 08/01/2024                                                                  | CUSIP: 26885BAA8<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    1375000 | PA      | $1313125.00    | 0.01%             | 2024-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 06/15/2043#AD5663                                                                         | CUSIP: 36180HJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6907 | PA      | $6703.67       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/31 #253895                                                                                  | CUSIP: 31371J7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $88.51         | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/27 #451506                                                                                 | CUSIP: 36208HR32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         96 | PA      | $99.11         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/01/2040#C03486                                                                         | CUSIP: 31292K2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20594 | PA      | $20506.89      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GCM MINING CORP                                                                  | GCM MINING CORP 6.875% 08/09/2026 144A                                                                   | CUSIP: 38501DAR6<br>LEI: 5493001GJ5TILX6L1F82 | Long             | DBT              | CORP              | CA        |     930000 | PA      | $692664.00     | 0.00%             | 2026-08-09      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                                    | NORDSTROM INC 4.375% 04/01/2030                                                                          | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |     775000 | PA      | $622282.38     | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/01/2043#Q22677                                                                         | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47120 | PA      | $45893.71      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2043#AU1335                                                                         | CUSIP: 3138X0PV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48219 | PA      | $45504.63      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KRONOS ACQ / KIK CUSTOM                                                          | KRONOS ACQ / KIK CUSTOM 5% 12/31/2026 144A                                                               | CUSIP: 50106GAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3255000 | PA      | $2967388.20    | 0.02%             | 2026-12-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/41 #552554                                                                                 | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134653 | PA      | $130042.12     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #450582                                                                                  | CUSIP: 36208GRB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        178 | PA      | $180.74        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                      | MOODYS CORP 4.875% 02/15/2024                                                                            | CUSIP: 615369AC9<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    3926000 | PA      | $3916636.25    | 0.02%             | 2024-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                                                 | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                                                    | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17113928 | PA      | $15444967.90   | 0.08%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#734091                                                                         | CUSIP: 31402NRL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32674 | PA      | $32314.36      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2% 08/01/2035#RC1535                                                                           | CUSIP: 3133L7V46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1329225 | PA      | $1201922.86    | 0.01%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2011-H14 FC 1ML+50 5/61                                                                              | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     312740 | PA      | $309818.51     | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/01/2046#BC9014                                                                         | CUSIP: 3140F5AQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1462076 | PA      | $1374300.03    | 0.01%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.875% 08/14/2024                                     | CUSIP: 00774MAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   12392000 | PA      | $11728835.18   | 0.06%             | 2024-08-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9                                                                    | DBJPM 2020-C9 2.25% 09/15/2053 144A                                                                      | CUSIP: 233063BS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     212000 | PA      | $130871.27     | 0.00%             | 2053-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE8185                                                                           | CUSIP: 31419KCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42680 | PA      | $41232.45      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN29                                                                   | BANK 2020-BN29 2.5% 11/15/2053 144A                                                                      | CUSIP: 06541TAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     294000 | PA      | $168953.92     | 0.00%             | 2053-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 8/35 #735744                                                                                  | CUSIP: 31402RLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2506 | PA      | $2615.71       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 12/01/2027#                                                                               | CUSIP: 31283G6V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $35.96         | 0.00%             | 2027-12-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE EXPRESS INC                                                            | WORLDWIDE EXPRESS GLOBALTRANZ TERM 1LN 07/22/2028                                                        | CUSIP: 00435UAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1578075 | PA      | $1428820.67    | 0.01%             | 2028-07-22      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C16                                                       | WFRBS COML MTG TR 2013-C16 CSTR 09/15/2046                                                               | CUSIP: 92938EBR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115000 | PA      | $103438.68     | 0.00%             | 2046-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 4.054% 03/15/2029 144A                                                                    | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    3210000 | PA      | $2811093.88    | 0.01%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                             | ZF EUROPE FINANCE BV 2% 02/23/2026 REGS                                                                  | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |     800000 | PA      | $737668.85     | 0.00%             | 2026-02-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2018-285M                                               | NATIXIS COML MTG SECS TR 2018-285M CSTR 11/15/2032 144A                                                  | CUSIP: 63874FAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170000 | PA      | $133183.36     | 0.00%             | 2032-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EPICOR SOFTWARE CORPORATION                                                      | EPICOR SOFTWARE TERM B 1LN 07/31/2027                                                                    | CUSIP: 29426NAN4<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |    2830036 | PA      | $2729796.16    | 0.01%             | 2027-07-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2013-LC6 MTG TR                                                             | COMM 2013-LC6 D MTG TR CSTR 01/10/2046 144A                                                              | CUSIP: 20048EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     909000 | PA      | $886401.81     | 0.00%             | 2046-01-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/28 #443819                                                                                  | CUSIP: 31380MAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        436 | PA      | $453.93        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                      | ASURION TERM B4 2LN 01/20/2029                                                                           | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    1925000 | PA      | $1474222.75    | 0.01%             | 2029-01-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                             | OLYMPUS WATER US HOLDING CORPORATION 6.25% 10/01/2029 144A                                               | CUSIP: 681639AB6<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |    1635000 | PA      | $1179717.90    | 0.01%             | 2029-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/41 #AH8876                                                                                  | CUSIP: 3138AA2J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5404 | PA      | $5369.17       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INGERSOLL-RAND GLOBAL HLDG CO LTD                                                | INGERSOLL RAND GLB HLDG CO LTD 4.25% 06/15/2023                                                          | CUSIP: 45687AAJ1<br>LEI: 549300UCF0D858BIOV83 | Long             | DBT              | CORP              | US        |    3073000 | PA      | $3063106.57    | 0.02%             | 2023-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS AMER 2019-1 TR                                                     | HOME PARTNERS AMER 2019-1 TR 4.101% 09/17/2039 144A                                                      | CUSIP: 43731QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80947 | PA      | $69260.51      | 0.00%             | 2039-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                  | FX Forward: USD/EUR settle 2022-12-01                                                                    | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-16401.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 4.95% 06/15/2028                                                                      | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    7159000 | PA      | $6925163.15    | 0.04%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                                          | GSMS 2011-GC5 D 5.47 8/44                                                                                | CUSIP: 36191YAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     342592 | PA      | $141242.84     | 0.00%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AB2079                                                                                  | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602593 | PA      | $582626.73     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 7/32 #545762                                                                                  | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7890 | PA      | $8261.68       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BBCMS 2016-ETC MTG TR                                                            | BBCMS 2016-ETC E CSTR 08/14/36                                                                           | CUSIP: 05491LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     363000 | PA      | $272643.89     | 0.00%             | 2036-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 3.625% 03/15/2032 144A                                                                           | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1921000 | PA      | $1642156.78    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #726938                                                                                  | CUSIP: 31402ES33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39636 | PA      | $39201.02      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2010-135 LS -1ML+605 12/40                                                                           | CUSIP: 31398SD91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     168081 | PA      | $14330.21      | 0.00%             | 2040-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                             | LIFE 2021-BMR MTG TR 1ML+140 03/15/2026 144A                                                             | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2855528 | PA      | $2683642.04    | 0.01%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MESQUITE ENERGY INC                                                              | MESQUITE ENERGY INC 7.25% 02/15/2023 144A                                                                | CUSIP: 79970YAE5<br>LEI: 549300SB0HTIM17TVR61 | Long             | DBT              | CORP              | US        |    4592000 | PA      | $0.46          | 0.00%             | 2023-02-15      | Fixed         | 0.07%                 | No            |                  3 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                   | URUGUAY REPUBLICA ORIENTAL DL 5.1% 06/18/2050                                                            | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    1230000 | PA      | $1223850.00    | 0.01%             | 2050-06-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 6/26 #347952                                                                                  | CUSIP: 31375XQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1105 | PA      | $1127.12       | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2043#Q15893                                                                         | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33746 | PA      | $32909.68      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 6/35 #829377                                                                                  | CUSIP: 31407FM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2960 | PA      | $3098.75       | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                                                                        | PIKE TERM B 1LN 01/21/2028                                                                               | CUSIP: 72108PAT1<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |    1050000 | PA      | $1036224.00    | 0.01%             | 2028-01-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #451321                                                                                  | CUSIP: 36208HLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         81 | PA      | $83.30         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIT WORLDWIDE LOGISTICS HOLDINGS INC                                             | AIT WORLDWIDE LOGISTICS TERM 1LN 04/06/2028                                                              | CUSIP: 00145AAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2178549 | PA      | $1982479.24    | 0.01%             | 2028-04-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2012-H01 FA 1ML+70 11/61                                                                             | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     404201 | PA      | $401668.17     | 0.00%             | 2061-11-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 8% 12/15/2025 144A                                                                         | CUSIP: 893647BK2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    2515000 | PA      | $2559012.50    | 0.01%             | 2025-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HOLLY EN PART LP/ HOL FIN CORP                                                   | HOLLY EN PART LP/ HOL FIN CORP 5% 02/01/2028 144A                                                        | CUSIP: 435765AH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4150000 | PA      | $3781322.96    | 0.02%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #737369                                                                                  | CUSIP: 31402TFJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25818 | PA      | $25535.23      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 12/01/2045#G61829                                                                           | CUSIP: 31335CA61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     532546 | PA      | $521514.39     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| M and G PLC                                                                      | PRUDENTIAL PLC 5.625%/VAR 10/20/2051 REGS                                                                | CUSIP: N/A<br>LEI: 254900TWUJUQ44TQJY84       | Long             | DBT              | CORP              | GB        |    2650000 | PA      | $2936067.95    | 0.02%             | 2051-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/40 #AE4645                                                                                 | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39664 | PA      | $38371.71      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                                          | GS MTG SECS TR 2011-GC5 4.5% 08/10/2044 144A                                                             | CUSIP: 36191YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     733782 | PA      | $2573.96       | 0.00%             | 2044-08-10      | Fixed         | 0.04%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/27 #251265                                                                                  | CUSIP: 31371GCA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1844 | PA      | $1917.18       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 3.298% 01/19/2033                                                                     | CUSIP: 698299BR4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     615000 | PA      | $506452.50     | 0.00%             | 2033-01-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.50% 12/40 #004881                                                                              | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     247180 | PA      | $233527.71     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                              | NIGERIA REPUBLIC 6.5% 11/28/2027 144A                                                                    | CUSIP: 65412JAC7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     315000 | PA      | $250031.25     | 0.00%             | 2027-11-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                                          | CAN 10YR BOND FUT MAR23 CNH3                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | CA        |        174 | NC      | $103693.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 6.25% 02/01/2027 144A                                                              | CUSIP: 88033GCX6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    1129000 | PA      | $1081525.55    | 0.01%             | 2027-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #353838                                                                                  | CUSIP: 36203NBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         80 | PA      | $83.30         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 02/15/2043#AD1736                                                                         | CUSIP: 36180C4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     540979 | PA      | $512854.23     | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2011-C5                                                        | WFRBS COML MTG TR 2011-C5 VAR 11/15/2044 144A                                                            | CUSIP: 92936JAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205000 | PA      | $178373.96     | 0.00%             | 2044-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 10/01/2034#CA4265                                                                           | CUSIP: 3140QBW38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2098386 | PA      | $1997279.68    | 0.01%             | 2034-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUIS FT BS MTG SECS CRP                                                   | CSFB 1998-C1 H 6% 5/40                                                                                   | CUSIP: 22540AGB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2119 | PA      | $2117.89       | 0.00%             | 2040-05-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/23 #358743                                                                                  | CUSIP: 36203TP41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         20 | PA      | $19.64         | 0.00%             | 2023-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 1/32 #625027                                                                                  | CUSIP: 31389GLG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $159.73        | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 08/01/2032#J37406                                                                           | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82486 | PA      | $78941.20      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 5/23 #352193                                                                                  | CUSIP: 36203LGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.11          | 0.00%             | 2023-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 02/20/2051#MA7192                                                                             | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13885825 | PA      | $11862665.60   | 0.06%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 02/15/2043#AD2180                                                                         | CUSIP: 36180DM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19915 | PA      | $18879.77      | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 5.95% 01/08/2046 144A                                                              | CUSIP: 455780BW5<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     560000 | PA      | $585900.00     | 0.00%             | 2046-01-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERITAS MULTIFAMILY PORTFOLIO POOL A                                             | VERITAS POOL A MEZZ 1ML+850 11/15/2023                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    3069200 | PA      | $2946432.04    | 0.02%             | 2023-11-15      | Variable      | 0.12%                 | No            |                  3 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | CREDIT AGRICOLE SA 1.25% 10/02/2024 REGS                                                                 | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | CORP              | FR        |     900000 | PA      | $1017027.31    | 0.01%             | 2024-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SHEARERS FOODS LLC                                                               | SHEARER'S FOODS TERM B 1LN 09/23/27                                                                      | CUSIP: 82087UAL1<br>LEI: 549300AQWIJSYS2CIH04 | Long             | LON              | CORP              | US        |    2193850 | PA      | $2083060.42    | 0.01%             | 2027-09-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN AB                                                                    | HEIMSTADEN AB 4.375% 03/06/2027 REGS                                                                     | CUSIP: N/A<br>LEI: 549300WD2QBD89VBPV88       | Long             | DBT              | CORP              | SE        |    2400000 | PA      | $1721735.13    | 0.01%             | 2027-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 4/36 #A79236                                                                                  | CUSIP: 3128LDHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96246 | PA      | $97449.88      | 0.00%             | 2036-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/40 #747153                                                                                  | CUSIP: 3620C3BW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6706 | PA      | $6770.37       | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COML MTG SECS TR 2012-CIBX                                       | JPMCC 2012-CBX G 4.0% 6/45 144A                                                                          | CUSIP: 46637WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     674000 | PA      | $163386.29     | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                   | BLACKSTONE PRIVATE CREDIT FUND 4.7% 03/24/2025                                                           | CUSIP: 09261HAT4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   38436000 | PA      | $37564535.58   | 0.20%             | 2025-03-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FIN II LLC 4.25% 12/15/2025 144A                                                                | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    8579000 | PA      | $8319557.23    | 0.04%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2042#Q06232                                                                         | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2472123 | PA      | $2391090.88    | 0.01%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/01/2042#Q12215                                                                         | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5409 | PA      | $5227.18       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/27 #446822                                                                                  | CUSIP: 36208CLB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         59 | PA      | $60.92         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 6/27 #391692                                                                                  | CUSIP: 31377ZC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $43.34         | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 05/20/2046#AS9183                                                                           | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23148 | PA      | $21758.27      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                         | QATAR ST 3.75% 04/16/2030 144A                                                                           | CUSIP: 74727PBD2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    3631000 | PA      | $3485760.00    | 0.02%             | 2030-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 5.21% 3/36 #1G1851                                                                              | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26266 | PA      | $26045.70      | 0.00%             | 2036-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #397053                                                                                  | CUSIP: 31378FBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $41.31         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Red Planet Borrower LLC                                                          | LIFTOFF TERM B 1LN 09/30/2028                                                                            | CUSIP: 57165KAB2<br>LEI: 254900LGTHBRY5NA0C90 | Long             | LON              | CORP              | US        |    1345107 | PA      | $802584.72     | 0.00%             | 2028-09-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 4.375% 08/01/2023                                                         | CUSIP: 681936BJ8<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    3145000 | PA      | $3103882.11    | 0.02%             | 2023-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 10/36 #654552                                                                                 | CUSIP: 36294NEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2693 | PA      | $2846.07       | 0.00%             | 2036-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/40 #AE3014                                                                                  | CUSIP: 31419DK42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10260 | PA      | $10193.02      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 02/01/2044#Q25157                                                                         | CUSIP: 3132M5ME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83742 | PA      | $83829.99      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                         | BUILDERS FIRSTSOURCE INC 4.25% 02/01/2032 144A                                                           | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    1585000 | PA      | $1284896.72    | 0.01%             | 2032-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                               | STORE CAP CORP 2.75% 11/18/2030                                                                          | CUSIP: 862121AC4<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |    3880000 | PA      | $3025640.72    | 0.02%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENGAL DEBT MERGER SUB LLC                                                       | TROPICANA TERM 1LN 01/24/2029                                                                            | CUSIP: 62984CAD5<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |    3600975 | PA      | $3384916.50    | 0.02%             | 2029-01-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NAGACORP LTD                                                                     | NAGACORP LTD 7.95% 07/06/2024 REGS                                                                       | CUSIP: N/A<br>LEI: 549300MMNKN0RBJELS20       | Long             | DBT              | CORP              | KY        |    1450000 | PA      | $1288053.13    | 0.01%             | 2024-07-06      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/32 #569880                                                                                  | CUSIP: 36200RCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        116 | PA      | $120.75        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AEA INTERNATIONAL HOLDINGS LUXEMBOURG SARL                                       | INTERNATIONAL SOS TERM B 1LN 09/07/2028                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | LU        |     774150 | PA      | $760602.38     | 0.00%             | 2028-09-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD                                                                 | FLATIRON CLO LTD 3ML+109 11/16/2034 144A                                                                 | CUSIP: 33883JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12500000 | PA      | $12160687.50   | 0.06%             | 2034-11-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2004-73 AL -1ML+720 8/34                                                                             | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      35216 | PA      | $4261.58       | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/40 #AE4113                                                                                 | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173164 | PA      | $167539.21     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/40 #AB1379                                                                                  | CUSIP: 31416WQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6003 | PA      | $5964.37       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053         | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   30184000 | PA      | $24253229.75   | 0.13%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.25% 03/31/2024                                                                               | CUSIP: 91282CEG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5100000 | PA      | $4945007.84    | 0.03%             | 2024-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| REXFORD INDL RLTY INC                                                            | REXFORD INDL RLTY INC SER B 5.875% PERP PFD                                                              | CUSIP: 76169C308<br>LEI: 549300MSLO0DF0EMX355 | Long             | EP               | CORP              | US        |      16525 | NS      | $374787.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STARFRUIT US HOLDCO LLC                                                          | AKZONOBEL SPECIALTY CHEMICALS TERM B 10/01/2025                                                          | CUSIP: N/A<br>LEI: 213800XPQ78J7OIF6Y69       | Long             | LON              | CORP              | US        |    2396725 | PA      | $2333212.08    | 0.01%             | 2025-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 8/39 #678637                                                                                  | CUSIP: 36295R4W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10290 | PA      | $9952.88       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 7/35 #255816                                                                                  | CUSIP: 31371MDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        430 | PA      | $459.47        | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/23 #344038                                                                                  | CUSIP: 36203BEK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56 | PA      | $56.04         | 0.00%             | 2023-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CT TRUST                                                                         | CT TRUST 5.125% 02/03/2032 144A                                                                          | CUSIP: 12659BAA2<br>LEI: 213800MJB7WO427HQD34 | Long             | DBT              | CORP              | GT        |    1265000 | PA      | $1090509.06    | 0.01%             | 2032-02-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/32 #579718                                                                                  | CUSIP: 36201DAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        143 | PA      | $150.24        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 6/41 #Q01393                                                                                  | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38072 | PA      | $37888.88      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                   | WALT DISNEY CO 3.6% 01/13/2051                                                                           | CUSIP: 254687FZ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $15738100.20   | 0.08%             | 2051-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MED TR 2021-MDLN                                                                 | MED TR 2021-MDLN 1ML+400 11/15/2026 144A                                                                 | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1079000 | PA      | $987080.10     | 0.01%             | 2038-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 11/39 #722700                                                                                 | CUSIP: 3620A83H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16199 | PA      | $16044.56      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                | BX COMMERCIAL MORTGAGE TRUST 2021 VINO G 1ML+389.82 05/15/2038 144A                                      | CUSIP: 05608KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1980000 | PA      | $1803303.22    | 0.01%             | 2038-05-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AR1150                                                                         | CUSIP: 3138NXH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15800 | PA      | $14489.54      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                          | PHILIPPINES REPUBLIC OF 5.609% 04/13/2033                                                                | CUSIP: 718286CT2<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     520000 | PA      | $546707.20     | 0.00%             | 2033-04-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AK9701                                                                                  | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44497 | PA      | $42977.13      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 6/41 #Q01181                                                                                  | CUSIP: 3132GEJ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3562 | PA      | $3547.11       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                         | AES CORP 3.95% 07/15/2030 144A                                                                           | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   37328000 | PA      | $32680664.00   | 0.17%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 4.95% 05/28/2027                                                                      | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   12435000 | PA      | $11768110.95   | 0.06%             | 2027-05-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2034#805555                                                                         | CUSIP: 31406B5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5099 | PA      | $5047.77       | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2046#Q39975                                                                           | CUSIP: 3132QXCM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93326 | PA      | $90693.03      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIMETREE BAY TERMINALS LLC                                                       | LIMETREE BAY TERMINALS TERM B 1LN 02/15/2024                                                             | CUSIP: N/A<br>LEI: 54930012NCJXEQAWEI45       | Long             | LON              | CORP              | VI        |    2667241 | PA      | $1851838.50    | 0.01%             | 2024-02-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 5.125% 09/30/2024                                                                          | CUSIP: 02005NAV2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    4357000 | PA      | $4322587.54    | 0.02%             | 2024-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/41 #AJ4047                                                                                 | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     795751 | PA      | $769089.31     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q02189                                                                         | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2482 | PA      | $2506.74       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTAIN HOLDINGS GIBRALTAR LTD                                                    | ENTAIN HOLDINGS / GVC FINANCE TERM B2 1LN 10/31/2029                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GI        |    1260000 | PA      | $1245195.00    | 0.01%             | 2029-10-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 04/01/2045#Q32823                                                                         | CUSIP: 3132QPD50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42725 | PA      | $41532.61      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 12/01/2051#CB2320                                                                         | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5262193 | PA      | $4526809.45    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/27 #423152                                                                                 | CUSIP: 36206WBV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        145 | PA      | $149.65        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 09/01/2035#                                                                                 | CUSIP: 31297TTR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1253 | PA      | $1267.36       | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 12/24 #436781                                                                                 | CUSIP: 31380DFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        138 | PA      | $138.52        | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                                | CEDAR FUNDING LTD 3ML+110 10/20/2032 144A                                                                | CUSIP: 15033XAJ5<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |   10997000 | PA      | $10696649.94   | 0.06%             | 2032-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                            | EG GLOBAL FINANCE PLC 6.75% 02/07/2025 144A                                                              | CUSIP: 28228PAA9<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |    2905000 | PA      | $2643550.00    | 0.01%             | 2025-02-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                            | TMTS 2003-4HE A 1ML+43 9/34                                                                              | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       7168 | PA      | $6761.14       | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                                                 | NEW YORK MORTGAGE TRUST 2021-SP1 1.6696% 08/25/2061 144A                                                 | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2636781 | PA      | $2342336.03    | 0.01%             | 2061-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                                           | CGG SA 8.75% 04/01/2027 144A                                                                             | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    1750000 | PA      | $1471846.46    | 0.01%             | 2027-04-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2933 ZM 5.75% 02/15/2035                                                                             | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     611773 | PA      | $630583.48     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2011-H14 FB 1ML+50 5/61                                                                              | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     421699 | PA      | $417923.49     | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AE4585                                                                                  | CUSIP: 31419FCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20487 | PA      | $19807.13      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2019-SFR3 TR                                                | PROGRESS RESIDENTIAL 2019-SFR3 TR 3.867% 09/17/2036 144A                                                 | CUSIP: 74332WAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     315000 | PA      | $296213.49     | 0.00%             | 2036-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2045#Q37100                                                                         | CUSIP: 3132QT3J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242864 | PA      | $235632.13     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/41 #430360                                                                                  | CUSIP: 36207FB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8232 | PA      | $8154.13       | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #397084                                                                                  | CUSIP: 31378FCV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $38.25         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 7/40 #941592                                                                                  | CUSIP: 31413CRM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4920 | PA      | $4894.44       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 76 CLO LTD                                                                | DRYDEN 76 CLO LTD 3ML+115 10/20/2034 144A                                                                | CUSIP: 26252WAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15808000 | PA      | $15300262.85   | 0.08%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GHANA REPUBLIC OF                                                                | GHANA REPUBLIC OF 7.75% 04/07/2029 144A                                                                  | CUSIP: 37443GAL5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     810000 | PA      | $295295.63     | 0.00%             | 2029-04-07      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/28 #455124                                                                                  | CUSIP: 36208MSM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         66 | PA      | $67.27         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/39 #710988                                                                                 | CUSIP: 36297F2V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2213 | PA      | $2231.68       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 02/01/2050#SD7512                                                                           | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2815591 | PA      | $2537705.58    | 0.01%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026                                                               | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   17739000 | PA      | $16355617.17   | 0.09%             | 2026-05-07      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                | GEO GROUP TERM 1B 1LN 03/23/2027                                                                         | CUSIP: 37252KAR3<br>LEI: 5493003VOR6NTY465495 | Long             | LON              | CORP              | US        |     644325 | PA      | $644124.83     | 0.00%             | 2027-03-23      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                                     | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   31233000 | PA      | $21260303.10   | 0.11%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOLDEN ENTERTAINMENT INC                                                         | GOLDEN ENTERTAINMENT TERM B 1LN 10/20/2024                                                               | CUSIP: 38101JAC0<br>LEI: 549300P8YYCKQVJ0Y638 | Long             | LON              | CORP              | US        |    3665371 | PA      | $3628717.39    | 0.02%             | 2024-10-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.875% 08/04/2026                                                                    | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1070000 | PA      | $1011150.00    | 0.01%             | 2026-08-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 06/15/2042#794505                                                                         | CUSIP: 36177PAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24344 | PA      | $22378.59      | 0.00%             | 2042-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #353726                                                                                  | CUSIP: 36203M4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        760 | PA      | $786.16        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 3/27 #447458                                                                                  | CUSIP: 36208DB38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         43 | PA      | $43.95         | 0.00%             | 2027-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/29 #486804                                                                                  | CUSIP: 36210AX93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        251 | PA      | $258.94        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 02/01/2041#                                                                               | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23883 | PA      | $23786.75      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GCJ16                                                        | GSMS 2013-GC16 D CSTR 11/46                                                                              | CUSIP: 36248GAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     634000 | PA      | $593581.80     | 0.00%             | 2046-11-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC33                                                  | CGCMT 2015-GC33 XA CSTR 09/58                                                                            | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29557463 | PA      | $570982.21     | 0.00%             | 2058-09-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER (OSPREY) FINANCING PLC                                             | ANGLIAN WATER (OSPREY) FINANCING PLC 2% 07/31/2028 REGS                                                  | CUSIP: N/A<br>LEI: 21380072JDZ74GW9ZY87       | Long             | DBT              | CORP              | GB        |     830000 | PA      | $770429.33     | 0.00%             | 2028-07-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 08/01/2039#                                                                               | CUSIP: 3129342K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        949 | PA      | $943.36        | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | REALTY INCOME CORP 2.2% 06/15/2028                                                                       | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    1564000 | PA      | $1341321.68    | 0.01%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/35 #830817                                                                                 | CUSIP: 31407HAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        667 | PA      | $697.62        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                               | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    8786000 | PA      | $8807965.00    | 0.05%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2011-C4                                                        | WFRBS 2011-C4 G 5% 06/15/44                                                                              | CUSIP: 92936CBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203000 | PA      | $14495.86      | 0.00%             | 2044-06-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2046#BD8012                                                                         | CUSIP: 3140FF3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54430 | PA      | $51144.87      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO DO BRASIL SA CAYMAN ISLANDS BRANCH                                         | BANCO DO BRASIL GR CAYMAN BRH STEP PERP 144A                                                             | CUSIP: 05958AAK4<br>LEI: QE0Q0253K88YAGNPE356 | Long             | EP               | CORP              | KY        |     805000 | PA      | $723091.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELTA 2 SARL                                                                     | FORMULA ONE TERM B 1LN 01/15/2030                                                                        | CUSIP: N/A<br>LEI: 549300BBG8Z3D6QSYP53       | Long             | LON              | CORP              | LU        |    3785000 | PA      | $3764901.65    | 0.02%             | 2030-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/01/2041#G06800                                                                         | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69906 | PA      | $67655.01      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 10/30 #515513                                                                                 | CUSIP: 36211KVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6111 | PA      | $6278.90       | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                            | ARGENTINA REPUBLIC OF 1% 07/09/2029                                                                      | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1021922 | PA      | $265699.72     | 0.00%             | 2029-07-09      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA 1ML+605 01/25/2044                                            | CUSIP: 3136AHTW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     143283 | PA      | $15612.05      | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2012-C1                                                          | UBSCM 2012-C1 D CSTR 5/45                                                                                | CUSIP: 90269GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75137 | PA      | $68374.33      | 0.00%             | 2045-05-10      | Variable      | 0.07%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 06/01/2043#AT3659                                                                         | CUSIP: 3138WRB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8545 | PA      | $7828.75       | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/35 #848099                                                                                 | CUSIP: 31408DGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        959 | PA      | $996.62        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE2 MTG TR                                                           | COMM 2012-CCRE2 MTG TR 4.25% 08/15/2045 144A                                                             | CUSIP: 12624KBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     286000 | PA      | $157130.46     | 0.00%             | 2045-08-15      | Fixed         | 0.04%                 | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 10/41 #Q04113                                                                                 | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79961 | PA      | $77336.84      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/29 #357040                                                                                  | CUSIP: 31376JS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        706 | PA      | $744.36        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #AH0851                                                                                 | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9329 | PA      | $9015.23       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 8/39 #AC4495                                                                                  | CUSIP: 31417N7H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5335 | PA      | $5160.21       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/26 #250736                                                                                 | CUSIP: 31371FPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $65.57         | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 06/15/2042#779398                                                                         | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3811 | PA      | $3588.71       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 1/24 #380423                                                                                  | CUSIP: 36204USL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $21.93         | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2016-BNK2                                                | MORGAN STANLEY CAP I TR 2016-BNK2 3% 11/15/2049 144A                                                     | CUSIP: 61690YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798000 | PA      | $593343.40     | 0.00%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  3 | On Loan: No      |
| TWILIO INC                                                                       | TWILIO INC 3.875% 03/15/2031                                                                             | CUSIP: 90138FAD4<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |     940000 | PA      | $762659.60     | 0.00%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CROWN SUBSEA COMMUNICATIONS HOLDING INC                                          | SUBCOM TERM B 1LN 04/27/2027                                                                             | CUSIP: 22860EAE2<br>LEI: 5493003AYLUE132FIO27 | Long             | LON              | CORP              | US        |    1552226 | PA      | $1512458.00    | 0.01%             | 2027-04-27      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 02/01/2029#                                                                                 | CUSIP: 31293JRN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $199.19        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/40 #711533                                                                                  | CUSIP: 36297GPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4808 | PA      | $4863.46       | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SG COML MTG SECS TR 2019-PRES                                                    | SG COMMERCIAL MORTGAGE SECURITIES TRUST 2019-PREZ F CSTR 09/15/2039 144A                                 | CUSIP: 78430EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     747000 | PA      | $527511.75     | 0.00%             | 2039-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC42                                                         | GS MTG SECS TR 2019-GC42 2.8% 09/01/2052 144A                                                            | CUSIP: 36257UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     727000 | PA      | $492474.09     | 0.00%             | 2052-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRANSUNION LLC                                                                   | TRANS UNION TERM B6 1LN 12/01/2028                                                                       | CUSIP: 89334GAZ7<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |    1665357 | PA      | $1635796.50    | 0.01%             | 2028-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CARNIVAL FINANCE LLC                                                             | CARNIVAL TERM B 1LN 06/30/2025                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1863684 | PA      | $1789714.54    | 0.01%             | 2025-06-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #726956                                                                                  | CUSIP: 31402ETM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15044 | PA      | $14879.73      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                 | BAMLL COML MTG SECS TR 2022-DKLX C VAR 01/15/2039 144A                                                   | CUSIP: 05530SAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1279000 | PA      | $1205332.29    | 0.01%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.280% 3/35 #843014                                                                             | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4089 | PA      | $4082.73       | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 12/24 #404012                                                                                 | CUSIP: 36205XYH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $31.88         | 0.00%             | 2024-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 8/39 #711450                                                                                  | CUSIP: 36297GL73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6215 | PA      | $6007.24       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2041#Q04636                                                                         | CUSIP: 3132GKY91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3075 | PA      | $2975.69       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRITON WATER HOLDINGS                                                            | TRITON WATER HOLDINGS 6.25% 04/01/2029 144A                                                              | CUSIP: 89680EAA7<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | DBT              | CORP              | US        |    7670000 | PA      | $5969445.95    | 0.03%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                                            | HIGHTOWER HOLDING LLC 6.75% 04/15/2029 144A                                                              | CUSIP: 43118DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2885000 | PA      | $2392977.79    | 0.01%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                              | HUNGARY REPUBLIC OF 5.25% 06/16/2029 144A                                                                | CUSIP: 445545AP1<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |     610000 | PA      | $585714.38     | 0.00%             | 2029-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 03/15/2036#652750                                                                         | CUSIP: 36292MEX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13326 | PA      | $13327.46      | 0.00%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 5.81% 1/36 #1J1262                                                                              | CUSIP: 3128NHMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6038 | PA      | $5953.60       | 0.00%             | 2036-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                         | ALTICE FRANCE HOLDING SA 6% 02/15/2028 144A                                                              | CUSIP: 02156TAA2<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    6284000 | PA      | $4218135.00    | 0.02%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUNTER DOUGLAS INC                                                               | HUNTER DOUGLAS TERM B 1LN 02/25/2029                                                                     | CUSIP: N/A<br>LEI: 529900811T142NS3H544       | Long             | LON              | CORP              | US        |    9216900 | PA      | $8023680.13    | 0.04%             | 2029-02-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ELM FOR FIRMENICH INTERN                                                         | ELM FOR FIRMENICH INTERN 3.75%/VAR PERP REGS                                                             | CUSIP: N/A<br>LEI: 5493004Q6ZQIC4MCNJ08       | Long             | EP               | CORP              | NL        |     705000 | PA      | $698775.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MTN MAURITIUS INVESTMENTS LTD                                                    | MTN MAURITIUS INVSTMENTS 6.5% 10/13/2026 144A                                                            | CUSIP: 55377XAB2<br>LEI: 2549009PQD415OQIR074 | Long             | DBT              | CORP              | MU        |     456000 | PA      | $450955.50     | 0.00%             | 2026-10-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TEMPO ACQUISITION LLC                                                            | ALIGHT SOLUTIONS TERM 1LN 08/31/2028                                                                     | CUSIP: N/A<br>LEI: 549300VV0B2RPMHQGA61       | Long             | LON              | CORP              | US        |    2961834 | PA      | $2935917.57    | 0.02%             | 2028-08-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 4.5% 04/22/2029                                                             | CUSIP: 91087BAF7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     485000 | PA      | $471905.00     | 0.00%             | 2029-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/32 #590407                                                                                  | CUSIP: 36201Q3Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        681 | PA      | $712.81        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.16% 9/35 #850124                                                                              | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2948 | PA      | $2969.45       | 0.00%             | 2035-09-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SEAWORLD PARKS and ENTERTAINMENT INC                                             | SEAWORLD TERM B 1LN 08/25/2028                                                                           | CUSIP: 78488CAH3<br>LEI: 549300UZV72O3371JJ53 | Long             | LON              | CORP              | US        |    1089000 | PA      | $1066544.82    | 0.01%             | 2028-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP                     | CRESTWOOD MIDSTRM PTN/FIN CORP 6% 02/01/2029 144A                                                        | CUSIP: 226373AR9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4880000 | PA      | $4501800.00    | 0.02%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 04/01/2031#                                                                                 | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2155 | PA      | $2219.34       | 0.00%             | 2031-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                        | SAUDI ARABIAN OIL COMPANY 4.25% 04/16/2039 144A                                                          | CUSIP: 80414L2E4<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    2785000 | PA      | $2507196.25    | 0.01%             | 2039-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GODADDY INC                                                                      | GODADDY TERM B 1LN 10/21/2029                                                                            | CUSIP: 38017BAT3<br>LEI: 549300J8H1TB0I2CB447 | Long             | LON              | CORP              | US        |    1878203 | PA      | $1871423.07    | 0.01%             | 2029-10-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                      | GSMS 2021-IP A 1ML+105 10/15/2036 144A                                                                   | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13201000 | PA      | $12286935.04   | 0.06%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2047#BH0937                                                                         | CUSIP: 3140GPBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24160 | PA      | $24050.75      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 08/01/2042#Q10538                                                                         | CUSIP: 3132HLS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9728 | PA      | $8815.90       | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 7.75% 01/17/2038 144A                                                              | CUSIP: 455780AZ9<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |    1317000 | PA      | $1582046.25    | 0.01%             | 2038-01-17      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 4.35% 06/01/2040                                                          | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    7470000 | PA      | $6743099.68    | 0.04%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/32 #589983                                                                                  | CUSIP: 36201QM83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1097 | PA      | $1149.51       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KONTOOR BRANDS INC                                                               | KONTOOR BRANDS INC 4.125% 11/15/2029 144A                                                                | CUSIP: 50050NAA1<br>LEI: 549300M0CPXV65RFF271 | Long             | DBT              | CORP              | US        |     410000 | PA      | $333863.26     | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 08/15/2042#AB1531                                                                         | CUSIP: 36178LVY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5978 | PA      | $5771.66       | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK38                                                                  | BANK 2021-BNK38 3.21677%/VAR 12/15/2064                                                                  | CUSIP: 06540EBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     146000 | PA      | $105129.42     | 0.00%             | 2064-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                              | NIGERIA REPUBLIC 6.375% 07/12/2023 144A                                                                  | CUSIP: 65412ACD2<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     235000 | PA      | $231475.00     | 0.00%             | 2023-07-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/01/2041#AJ9630                                                                         | CUSIP: 3138E2VY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161958 | PA      | $156487.47     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2040#A95324                                                                         | CUSIP: 3129434H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1236 | PA      | $1229.55       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXGEN RENEWABLES IV LLC                                                          | EXGEN RENEWABLES TERM B 1LN 12/15/2027                                                                   | CUSIP: N/A<br>LEI: 5493004JBPWTPTK8LB51       | Long             | LON              | CORP              | US        |     936311 | PA      | $926751.65     | 0.00%             | 2027-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                     | CHS/CMNTY HEALTH SYSTEMS INC 6% 01/15/2029 144A                                                          | CUSIP: 12543DBH2<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    1790000 | PA      | $1493468.60    | 0.01%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/01/2041#AI8485                                                                         | CUSIP: 3138ANNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23585 | PA      | $24016.92      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2033#720240                                                                         | CUSIP: 31401WEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2140 | PA      | $2114.44       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDGS S A                                                       | INTELSAT JACKSON HLDGS SA 6.5% 03/15/2030 144A                                                           | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |    4428000 | PA      | $4073760.00    | 0.02%             | 2030-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 06/15/2043#AD5457                                                                         | CUSIP: 36180HB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14830 | PA      | $14054.34      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-GPA                                                                | BX TRUST 2022-GPA TSFR1M+421.1 10/15/2039 144A                                                           | CUSIP: 05608UAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1441000 | PA      | $1421139.99    | 0.01%             | 2039-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/33 #740221                                                                                  | CUSIP: 31402WLA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32698 | PA      | $32319.17      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                 | PACIFIC LIFECORP 5.125% 01/30/2043 144A                                                                  | CUSIP: 694476AD4<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |   12258000 | PA      | $11179180.04   | 0.06%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 12/31/2030 144A                          | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4330000 | PA      | $3918606.70    | 0.02%             | 2030-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                       | CORPORATE OFFICE PPTYS LP 2.75% 04/15/2031                                                               | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    6606000 | PA      | $4991356.92    | 0.03%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/32 #582151                                                                                  | CUSIP: 36201FWL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        515 | PA      | $540.39        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/36 #782939                                                                                  | CUSIP: 36241LHQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8789 | PA      | $8801.63       | 0.00%             | 2036-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2020-GC46                                                  | CITIGROUP COML MTG TR 2020-GC46 2.6% 02/15/2053 144A                                                     | CUSIP: 17328RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     673000 | PA      | $441866.83     | 0.00%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATURA COSMETICOS SA                                                             | NATURA COSMETICOS SA 4.125% 05/03/2028 144A                                                              | CUSIP: 63883KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |     970000 | PA      | $764166.00     | 0.00%             | 2028-05-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/41 #AJ5385                                                                                 | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221086 | PA      | $213655.13     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | NATWEST GRP PLC(UNGTD) 3.619%/VAR 03/29/2029 REGS                                                        | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    2830000 | PA      | $2970979.68    | 0.02%             | 2029-03-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COSTA RICA REPUBLIC OF                                                           | COSTA RICA REPUBLIC OF 5.625% 04/30/2043 144A                                                            | CUSIP: 221597BT3<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     680000 | PA      | $545700.00     | 0.00%             | 2043-04-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2006-12 BO 0% 10/35                                                                                  | CUSIP: 31394VS43<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      80316 | PA      | $68953.57      | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 4.75% 06/09/2027                                                                           | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   25000000 | PA      | $23538346.75   | 0.12%             | 2027-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 5.61% 3/35 #1L0297                                                                              | CUSIP: 3128Q2KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73663 | PA      | $75041.14      | 0.00%             | 2035-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 5/27 #439558                                                                                  | CUSIP: 36207RJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $6.74          | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNR 2011-83 DI 6% 9/26                                                                                   | CUSIP: 3136A0U39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        151 | PA      | $1.56          | 0.00%             | 2026-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 4.293% 3/35 #815586                                                                             | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4099 | PA      | $4163.27       | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ULTIMATE SOFTWARE GROUP INC                                                      | UKG TERM 2LN 05/03/2027                                                                                  | CUSIP: N/A<br>LEI: 529900FKHWSTQ1GXK240       | Long             | LON              | CORP              | US        |    2665000 | PA      | $2438475.00    | 0.01%             | 2027-05-03      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/28 #409486                                                                                  | CUSIP: 31378U2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        480 | PA      | $498.11        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-XL B 1ML+110 10/15/2036 144A                                                               | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7544600 | PA      | $7364204.09    | 0.04%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2034#773077                                                                         | CUSIP: 31404M2J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14607 | PA      | $14457.00      | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4% 10/31/2029                                                                                  | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   75000000 | PA      | $76136718.75   | 0.40%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2.5% 01/01/2053 #TBA                                                                           | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   94250000 | PA      | $80616888.30   | 0.42%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/27 #452939                                                                                  | CUSIP: 36208KEL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         48 | PA      | $49.49         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORP                                                                | VERTIV TERM B 1LN 03/02/2027                                                                             | CUSIP: 92537EAC2<br>LEI: 549300ZT8RQ5VK10E643 | Long             | LON              | CORP              | US        |    3570961 | PA      | $3477223.69    | 0.02%             | 2027-03-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 4/23 #352217                                                                                  | CUSIP: 36203LG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $13.61         | 0.00%             | 2023-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 11/15/2033#781778                                                                         | CUSIP: 36225B6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3573 | PA      | $3574.85       | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 10/40 #004834                                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24835 | PA      | $24684.94      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/35 #832175                                                                                  | CUSIP: 31407JQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1364 | PA      | $1429.54       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.625% 09/30/2026                                                                              | CUSIP: 912828YG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  355668000 | PA      | $326533790.11  | 1.71%             | 2026-09-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                                        | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  121493000 | PA      | $117291605.61  | 0.61%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 04/01/2051#MA4305                                                                           | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15510036 | PA      | $12807258.99   | 0.07%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                 | SOUTHERN COMPANY EUSA5 1.875/VAR 09/15/2081                                                              | CUSIP: N/A<br>LEI: 549300FC3G3YU2FBZD92       | Long             | DBT              | CORP              | US        |    5105000 | PA      | $4123644.14    | 0.02%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 10/39 #723248                                                                                 | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4599 | PA      | $4634.90       | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/32 #581664                                                                                  | CUSIP: 36201FFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        306 | PA      | $316.30        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 3.75% 05/01/2024                                                             | CUSIP: 92277GAD9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    9073000 | PA      | $8844650.46    | 0.05%             | 2024-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APX GROUP INC                                                                    | APX GROUP INC 6.75% 02/15/2027 144A                                                                      | CUSIP: 00213MAV6<br>LEI: 549300OMQVKPRU98OE64 | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1141700.00    | 0.01%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2021                                                              | GS MTG SECS TR 2021-RENT G 1ML+570 11/21/2023 144A                                                       | CUSIP: 36260XAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1725126 | PA      | $1549128.28    | 0.01%             | 2035-11-21      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 04/15/2042#792254                                                                           | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18603 | PA      | $17959.05      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 12/51#RA6435                                                                              | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8118412 | PA      | $6978802.40    | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENM CAPITAL LABUAN LTD                                                          | GENM CAPITAL LABUAN LTD 3.882% 04/19/2031 144A                                                           | CUSIP: 37231BAA6<br>LEI: 254900DWSHIWTSE0YG58 | Long             | DBT              | CORP              | MY        |     860000 | PA      | $636400.00     | 0.00%             | 2031-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 5.5% 12/01/2052 #TBA                                                                           | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   44900000 | PA      | $45412138.38   | 0.24%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 05/15/2043#AD0747                                                                         | CUSIP: 36180BZL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22202 | PA      | $20571.20      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 4/37 #915579                                                                                  | CUSIP: 31411VFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1858 | PA      | $2037.27       | 0.00%             | 2037-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 08/01/2051#RA5746                                                                         | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5540081 | PA      | $5133034.78    | 0.03%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2045#ZS4638                                                                         | CUSIP: 3132A5EK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43364 | PA      | $40787.45      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 5.875% 02/01/2029                                                                                | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9711000 | PA      | $9776769.20    | 0.05%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF SANTA FE                                                             | PROVINCE OF SANTA FE 7% 03/23/2023 144A                                                                  | CUSIP: 74409AAC3<br>LEI: N/A                  | Long             | DBT              | NUSS              | AR        |     570500 | PA      | $540192.19     | 0.00%             | 2023-03-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AE9338                                                                                  | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18894 | PA      | $18271.74      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 05/43 #MA1012                                                                               | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3587606 | PA      | $3409169.33    | 0.02%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 04/15/2043#666342                                                                         | CUSIP: 36295CHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30202 | PA      | $27983.53      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2051#MA4494                                                                           | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1851066 | PA      | $1643500.55    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                             | LIFE 2021-BMR MTG TR 1ML+235 03/15/2038 144A                                                             | CUSIP: 53218CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1421375 | PA      | $1328692.53    | 0.01%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                              | NOVA CHEMICALS CORP 5% 05/01/2025 144A                                                                   | CUSIP: 66977WAP4<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    3382000 | PA      | $3183104.58    | 0.02%             | 2025-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.3% 01/11/2023                                                              | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     327000 | PA      | $326456.65     | 0.00%             | 2023-01-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LCPR LOAN FINANCING LLC                                                          | LIBERTY LATIN AMERICA TERM 1LN 09/25/2028                                                                | CUSIP: 50183CAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     950000 | PA      | $931000.00     | 0.00%             | 2028-09-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 7.00% 12/33 #G03583                                                                                 | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17551 | PA      | $18836.81      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 5.15% 05/01/2030                                                                               | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    7640000 | PA      | $7453820.69    | 0.04%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 1/36 #839064                                                                                  | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1715 | PA      | $1794.54       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/31 #530585                                                                                  | CUSIP: 36212DNA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        211 | PA      | $213.72        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/31 #468593                                                                                  | CUSIP: 36209DRN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        161 | PA      | $169.42        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 3.47% 3/40 #AD0820                                                                              | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14214 | PA      | $14304.67      | 0.00%             | 2040-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                                              | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                                              | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2477800 | PA      | $2190100.08    | 0.01%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/23 #353125                                                                                  | CUSIP: 36203MHA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $41.75         | 0.00%             | 2023-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-3 LTD / VOYA CLO 2020-3 LLC                                        | VOYA CLO 2020-3 LTD / LLC 3ML+115 10/20/2034 144A                                                        | CUSIP: 92918NAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16805000 | PA      | $16231277.30   | 0.08%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP 1ML+132.9 11/15/2038 144A                                                              | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5687000 | PA      | $5359203.59    | 0.03%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #479596                                                                                 | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5691 | PA      | $5504.29       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 3.95% 07/01/2024 144A                                                        | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    4160000 | PA      | $3961758.07    | 0.02%             | 2024-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2045#Q32328                                                                         | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260267 | PA      | $245355.65     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/32 #565867                                                                                  | CUSIP: 36213VTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1010 | PA      | $1063.34       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2034#773762                                                                         | CUSIP: 31404NTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19346 | PA      | $19123.86      | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                   | EXTENDED STAY AMER TR 2021-ESH D 1ML+225 07/15/2038 144A                                                 | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13524167 | PA      | $12812184.55   | 0.07%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 09/01/2040#AE3951                                                                         | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32057 | PA      | $30982.57      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                   | MCDONALDS CORP 3.6% 07/01/2030                                                                           | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    4224000 | PA      | $3948603.06    | 0.02%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2016-GS2                                                          | GS MTG SECS TR 2016-GS2 2.753% 05/10/2049                                                                | CUSIP: 36252TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     386000 | PA      | $298399.85     | 0.00%             | 2049-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 09/15/2042#AB2330                                                                         | CUSIP: 36178MST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12917 | PA      | $12160.53      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                   | COMMERZBANK AG 8.625%/VAR 02/28/2033 REGS                                                                | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |     400000 | PA      | $486733.95     | 0.00%             | 2033-02-28      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 10/01/2042#AB6493                                                                         | CUSIP: 31417DGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14895 | PA      | $13507.90      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 6/33 #003401                                                                               | CUSIP: 36202DX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5665 | PA      | $5597.35       | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AOT PACKAGING PRODUCTS ACQUISITIONCO LLC                                         | TRICORBRAUN TERM 1LN 03/03/2028                                                                          | CUSIP: 00184NAB3<br>LEI: 2549009AB5YVVW5J1U62 | Long             | LON              | CORP              | US        |    2735942 | PA      | $2605984.80    | 0.01%             | 2028-03-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORPORATION                                                           | FAIR ISAAC CORPORATION 4% 06/15/2028 144A                                                                | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    1455000 | PA      | $1331325.00    | 0.01%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 1.125% 05/15/2040                                                            | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   86364000 | PA      | $55266213.24   | 0.29%             | 2040-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AIR CANADA INC                                                                   | AIR CANADA TERM B 1LN 08/11/2028                                                                         | CUSIP: N/A<br>LEI: 4B4HI3CGXMBDC0G6BM51       | Long             | LON              | CORP              | CA        |    1401488 | PA      | $1383968.91    | 0.01%             | 2028-08-11      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                         | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253033 | PA      | $238790.59     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 2/38 #974066                                                                                  | CUSIP: 31414RTX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12686 | PA      | $13340.72      | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                                                 | TKC HOLDINGS TERM 1LN 05/03/2028                                                                         | CUSIP: 87256FAH7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1154012 | PA      | $962157.42     | 0.01%             | 2028-05-03      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.5% 02/43 #Q15871                                                                                  | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118843 | PA      | $112256.87     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 2/27 #356391                                                                                  | CUSIP: 31376H2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        571 | PA      | $587.14        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SPECIALTY BUILDING PRODUCTS HOLDINGS LLC                                         | SPECIALTY BUILDING TERM B 1LN 10/15/2028                                                                 | CUSIP: 84748EAF7<br>LEI: 549300ICFD46O3KMJC06 | Long             | LON              | CORP              | US        |     721375 | PA      | $635935.35     | 0.00%             | 2028-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 03/20/44#MA1760                                                                             | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12395 | PA      | $11778.63      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STATE SAVINGS BANK OF UKRAINE VIA SSB #1 PLC                                     | STATE SAVINGS BANK OF UKRAINE VIA SSB #1 PLC STEP 03/10/2023 144A                                        | CUSIP: N/A<br>LEI: 213800X3YF17XQS13O34       | Long             | DBT              | CORP              | GB        |      61000 | PA      | $42844.88      | 0.00%             | 2023-03-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 02/15/2039#436717                                                                         | CUSIP: 36207NDW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46019 | PA      | $46357.17      | 0.00%             | 2039-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAST and CREW PAYROLL LLC                                                        | CAST and CREW TERM B INCR 1LN 12/30/2028                                                                 | CUSIP: 14835JAQ3<br>LEI: 549300XE7OZGFGN5F466 | Long             | LON              | CORP              | US        |    1557155 | PA      | $1529251.16    | 0.01%             | 2028-12-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/39 #728319                                                                                 | CUSIP: 3620AFDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8357 | PA      | $8430.44       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5% 05/15/2050                                                                         | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   21347000 | PA      | $17593127.92   | 0.09%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 1/36 #851463                                                                                  | CUSIP: 31408G5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3502 | PA      | $3465.27       | 0.00%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-LGCY                                                                  | BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A                                                            | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9932000 | PA      | $9888437.25    | 0.05%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VICTORIA'S SECRET and CO                                                         | VICTORIA'S SECRET TERM B 1LN 08/02/2028                                                                  | CUSIP: 92639MAB3<br>LEI: 5493006T3O70U3UWVF17 | Long             | LON              | CORP              | US        |    2504178 | PA      | $2444704.04    | 0.01%             | 2028-08-02      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 12/15/2046#AX5803                                                                           | CUSIP: 36196HNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9134 | PA      | $8817.15       | 0.00%             | 2046-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                                         | SINCLAIR BROADCASTING TERM 1LN 05/25/2026                                                                | CUSIP: 25277BAE8<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |    2429077 | PA      | $2286975.72    | 0.01%             | 2026-05-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 8.875% 07/15/2030                                                              | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1595000 | PA      | $1828268.75    | 0.01%             | 2030-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                      | SEVERN TRENT WATER UTIL FIN 6.125% 02/26/2024 REGS                                                       | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |     442000 | PA      | $539241.00     | 0.00%             | 2024-02-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 3.625% 06/17/2031                                                                     | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1225000 | PA      | $1005473.68    | 0.01%             | 2031-06-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.50% 8/29 #781078                                                                                  | CUSIP: 36225BFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        350 | PA      | $363.85        | 0.00%             | 2029-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 05/15/2043#AE2144                                                                         | CUSIP: 36180ULZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18184 | PA      | $17232.93      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FINANCE BV                                                     | TRIVIUM PACKAGING FINANCE BV 8.5% 08/15/2027 144A                                                        | CUSIP: 89686QAB2<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | CORP              | NL        |    4905000 | PA      | $4592180.49    | 0.02%             | 2027-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                          | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.1% 02/15/2030                                                  | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    2678000 | PA      | $2247487.24    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                 | AIMCO CLO 11 LTD 3ML+113 10/17/2034 144A                                                                 | CUSIP: 00140NAN0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |    8253000 | PA      | $7997627.42    | 0.04%             | 2034-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/32 #647416                                                                                  | CUSIP: 31390JGZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1476 | PA      | $1580.69       | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                          | SAUDI ARABIA KINGDOM OF 2.25% 02/02/2033 144A                                                            | CUSIP: 80413TAV1<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    1240000 | PA      | $999750.00     | 0.01%             | 2033-02-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VTR COMUNICACIONES SPA                                                           | VTR COMUNICACIONES SPA 5.125% 01/15/2028 144A                                                            | CUSIP: 918367AA1<br>LEI: 213800XDZJKMC1AEUV94 | Long             | DBT              | CORP              | CL        |    1108000 | PA      | $628305.25     | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 03/01/2033#CA1442                                                                           | CUSIP: 3140Q8S89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536763 | PA      | $512074.45     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/48#BJ5454                                                                              | CUSIP: 3140H7BY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127214 | PA      | $126042.23     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-IMC A 1ML+105 04/15/34 144A                                                                | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8333000 | PA      | $8110250.58    | 0.04%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/40 #733919                                                                                  | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11090 | PA      | $11199.61      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IVORY COAST (COTE D'IVOIRE)                                                      | IVORY COAST (COTE D'IVOIRE) 6.375% 03/03/2028 144A                                                       | CUSIP: 221625AM8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    2030000 | PA      | $1946262.50    | 0.01%             | 2028-03-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/01/2042#AK9692                                                                           | CUSIP: 3138EEXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10583 | PA      | $10219.14      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC                                         | CQP HOLDCO TERM B 1LN 06/04/2028                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    8532000 | PA      | $8410419.00    | 0.04%             | 2028-06-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 03/01/2052#SD0931                                                                         | CUSIP: 3132DNA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17003344 | PA      | $14616524.96   | 0.08%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/27 #452535                                                                                 | CUSIP: 36208JV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        690 | PA      | $716.04        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 2/42 #757489                                                                                  | CUSIP: 36230SKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68812 | PA      | $64849.42      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/37 #940208                                                                                  | CUSIP: 31413BAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1952 | PA      | $2126.41       | 0.00%             | 2037-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 06/01/2041#                                                                                 | CUSIP: 3132GEVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32604 | PA      | $31551.82      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH LLC                                                        | CABLEVISION LIGHTPATH TERM B 1LN 11/30/2027                                                              | CUSIP: 12687HAB3<br>LEI: 5493002ZVBLRLGES1R71 | Long             | LON              | CORP              | US        |     697432 | PA      | $679996.67     | 0.00%             | 2027-11-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 05/01/2041#MA4333                                                                           | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3617925 | PA      | $3091480.87    | 0.02%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 01/01/2052#MA4513                                                                           | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     924395 | PA      | $819989.44     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 8% 11/01/2031                                                                              | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    5892000 | PA      | $6320727.08    | 0.03%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FLYNN RESTAURANT GROUP LP                                                        | FLYNN RESTAURANT TERM B 1LN 11/22/2028                                                                   | CUSIP: 34410JAF8<br>LEI: 5493008VE8TQONGO3817 | Long             | LON              | CORP              | US        |     565725 | PA      | $534610.13     | 0.00%             | 2028-11-22      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 1.5%/VAR 01/13/2042 REGS                                                                         | CUSIP: N/A<br>LEI: 9695005MSX1OYEMGDF46       | Long             | DBT              | CORP              | FR        |    3400000 | PA      | $3023608.98    | 0.02%             | 2042-01-13      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                          | SENSATA TECHNOLOGIES BV 4% 04/15/2029 144A                                                               | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |    1290000 | PA      | $1121822.75    | 0.01%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/35 #832126                                                                                  | CUSIP: 31407JPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1079 | PA      | $1125.92       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2039#AB0050                                                                         | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133698 | PA      | $132195.43     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| YPF SA                                                                           | YPF SA 8.75% 04/04/2024 144A                                                                             | CUSIP: 984245AK6<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |    1999200 | PA      | $1850259.60    | 0.01%             | 2024-04-04      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP B 1ML+107.98 11/15/2038 144A                                                           | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9157000 | PA      | $8675078.99    | 0.05%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/31 #571901                                                                                  | CUSIP: 36200TKN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        926 | PA      | $973.14        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 2/42 #757488                                                                                  | CUSIP: 36230SJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83802 | PA      | $78910.86      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                         | MHC COML MTG TR 2021-MHC 1ML+260.096 04/15/2038 144A                                                     | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105000 | PA      | $98161.67      | 0.00%             | 2038-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 3/25 #780089                                                                                  | CUSIP: 36225AC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $7.41          | 0.00%             | 2025-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TERMOCANDELARIA POWER LTD                                                        | TERMOCANDELARIA POWER LTD 7.875% 01/30/2029 144A                                                         | CUSIP: 880879AA9<br>LEI: 549300YDORW43JL6G659 | Long             | DBT              | CORP              | KY        |     888250 | PA      | $801601.21     | 0.00%             | 2029-01-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BX TR 2019-OC11                                                                  | BX TR 2019-OC11 4.075457% 12/09/2041 144A                                                                | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3415000 | PA      | $2640560.30    | 0.01%             | 2041-12-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 05/01/2043#AT2721                                                                         | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     644102 | PA      | $590092.83     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 1/42 #778796                                                                                  | CUSIP: 36176W7H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1176 | PA      | $1108.61       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 4.5% 11/15/2023                                                                         | CUSIP: 96950FAL8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    2658000 | PA      | $2636946.43    | 0.01%             | 2023-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACCENTRO REAL ESTATE AG                                                          | ACCENTRO REAL ESTATE AG 3.625% 02/13/2023 REGS                                                           | CUSIP: N/A<br>LEI: 391200VKLY50XNAFCM46       | Long             | DBT              | CORP              | DE        |    2635000 | PA      | $1250343.33    | 0.01%             | 2023-02-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/33 #734922                                                                                  | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11141 | PA      | $11015.74      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                | BX COMMERCIAL MORTGAGE TRUST 2021 SR1M+156.27 02/15/2039 144A                                            | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6745952 | PA      | $6308224.72    | 0.03%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/27 #460697                                                                                 | CUSIP: 36208TX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1073 | PA      | $1106.25       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 2007-75 JI 1ML+654.5 08/37                                                | CUSIP: 31396W3J3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     974726 | PA      | $111178.95     | 0.00%             | 2037-08-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                 | EXXON MOBIL CORP 3.482% 03/19/2030                                                                       | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   31960000 | PA      | $30078855.17   | 0.16%             | 2030-03-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                         | MSCI INC 3.625% 09/01/2030 144A                                                                          | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2048687.68    | 0.01%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.5% 08/15/2030 144A                                                              | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6520000 | PA      | $5493100.00    | 0.03%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLOMBIA TELECOMUNICACIONES S A ESP                                              | COLOMBIA TELECOMUNICACINES SA 4.95% 07/17/2030 144A                                                      | CUSIP: 19533PAC4<br>LEI: 549300CK4YN0V1C3MN55 | Long             | DBT              | CORP              | CO        |     300000 | PA      | $236850.00     | 0.00%             | 2030-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                       | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    8538000 | PA      | $8020295.55    | 0.04%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JORDAN KINGDOM OF                                                                | JORDAN KINGDOM OF 7.75% 01/15/2028 144A                                                                  | CUSIP: 41809JAA3<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |     445000 | PA      | $455568.75     | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MILOS CLO LTD                                                                    | MILOS CLO LTD 3ML+107 10/20/2030 144A                                                                    | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |   18774000 | PA      | $18465299.12   | 0.10%             | 2030-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.48% 6/47 #939994                                                                              | CUSIP: 31413AXX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10034 | PA      | $10151.73      | 0.00%             | 2047-06-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 9/40 #004801                                                                               | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255862 | PA      | $254319.86     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/39 #AC5442                                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748950 | PA      | $744237.06     | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPG TR 2021-PORT                                                                 | OPG TR 2021-PORT G 1ML+244 10/15/2036 144A                                                               | CUSIP: 67118AAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359821 | PA      | $329162.94     | 0.00%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2046#BC6383                                                                         | CUSIP: 3140F2CV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21262 | PA      | $19991.71      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/26 #256384                                                                                  | CUSIP: 31371MXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        599 | PA      | $606.99        | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/39 #710771                                                                                  | CUSIP: 36297FT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4525 | PA      | $4562.64       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MSJP 2015-HAUL                                                                   | MSJP 2015-HAUL E 5.012% 09/05/2047 144A                                                                  | CUSIP: 553697AN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170000 | PA      | $117596.97     | 0.00%             | 2047-09-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SURGERY CENTER HLDGS INC                                                         | SURGERY PARTNERS TERM 1LN 08/31/2026                                                                     | CUSIP: 86880NAX1<br>LEI: 54930054EVI5HWPPW113 | Long             | LON              | CORP              | US        |    1787493 | PA      | $1751743.01    | 0.01%             | 2026-08-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SOUTHERN WTR SERVICES FIN LTD                                                    | SOUTHERN WTR SERVICES FIN LTD 1.625% 03/30/2027 REGS                                                     | CUSIP: N/A<br>LEI: 213800BTY35K1724Z452       | Long             | DBT              | CORP              | KY        |    1013000 | PA      | $1049457.37    | 0.01%             | 2027-03-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| QATAR PETROLEUM                                                                  | QATAR PETROLEUM 3.3% 07/12/2051 144A                                                                     | CUSIP: 74730DAD5<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    1545000 | PA      | $1120414.69    | 0.01%             | 2051-07-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 3.875% 04/15/2030                                                                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   23000000 | PA      | $21124008.91   | 0.11%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2014-LC14                                                      | WFRBS COML MTG TR 2014-LC14 VAR 03/15/2047                                                               | CUSIP: 96221TAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14093191 | PA      | $132793.09     | 0.00%             | 2047-03-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017-RB1                                                 | WELLS FARGO COML MTG TR 2017-RB1 D 3.401% 03/15/2050                                                     | CUSIP: 95000TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     326000 | PA      | $235705.82     | 0.00%             | 2050-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                         | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                          | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    8750000 | PA      | $6862603.91    | 0.04%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEMEX SAB DE CV                                                                  | CEMEX SAB DE CV 5.125/VAR PERP 144A                                                                      | CUSIP: 151290CA9<br>LEI: 549300RIG2CXWN6IV731 | Long             | EP               | CORP              | MX        |    2015000 | PA      | $1773200.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2020-IV                                                          | BARINGS CLO LTD 2020-IV 3ML+122 01/20/2032 144A                                                          | CUSIP: 06762BAC4<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |   15650000 | PA      | $15362525.15   | 0.08%             | 2032-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KNS ACQUISITIONS INC                                                             | NUTRISYSTEM TERM B 1LN 04/21/2027                                                                        | CUSIP: 48262HAC8<br>LEI: 984500B138MS5CF9RB14 | Long             | LON              | CORP              | US        |    1602571 | PA      | $1463676.04    | 0.01%             | 2027-04-21      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/39 #710513                                                                                 | CUSIP: 36297FK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12318 | PA      | $11914.30      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#CB2346                                                                           | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2073375 | PA      | $1717900.66    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 8/35 #824358                                                                                  | CUSIP: 31406YZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1707 | PA      | $1783.85       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO LTD                                                                  | INVESCO CLO LTD 3ML+113 10/22/2034 144A                                                                  | CUSIP: 46146JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8865000 | PA      | $8540753.76    | 0.04%             | 2034-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3% 10/29/2028                                         | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    8382000 | PA      | $7081862.87    | 0.04%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SWEETWATER BORROWER LLC                                                          | SWEETWATER BORROWER TERM B 1LN 08/05/2028                                                                | CUSIP: 87168EAB0<br>LEI: 254900JJU57789DC8283 | Long             | LON              | CORP              | US        |    1978973 | PA      | $1830550.27    | 0.01%             | 2028-08-05      | Variable      | 0.08%                 | No            |                  3 | On Loan: No      |
| JPMCC 2019                                                                       | JPMCC 2019 4.38% 07/15/2036 144A                                                                         | CUSIP: 46651MAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     567000 | PA      | $530331.09     | 0.00%             | 2036-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/39 #713471                                                                                  | CUSIP: 36297JT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37173 | PA      | $36775.14      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2045#Q33801                                                                         | CUSIP: 3132QQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6849 | PA      | $6452.70       | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/41 #738404                                                                                  | CUSIP: 3620ASKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4997 | PA      | $5049.67       | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 12/01/2035#                                                                                 | CUSIP: 3128LXFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27418 | PA      | $27770.68      | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 8/40 #A93367                                                                                  | CUSIP: 312941W45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3655 | PA      | $3723.43       | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 7/34 #781765                                                                                  | CUSIP: 36225B6A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2961 | PA      | $2963.63       | 0.00%             | 2034-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                                              | CUSIP: 3136AA2T1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     995573 | PA      | $900707.87     | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/28 #252084                                                                                 | CUSIP: 31371G6V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $68.88         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/23 #125245                                                                                 | CUSIP: 31365EBN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.17          | 0.00%             | 2023-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DBUBS 2011 LC3                                                                   | DBUBS 2011-LC3A D CSTR 8/44                                                                              | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     394739 | PA      | $363159.54     | 0.00%             | 2044-08-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                               | CENTURYLINK TERM B 1LN 03/15/2027                                                                        | CUSIP: 15669GAH7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |      32185 | PA      | $30468.64      | 0.00%             | 2027-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 3% 03/22/2027                                                                 | CUSIP: 92343VFF6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2669000 | PA      | $2502948.83    | 0.01%             | 2027-03-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 2/41 #AH9771                                                                                  | CUSIP: 3138AB2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12985 | PA      | $12548.22      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGOLA REPUBLIC                                                                  | ANGOLA REPUBLIC 8.25% 05/09/2028 144A                                                                    | CUSIP: 035198AB6<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     945000 | PA      | $877668.75     | 0.00%             | 2028-05-09      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| IRAQ REPUBLIC OF                                                                 | IRAQ REPUBLIC OF 5.8% 01/15/2028 REGS                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | IQ        |     374000 | PA      | $334800.13     | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 01/01/2053 #TBA                                                                             | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  111275000 | PA      | $97712669.47   | 0.51%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                                                             | ARAMARK TERM B-3 03/11/2025                                                                              | CUSIP: 03852JAL5<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |    1446000 | PA      | $1421895.18    | 0.01%             | 2025-03-11      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                             | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3470005 | PA      | $3140181.44    | 0.02%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-C31                                                 | WFCM 2015-C31 XA CSTR 11/48                                                                              | CUSIP: 94989WAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11634108 | PA      | $255916.64     | 0.00%             | 2048-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2033#734307                                                                         | CUSIP: 31402NYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57654 | PA      | $57018.31      | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/37 #995073                                                                                 | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82961 | PA      | $86964.48      | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NETWORK I2I LTD                                                                  | NETWORK I2I LTD 3.975%/VAR PERP 144A                                                                     | CUSIP: 64132NAC0<br>LEI: 2549003L8M1FGHLHOX45 | Long             | EP               | CORP              | MU        |     350000 | PA      | $298440.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JD.COM INC                                                                       | JD.COM INC 3.375% 01/14/2030                                                                             | CUSIP: 47215PAE6<br>LEI: 549300HVTWB0GJZ16V92 | Long             | DBT              | CORP              | KY        |    1420000 | PA      | $1248109.00    | 0.01%             | 2030-01-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIX LTD / MAGNETITE XXIX LLC                                          | MAGNETITE CLO LTD 2021-29A A 3ML+100 01/15/2034 144A                                                     | CUSIP: 55955KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14050000 | PA      | $13747082.00   | 0.07%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 7.00% 12/26 #C91019                                                                            | CUSIP: 3128P7DY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4728 | PA      | $4813.82       | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 03/01/2048#Q54622                                                                           | CUSIP: 3132XXD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14273 | PA      | $13803.50      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                             | FRONTIER COMMUNICATIONS HOLDINGS LLC 5% 05/01/2028 144A                                                  | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4540000 | PA      | $4040600.00    | 0.02%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                               | HOWARD HUGHES CORP 4.125% 02/01/2029 144A                                                                | CUSIP: 44267DAE7<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |    2990000 | PA      | $2465645.05    | 0.01%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2802 OB 6% 5/34                                                                                      | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      40795 | PA      | $41592.43      | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/35 #745000                                                                                 | CUSIP: 31403CUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        845 | PA      | $882.01        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| APPLIED SYS INC                                                                  | APPLIED SYSTEMS TERM B 1LN 09/19/2026                                                                    | CUSIP: N/A<br>LEI: 549300NSKGF0SY5SWQ62       | Long             | LON              | CORP              | US        |     500000 | PA      | $496720.00     | 0.00%             | 2026-09-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                        | ROGERS COMMUNICATIONS INC 3.2% 03/15/2027 144A                                                           | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    9947000 | PA      | $9281868.48    | 0.05%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                          | BANK NOVA SCOTIA BC 4.9/VAR PERP                                                                         | CUSIP: 064159VJ2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | EP               | CORP              | CA        |    1100000 | PA      | $1047750.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                              | NOVA CHEMICALS CORP 4.875% 06/01/2024 144A                                                               | CUSIP: 66977WAQ2<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    3625000 | PA      | $3527578.13    | 0.02%             | 2024-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/42 #AK7441                                                                                  | CUSIP: 3138ECHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17510 | PA      | $16914.72      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 8/41 #748183                                                                                  | CUSIP: 3620C4FY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3952 | PA      | $3823.41       | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 02/01/2048#BM3532                                                                           | CUSIP: 3140J74S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     714251 | PA      | $687659.19     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #477158                                                                                  | CUSIP: 36209PB30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        170 | PA      | $175.88        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 4/32 #631463                                                                                  | CUSIP: 31389PQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        259 | PA      | $276.97        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGNE 2020-27A AR                                                                | MAGNE 2020-27A AR 3ML+114 10/20/2034 144A                                                                | CUSIP: 55955EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2957000 | PA      | $2866571.98    | 0.01%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                                           | OPEN TEXT HOLDINGS INC 4.125% 02/15/2030 144A                                                            | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1470000 | PA      | $1190391.30    | 0.01%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 03/01/2043#Q16131                                                                         | CUSIP: 3132J7HH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10476 | PA      | $10216.64      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #772072                                                                                 | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42446 | PA      | $40980.61      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 10/01/2052#FS3047                                                                           | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6695920 | PA      | $6728049.40    | 0.04%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 12/01/2051#CB2376                                                                         | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4592822 | PA      | $3948111.85    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                        | SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A                                                         | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1071663 | PA      | $626515.85     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WH BORROWER LLC                                                                  | WHP TERM B 1LN 02/09/2027                                                                                | CUSIP: 92942LAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1880288 | PA      | $1793324.20    | 0.01%             | 2027-02-09      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 5/27 #447102                                                                                  | CUSIP: 36208CU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        245 | PA      | $252.85        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/39 #930854                                                                                  | CUSIP: 31412PE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5390 | PA      | $5354.39       | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                                                | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                                                          | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32831000 | PA      | $31946362.14   | 0.17%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/27 #780580                                                                                  | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1231 | PA      | $1267.12       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2007-66 SB -1ML+3960 7/37                                                                            | CUSIP: 31396WYZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      10035 | PA      | $11872.52      | 0.00%             | 2037-07-25      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2052#                                                                               | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2903937 | PA      | $2675829.98    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 4.25% 03/15/2023                                                                      | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2044000 | PA      | $2037495.13    | 0.01%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BHARTI AIRTEL INTERNATIONAL NETHERLANDS BV                                       | BHARTI AIRTEL INTERNATIONAL NETHERLANDS BV 5.35% 05/20/2024 144A                                         | CUSIP: 08861JAB5<br>LEI: 724500ULW6PWKDAI7I46 | Long             | DBT              | CORP              | NL        |    1045000 | PA      | $1038991.25    | 0.01%             | 2024-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 05/15/2043#AC9627                                                                         | CUSIP: 36179KVU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20807 | PA      | $19718.35      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                            | EDF SA 5.25/VAR PERP REGS                                                                                | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | EP               | CORP              | FR        |    9240000 | PA      | $9124500.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.5% 10/01/2052#CB4843                                                                         | CUSIP: 3140QQLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6229828 | PA      | $6311416.23    | 0.03%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039                                                          | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9405820.65    | 0.05%             | 2039-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5% 9/33 #003442                                                                                  | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232540 | PA      | $233820.53     | 0.00%             | 2033-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #455561                                                                                  | CUSIP: 36208NB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        114 | PA      | $116.62        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PREGIS TOPCO LLC                                                                 | PREGIS TERM B INCR 1LN 08/01/2026                                                                        | CUSIP: 74045BAE7<br>LEI: 549300LJXHJYHS1GM034 | Long             | LON              | CORP              | US        |     742500 | PA      | $709087.50     | 0.00%             | 2026-08-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ALL-STAR BIDCO AB                                                                | ANTICIMEX TERM B1 1LN 11/16/2028                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | SE        |    1146338 | PA      | $1109081.53    | 0.01%             | 2028-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                                            | HUB INTL TERM B 04/25/2025                                                                               | CUSIP: 44332EAP1<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |    9641125 | PA      | $9451098.47    | 0.05%             | 2025-04-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAHRAIN KINGDOM                                                                  | BAHRAIN KINGDOM 5.625% 05/18/2034 144A                                                                   | CUSIP: 05675M2J2<br>LEI: 549300RODM1WN85LFQ95 | Long             | DBT              | NUSS              | BH        |     310000 | PA      | $264275.00     | 0.00%             | 2034-05-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 10YR 2.5% 02/01/2030#SA0021                                                                         | CUSIP: 3132CJAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     430029 | PA      | $408070.67     | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 4/27 #780545                                                                                  | CUSIP: 36225ATA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        742 | PA      | $764.01        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/01/2046#BC4754                                                                           | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497696 | PA      | $485387.46     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                                | DISH NETWORK CORP CONV 3.375% 08/15/2026                                                                 | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |   13012000 | PA      | $8425270.00    | 0.04%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIA DE SEGUROS FIDELIDADE SA                                                     | FIDELIDADE COMPANHIA 4.25%/VAR 09/04/2031 REGS                                                           | CUSIP: N/A<br>LEI: 529900FNLE8ZOPUOT704       | Long             | DBT              | CORP              | PT        |    1500000 | PA      | $1263798.29    | 0.01%             | 2031-09-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/28 #457919                                                                                 | CUSIP: 36208QVL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $58.27         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#763349                                                                         | CUSIP: 31404BBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52173 | PA      | $51576.84      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                               | ESSEX PORTFOLIO LP 3.875% 05/01/2024                                                                     | CUSIP: 29717PAN7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    3195000 | PA      | $3126486.20    | 0.02%             | 2024-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 02/15/2042#778869                                                                         | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34867 | PA      | $33676.38      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAP                                                               | TELECOM ITALIA CAP 7.721% 06/04/2038                                                                     | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $252339.00     | 0.00%             | 2038-06-04      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 4.875% 01/01/2026 144A                                                             | CUSIP: 88033GCY4<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1423470.00    | 0.01%             | 2026-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2050#CA7616                                                                           | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2010317 | PA      | $1663768.57    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                   | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                          | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2689000 | PA      | $2343344.43    | 0.01%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #415757                                                                                 | CUSIP: 36206MZW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $31.99         | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/29 #495896                                                                                  | CUSIP: 36210L3D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        295 | PA      | $305.23        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                         | QATAR ST 4% 03/14/2029 144A                                                                              | CUSIP: 74727PBA8<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     775000 | PA      | $757562.50     | 0.00%             | 2029-03-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 12/32 #254613                                                                                 | CUSIP: 31371KYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        163 | PA      | $174.74        | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 09/01/2031 144A                          | CUSIP: 87470LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2615000 | PA      | $2330618.75    | 0.01%             | 2031-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                                               | TRAVIS PERKINS PLC 3.75% 02/17/2026 REGS                                                                 | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |     860000 | PA      | $912133.20     | 0.00%             | 2026-02-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 3/32 #254240                                                                                  | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6573 | PA      | $6982.73       | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | CIGNA CORP 4.8% 08/15/2038                                                                               | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    6950000 | PA      | $6557250.57    | 0.03%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                                                            | DP WORLD CRESCENT LTD 3.875% 07/18/2029 REGS                                                             | CUSIP: N/A<br>LEI: 21380096JRTWB8TL9236       | Long             | DBT              | CORP              | KY        |     800000 | PA      | $736200.00     | 0.00%             | 2029-07-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 10/01/2032#                                                                                 | CUSIP: 31283HTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2309 | PA      | $2388.60       | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GHANA REPUBLIC OF                                                                | GHANA REPUBLIC OF 10.75% 10/14/2030 144A                                                                 | CUSIP: 374422AD5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     525000 | PA      | $359625.00     | 0.00%             | 2030-10-14      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                           | DISCOVER FINANCIAL SVS 6.7% 11/29/2032                                                                   | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    3827000 | PA      | $3893212.46    | 0.02%             | 2032-11-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/26 #429349                                                                                  | CUSIP: 36207D5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         90 | PA      | $91.78         | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | REALTY INCOME CORP 2.85% 12/15/2032                                                                      | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    1925000 | PA      | $1579494.74    | 0.01%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 03/01/2048#ZS4758                                                                           | CUSIP: 3132A5JB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475025 | PA      | $428365.23     | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 11/31 #554210                                                                                 | CUSIP: 36213GVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        126 | PA      | $127.40        | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 8/39 #AC2519                                                                                  | CUSIP: 31417LYR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31997 | PA      | $30988.76      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                | CHILE REPUBLIC OF 2.45% 01/31/2031                                                                       | CUSIP: 168863DP0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    1895000 | PA      | $1602222.50    | 0.01%             | 2031-01-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC                                         | ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC 4.125% 06/15/2028 144A                                          | CUSIP: 04916WAA2<br>LEI: 549300ITBBGKJ651R879 | Long             | DBT              | CORP              | GB        |    1828000 | PA      | $1611427.97    | 0.01%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 10/01/2051#CB1799                                                                           | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7434041 | PA      | $6164140.09    | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FILTRATION GROUP CORP                                                            | FILTRATION GROUP TERM B 03/29/2025                                                                       | CUSIP: 31732FAM8<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |    2041257 | PA      | $2012434.14    | 0.01%             | 2025-03-29      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                              | EMERA US FINANCE LP 3.55% 06/15/2026                                                                     | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2935000 | PA      | $2753000.59    | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITY FOOTBALL GROUP LTD                                                          | CITY FOOTBALL GROUP TERM B 1LN 07/21/2028                                                                | CUSIP: 17781XAB2<br>LEI: 213800K6VVWALRH9UJ69 | Long             | LON              | CORP              | GB        |   10553782 | PA      | $9894170.99    | 0.05%             | 2028-07-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CAMEROON REPUBLIC OF                                                             | CAMEROON REPUBLIC OF 9.5% 11/19/2025 144A                                                                | CUSIP: 133653AA3<br>LEI: 54930021BO6NHYGBBV24 | Long             | DBT              | NUSS              | CM        |     740000 | PA      | $716320.00     | 0.00%             | 2025-11-19      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 6.125% 06/15/2030 144A                                                             | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    3505000 | PA      | $3321267.90    | 0.02%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2044#AL5512                                                                         | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179833 | PA      | $179862.07     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METINVEST BV                                                                     | METINVEST BV 7.75% 04/23/2023 144A                                                                       | CUSIP: 591555AD9<br>LEI: 635400TMCKVEU87EJ582 | Long             | DBT              | CORP              | NL        |     927000 | PA      | $764775.00     | 0.00%             | 2023-04-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/32 #589476                                                                                  | CUSIP: 36201P2H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        175 | PA      | $184.45        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NOVAE LLC                                                                        | NOVAE TERM 1LN 12/22/2028                                                                                | CUSIP: 66988QAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     999975 | PA      | $899977.50     | 0.00%             | 2028-12-22      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| SASOL FING USA LLC                                                               | SASOL FING USA LLC 4.375% 09/18/2026                                                                     | CUSIP: 80386WAC9<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |     915000 | PA      | $827388.75     | 0.00%             | 2026-09-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 9/41 #AJ4287                                                                                  | CUSIP: 3138AVXR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14011 | PA      | $13537.67      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 03/01/2033#AB0066                                                                           | CUSIP: 31416VCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429826 | PA      | $432416.21     | 0.00%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 03/01/2051#MA4281                                                                           | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15917115 | PA      | $13148374.02   | 0.07%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 7.5% 10/01/2025 144A                        | CUSIP: 87470LAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1184625.00    | 0.01%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 6.5% 7/31 #003107                                                                                | CUSIP: 36202DNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        218 | PA      | $227.82        | 0.00%             | 2031-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ACADEMY LTD                                                                      | ACADEMY SPORTS and OUTDOORS TERM B 1LN 11/06/2027                                                        | CUSIP: 00400YAK7<br>LEI: 549300BN53IR80C35Z14 | Long             | LON              | CORP              | US        |    3007747 | PA      | $2976737.07    | 0.02%             | 2027-11-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                         | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1192050 | PA      | $977197.89     | 0.01%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 5/27 #250912                                                                                  | CUSIP: 31371FVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $77.67         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                                | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   14524000 | PA      | $15758540.00   | 0.08%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RUSSIA FEDN MINISTRY FINANCE                                                     | RUSSIA FEDN MINISTRY FINANCE 4.375% 03/21/2029 REGS                                                      | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | RU        |     400000 | PA      | $156000.00     | 0.00%             | 2029-03-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/28 #473563                                                                                  | CUSIP: 36209KB80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $99.69         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/31 #560462                                                                                  | CUSIP: 36213PTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        318 | PA      | $331.65        | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 11/31 #567305                                                                                 | CUSIP: 36213XGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        321 | PA      | $336.18        | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3002 NE 5% 7/35                                                                                      | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     116267 | PA      | $116828.82     | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNPI ITXEX538 PAY 650 12/21/22                                                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |   24700000 | NC      | $10504.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 05/01/2045#AS4972                                                                         | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65781 | PA      | $60018.86      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                | CHILE REPUBLIC OF 4% 01/31/2052                                                                          | CUSIP: 168863DW5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     245000 | PA      | $193550.00     | 0.00%             | 2052-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2047#AS9422                                                                         | CUSIP: 3138WKPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56849 | PA      | $56396.07      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 1/37 #G02667                                                                                  | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7268 | PA      | $7358.99       | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US 2YR NOTE (CBT) FUT MAR23 TUH3                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       1139 | NC      | $622704.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                 | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A                                              | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9488000 | PA      | $9139437.45    | 0.05%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 12/29 #524241                                                                                 | CUSIP: 31384HLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        179 | PA      | $189.58        | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 14 LTD / AIMCO CLO 14 LLC                                              | AIMCO CLO 14 LTD / AIMCO CLO 14 LLC 21-14A A 3ML+99 04/20/2034 144A                                      | CUSIP: 00144GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19226000 | PA      | $18580467.82   | 0.10%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MH SUB I LLC                                                                     | INTERNET BRANDS TERM 1LN 09/15/2024                                                                      | CUSIP: 45567YAL9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3541891 | PA      | $3442292.87    | 0.02%             | 2024-09-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO                                                | RESTAURANT BRANDS TERM B 1LN 11/19/2026                                                                  | CUSIP: N/A<br>LEI: 549300RHSHNRWI5LLA86       | Long             | LON              | CORP              | CA        |    1701875 | PA      | $1667837.50    | 0.01%             | 2026-11-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUNBELT MEZZ                                                                     | SUNBELT MEZZ SOFR+445 01/21/2027                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    2258104 | PA      | $2258103.53    | 0.01%             | 2027-01-21      | Variable      | 0.08%                 | No            |                  3 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                | BLACKSTONE PROP PARTNERS EUR HOLD 1.75% 03/12/2029 REGS                                                  | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    2480000 | PA      | $2013979.23    | 0.01%             | 2029-03-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 01/33#MA3247                                                                                | CUSIP: 31418CTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50975 | PA      | $48630.08      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 1.5% 01/01/2037#FS2747                                                                         | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7519281 | PA      | $6596506.37    | 0.03%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2052#BT1915                                                                           | CUSIP: 3140LQDV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     969011 | PA      | $860352.80     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2047#BH8383                                                                         | CUSIP: 3140GXJ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38088 | PA      | $37748.49      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 6.35% 08/10/2024                                                                      | CUSIP: 900123CV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     245000 | PA      | $243897.50     | 0.00%             | 2024-08-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2021-4SZN                                           | CREDIT SUISSE MORTGAGE TRUST 2021-4SZN TSFR1M+396.65 11/15/2023 144A                                     | CUSIP: 12663FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2667000 | PA      | $2508075.87    | 0.01%             | 2023-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/27 #313644                                                                                  | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1627 | PA      | $1670.13       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #727160                                                                                  | CUSIP: 31402EZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5547 | PA      | $5481.92       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #404665                                                                                 | CUSIP: 36205YQS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        232 | PA      | $237.07        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2011-H07 FA 1ML+50 3/61                                                                              | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     257300 | PA      | $254829.37     | 0.00%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 12/32 #552938                                                                                 | CUSIP: 36213FHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        260 | PA      | $259.64        | 0.00%             | 2032-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 7.00% 9/35 #A47784                                                                                  | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28559 | PA      | $30435.90      | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.25% 09/30/2028                                                                               | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  158340000 | PA      | $137285728.13  | 0.72%             | 2028-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 08/15/2035#595801                                                                         | CUSIP: 36200A3J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        717 | PA      | $718.18        | 0.00%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 3/27 #256653                                                                             | CUSIP: 31371NBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        743 | PA      | $752.85        | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AH3601                                                                                  | CUSIP: 3138A5AB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9890 | PA      | $9561.41       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                           | OCP SA 6.875% 04/25/2044 144A                                                                            | CUSIP: 67091TAB1<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     150000 | PA      | $135637.50     | 0.00%             | 2044-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/35 #840937                                                                                  | CUSIP: 31407UHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4891 | PA      | $5096.95       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 2.45% 07/15/2028                                                                            | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   25480000 | PA      | $21428124.54   | 0.11%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                             | 1011778 BC ULC/NEW RED FIN INC 4% 10/15/2030 144A                                                        | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    2089000 | PA      | $1759272.24    | 0.01%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2039#A90245                                                                         | CUSIP: 312938HW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $523.90        | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #745088                                                                                  | CUSIP: 3620C0XR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36296 | PA      | $35932.09      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                              | MEDLINE TERM B 1LN 10/23/2028                                                                            | CUSIP: 58503UAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2676550 | PA      | $2539002.10    | 0.01%             | 2028-10-23      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BCP RENAISSANCE PARENT LLC                                                       | BCP RENAISSANCE TERM B3 1LN 10/31/2026                                                                   | CUSIP: 05549PAC5<br>LEI: 549300GVXMQFQZDSJR97 | Long             | LON              | CORP              | US        |    1290198 | PA      | $1270845.38    | 0.01%             | 2026-10-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ALIXPARTNERS LLP                                                                 | ALIXPARTNERS TERM B 1LN 02/04/2028                                                                       | CUSIP: 01642PBB1<br>LEI: 5493005G2MHUFTGARL57 | Long             | LON              | CORP              | US        |    1549197 | PA      | $1517252.67    | 0.01%             | 2028-02-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 1/42 #757487                                                                                  | CUSIP: 36230SJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102089 | PA      | $96111.06      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACNR HOLDINGS INC                                                                | ACNR HOLDINGS INC PFD                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |       2980 | NS      | $1788000.00    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/40 #737454                                                                                  | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20905 | PA      | $21099.09      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/25 #410104                                                                                  | CUSIP: 36206FRZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.50          | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AVIENT CORP                                                                      | AVIENT TERM B 1LN 08/29/2029                                                                             | CUSIP: N/A<br>LEI: SM8L9RZYIB34LNTWO040       | Long             | LON              | CORP              | US        |     711538 | PA      | $707760.06     | 0.00%             | 2029-08-29      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                   | CSMC 2018-SITE 4.284% 04/15/2036 144A                                                                    | CUSIP: 12690CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7384000 | PA      | $7003405.75    | 0.04%             | 2036-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/28 #444774                                                                                  | CUSIP: 36207XCK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        304 | PA      | $313.42        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | FX Forward: USD/CAD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $4224.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 2.691% 02/01/2042#AK2344                                                                        | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21993 | PA      | $22121.61      | 0.00%             | 2042-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/01/2047#G61047                                                                         | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     615380 | PA      | $612701.91     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8% 01/01/2031#                                                                                 | CUSIP: 31298FZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $78.85         | 0.00%             | 2031-01-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                           | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                                                 | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1041995 | PA      | $1020106.15    | 0.01%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 11/15/2035#782523                                                                         | CUSIP: 36241KYU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6534 | PA      | $6542.46       | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELASTIC NV                                                                       | ELASTIC NV 4.125% 07/15/2029 144A                                                                        | CUSIP: 28415LAA1<br>LEI: 2549003I48WHHH937I59 | Long             | DBT              | CORP              | NL        |    2820000 | PA      | $2292467.08    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THOR INDUSTRIES INC                                                              | THOR INDUSTRIES TERM B 1LN 02/01/2026                                                                    | CUSIP: 88516DAD5<br>LEI: 254900XZO1228PDSG060 | Long             | LON              | CORP              | US        |     305990 | PA      | $302929.89     | 0.00%             | 2026-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 05/01/2033#K90513                                                                         | CUSIP: 3132J2SA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62048 | PA      | $60043.06      | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/29 #524115                                                                                 | CUSIP: 31384HGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        394 | PA      | $415.11        | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV 4.027% 08/03/2050 144A                                                                         | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    1110000 | PA      | $672798.75     | 0.00%             | 2050-08-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/29 #488260                                                                                  | CUSIP: 36210CMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         77 | PA      | $78.69         | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2020-NNN                                       | J P MORGAN CHASE COML MTG SECS TR 2020-NNN 3.972% 01/16/2037 144A                                        | CUSIP: 46652BBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     401000 | PA      | $339880.34     | 0.00%             | 2037-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2043#AS0076                                                                         | CUSIP: 3138W9CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65052 | PA      | $61431.24      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 03/45#AY2119                                                                              | CUSIP: 3138YFK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14394 | PA      | $14796.23      | 0.00%             | 2045-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/29 #323961                                                                                 | CUSIP: 31374TZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        727 | PA      | $756.60        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HLDGS INC                                                             | ZAYO GROUP HLDGS INC 4% 03/01/2027 144A                                                                  | CUSIP: 98919VAA3<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |    1370000 | PA      | $981289.90     | 0.01%             | 2027-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 2.50%/VAR 03/31/2032 REGS                                                                    | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |    3800000 | PA      | $3542916.24    | 0.02%             | 2032-03-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| TOPGOLF CALLAWAY BRANDS CORP                                                     | CALLAWAY GOLF TERM B 01/04/2026                                                                          | CUSIP: 13119DAF9<br>LEI: 5493005UB0KFRKBPCU72 | Long             | LON              | CORP              | US        |    1820452 | PA      | $1815336.42    | 0.01%             | 2026-01-04      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 03/01/2033#J38779                                                                           | CUSIP: 31307VXG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45593 | PA      | $43533.45      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% #BM4385 08/48                                                                             | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1449777 | PA      | $1441909.98    | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/39 #713740                                                                                  | CUSIP: 36297J4Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62306 | PA      | $61697.47      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                               | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                                | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $612470.80     | 0.00%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 6% 12/01/2052 #TBA                                                                             | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   12000000 | PA      | $12275625.60   | 0.06%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 3/30 #G02183                                                                                  | CUSIP: 3128LXM80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        601 | PA      | $605.96        | 0.00%             | 2030-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/41 #AI2509                                                                                  | CUSIP: 3138AFYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9718 | PA      | $9397.65       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 01/20/2043#MA0698                                                                           | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1109977 | PA      | $1022904.78    | 0.01%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2012-H06 FA 1ML+63 1/62                                                                              | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     363315 | PA      | $360579.81     | 0.00%             | 2062-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2043#Q21258                                                                         | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63784 | PA      | $62163.40      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2014-DSTY                                      | JPMCC 2014-DSTY D CSTR 06/27                                                                             | CUSIP: 46642MAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     516000 | PA      | $1289.90       | 0.00%             | 2027-06-10      | Variable      | 0.04%                 | No            |                  3 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3% 12/01/2052 #TBA                                                                             | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  207150000 | PA      | $183376305.96  | 0.96%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2022                                                              | TOWD PT MTG TR 2022 3.75% 07/25/2062 144A                                                                | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15349278 | PA      | $14059346.61   | 0.07%             | 2062-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8% 07/01/2024#                                                                                 | CUSIP: 31292GL87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $75.00         | 0.00%             | 2024-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/32 #569780                                                                                  | CUSIP: 36200Q6R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        281 | PA      | $295.31        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2011-C4                                                        | WFRBS 2011-C4 D VAR 06/44                                                                                | CUSIP: 92936CAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258000 | PA      | $230507.98     | 0.00%             | 2044-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.412%/VAR 03/31/2031                                                                      | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   22342000 | PA      | $20767041.82   | 0.11%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIX LTD / SYMPHONY CLO XIX LLC                                      | SYMPHONY CLO XIX LTD / SYMPHONY CLO XIX LLC 3ML+96 04/16/2031 144A                                       | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7718000 | PA      | $7571095.59    | 0.04%             | 2031-04-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFILIATED MANAGERS GROUP INC                                                    | AFFILIATED MANAGERS GROUP INC 4.25% 02/15/2024                                                           | CUSIP: 008252AM0<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | DBT              | CORP              | US        |    5321000 | PA      | $5262357.58    | 0.03%             | 2024-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 01/01/2041#                                                                               | CUSIP: 312944YF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20849 | PA      | $20763.03      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                     | TELEVISAUNIVISION TERM 1LN 06/10/2029                                                                    | CUSIP: 914908BD9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | LON              | CORP              | US        |     673312 | PA      | $663212.81     | 0.00%             | 2029-06-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/40 #733989                                                                                 | CUSIP: 3620AMNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11164 | PA      | $10790.21      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 6/41 #754005                                                                                  | CUSIP: 36230NNW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11757 | PA      | $11370.96      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6                                      | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049                                           | CUSIP: 17291EBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21410102 | PA      | $384476.19     | 0.00%             | 2049-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 4.375% 01/15/2030 144A                                                             | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    3880000 | PA      | $3379751.60    | 0.02%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                                     | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   38105000 | PA      | $28494919.00   | 0.15%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 7/42 #AA8273                                                                                  | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28293 | PA      | $26654.94      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                               | CENOVUS ENERGY INC 3.75% 02/15/2052                                                                      | CUSIP: 15135UAX7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   12540000 | PA      | $9034907.61    | 0.05%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                           | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+70.1 11/15/2036 144A                                          | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23453000 | PA      | $22372951.83   | 0.12%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TELEFLEX INC                                                                     | TELEFLEX INC 4.25% 06/01/2028 144A                                                                       | CUSIP: 879369AG1<br>LEI: UUL85LWXB4NGSWWXIQ25 | Long             | DBT              | CORP              | US        |     680000 | PA      | $631380.00     | 0.00%             | 2028-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BCPE EMPIRE HLDGS INC                                                            | IMPERIAL DADE TERM INCR 1LN 06/11/2026                                                                   | CUSIP: 05550HAL9<br>LEI: 549300O2G0VI2955B626 | Long             | LON              | CORP              | US        |    1263650 | PA      | $1224843.31    | 0.01%             | 2026-06-11      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH LLC                                                        | CABLEVISION LIGHTPATH LLC 3.875% 09/15/2027 144A                                                         | CUSIP: 12687GAA7<br>LEI: 5493002ZVBLRLGES1R71 | Long             | DBT              | CORP              | US        |     565000 | PA      | $487131.70     | 0.00%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 7.00% 2/27 #D97194                                                                             | CUSIP: 3128E37F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        870 | PA      | $882.08        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2011-94 SA 1ML+610 07/41                                                                             | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     145044 | PA      | $14565.57      | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/25 #303450                                                                                  | CUSIP: 31373UBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        618 | PA      | $625.25        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR5                                                   | PROGRESS RESIDENTIAL 2022-SFR5 6.863% 06/17/2039 144A                                                    | CUSIP: 74332YAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     870000 | PA      | $790005.07     | 0.00%             | 2039-06-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                         | SOUTH AFRICA REPUBLIC OF 5.875% 04/20/2032                                                               | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     480000 | PA      | $440400.00     | 0.00%             | 2032-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 07/01/2035#                                                                                 | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35751 | PA      | $36189.50      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                                 | GAZPROM PJSC VIA GAZ FINANCE PLC T5Y 4.599%/VAR PERP REGS                                                | CUSIP: N/A<br>LEI: 213800UNP9N6BPNYMQ45       | Long             | EP               | CORP              | GB        |     910000 | PA      | $409500.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SREIT TR 2021-PALM                                                               | SREIT TR 2021-PALM 1ML+361.61 10/15/2034 144A                                                            | CUSIP: 85237AAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441000 | PA      | $395268.92     | 0.00%             | 2034-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                                            | HIGHTOWER TERM B 1LN 04/21/2028                                                                          | CUSIP: 43117LAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2203596 | PA      | $2054853.01    | 0.01%             | 2028-04-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MICROSTRATEGY INC                                                                | MICROSTRATEGY INC 6.125% 06/15/2028 144A                                                                 | CUSIP: 594972AF8<br>LEI: 549300WQTWEJUEHXQX21 | Long             | DBT              | CORP              | US        |    3910000 | PA      | $2892031.73    | 0.02%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | CARVANA CO 5.5% 04/15/2027 144A                                                                          | CUSIP: 146869AF9<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $556310.50     | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/35 #836456                                                                                 | CUSIP: 31407PH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        424 | PA      | $444.31        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 11/01/2050#QB6612                                                                         | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129977 | PA      | $101310.29     | 0.00%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 08/15/2033#619489                                                                         | CUSIP: 36290WF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15305 | PA      | $15326.24      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 6/25 #409861                                                                                  | CUSIP: 36206FJE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        132 | PA      | $133.98        | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AZUL INVESTMENTS LLP                                                             | AZUL INVESTMENTS LLP 5.875% 10/26/2024 144A                                                              | CUSIP: 05502FAA6<br>LEI: 549300C6XNC8IDH04C74 | Long             | DBT              | CORP              | US        |    1107000 | PA      | $897915.38     | 0.00%             | 2024-10-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/32 #581935                                                                                  | CUSIP: 36201FPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        446 | PA      | $469.45        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RENTOKIL INITIAL PLC                                                             | RENTOKIL INITIAL PLC 5% 06/27/2032 REGS                                                                  | CUSIP: N/A<br>LEI: 549300VN4WV7Z6T14K68       | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1633962.25    | 0.01%             | 2032-06-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2010-C1                                                           | GSMS 2010-C1 B 5.148 8/43                                                                                | CUSIP: 36249KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52755 | PA      | $51845.62      | 0.00%             | 2043-08-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                         | GENERAL MTRS FINL CO INC 4% 01/15/2025                                                                   | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    6564000 | PA      | $6387594.14    | 0.03%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/32 #576229                                                                                  | CUSIP: 36200YEA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        745 | PA      | $781.94        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 4/42 #C03811                                                                                  | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2065343 | PA      | $1942326.21    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 1/31 #543785                                                                                  | CUSIP: 36212UCW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $56.76         | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #468084                                                                                  | CUSIP: 36209C6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        160 | PA      | $164.00        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 8.201%/VAR 11/16/2034 REGS                                                             | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |    1900000 | PA      | $2382054.90    | 0.01%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                            | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  114784000 | PA      | $95414200.00   | 0.50%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 3/23 #342821                                                                                  | CUSIP: 36224YYS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.11          | 0.00%             | 2023-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2052#FS2434                                                                         | CUSIP: 3140XHV46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8634563 | PA      | $8490925.92    | 0.04%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2% 12/01/2036#BU1384                                                                           | CUSIP: 3140M2RE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     812042 | PA      | $731226.35     | 0.00%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 3/26 #331390                                                                                  | CUSIP: 31375DC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.00         | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/01/2043#BM1167                                                                           | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1927669 | PA      | $1862043.05    | 0.01%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARRIOTT OWNERSHIP RESORTS INC                                                   | MARRIOTT OWNERSHIP RESORTS INC 4.5% 06/15/2029 144A                                                      | CUSIP: 57164PAH9<br>LEI: BW4532OH033VURR0IT68 | Long             | DBT              | CORP              | US        |     225000 | PA      | $189558.44     | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/29 #479545                                                                                  | CUSIP: 31382DWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        184 | PA      | $193.08        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/25 #320060                                                                                  | CUSIP: 31374PQM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $83.37         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 11/39 #680498                                                                                 | CUSIP: 36295T7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3925 | PA      | $4137.45       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2996 ZD 5.5% 06/35                                                                                   | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     419955 | PA      | $431917.36     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                            | KINDER MORGAN INC DEL 5.05% 02/15/2046                                                                   | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    1762000 | PA      | $1523893.06    | 0.01%             | 2046-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                   | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                             | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4229000 | PA      | $4008625.96    | 0.02%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 12/27 #257025                                                                            | CUSIP: 31371NPJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4665 | PA      | $4753.83       | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 06/01/2032#MA3029                                                                           | CUSIP: 31418CLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143975 | PA      | $137667.93     | 0.00%             | 2032-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8% 10/01/2030#                                                                                 | CUSIP: 31298CD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $186.88        | 0.00%             | 2030-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/40 #741372                                                                                  | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16206 | PA      | $16052.53      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITGO PETROLEUM CORP                                                             | CITGO PETROLEUM CORP 7% 06/15/2025 144A                                                                  | CUSIP: 17302XAK2<br>LEI: YX52P86PXMLYDOTUQ225 | Long             | DBT              | CORP              | US        |    3645000 | PA      | $3591473.18    | 0.02%             | 2025-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 5/36 #745550                                                                                  | CUSIP: 31403DH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1586 | PA      | $1658.50       | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HLDGS INC NEW                                                          | ENERGIZER HOLDINGS TERM B 1LN 12/22/2027                                                                 | CUSIP: N/A<br>LEI: 5493000D6NN0V57UME20       | Long             | LON              | CORP              | US        |    1197275 | PA      | $1171330.05    | 0.01%             | 2027-12-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 05/51#SD7541                                                                                | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23893729 | PA      | $19864412.19   | 0.10%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2018-C8                                                   | JPMDB COML MTG SECS TR 2018-C8 CSTR 06/15/2051 144A                                                      | CUSIP: 46591AAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     223000 | PA      | $151273.12     | 0.00%             | 2051-06-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 4/28 #251615                                                                                  | CUSIP: 31371GN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        462 | PA      | $481.47        | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LII LTD / MADISON PK FDG LII LLC                                  | MADISON PK FDG LII LTD / MADISON PK FDG LII LLC 3ML+110 01/22/2035 144A                                  | CUSIP: 55822BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17793000 | PA      | $17157932.24   | 0.09%             | 2035-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2033#697224                                                                         | CUSIP: 31400TSM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20951 | PA      | $20718.99      | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 09/20/2040#004799                                                                           | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134152 | PA      | $126708.09     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C16 COML MTG TR                                                       | CSAIL 2019-C16 COML MTG TR C CSTR 06/15/2052                                                             | CUSIP: 12596WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     630000 | PA      | $509878.09     | 0.00%             | 2052-06-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                                         | BENCHMARK 2018-B7 MTG TR VAR 05/15/2053 144A                                                             | CUSIP: 08162TAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     351000 | PA      | $250756.65     | 0.00%             | 2053-05-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                     | ROCKIES EXPRESS PIPELINE LLC 6.875% 04/15/2040 144A                                                      | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     490000 | PA      | $406700.00     | 0.00%             | 2040-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2017-APPL                                                               | BX TRUST 2017-APPL 1ML+425 07/15/2034 144A                                                               | CUSIP: 12433PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     594556 | PA      | $581488.92     | 0.00%             | 2034-07-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/47#BH0885                                                                              | CUSIP: 3140GN6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15881 | PA      | $15754.53      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/40 #737790                                                                                 | CUSIP: 3620ARUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3592 | PA      | $3471.01       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DANONE SA                                                                        | DANONE 1.75/VAR PERP REGS                                                                                | CUSIP: N/A<br>LEI: 969500KMUQ2B6CBAF162       | Long             | EP               | CORP              | FR        |    2600000 | PA      | $2665555.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 9/42 #AP4091                                                                                  | CUSIP: 3138M7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19309 | PA      | $18120.85      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #730490                                                                                  | CUSIP: 31402JRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25920 | PA      | $25628.59      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 11/31 #554171                                                                                 | CUSIP: 36213GT43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        925 | PA      | $970.34        | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 5.78% 10/35 #1N0063                                                                             | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4796 | PA      | $4935.19       | 0.00%             | 2035-10-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/39 #711476                                                                                 | CUSIP: 36297GMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56120 | PA      | $54254.10      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 6.625%/VAR PERP REGS                                                                         | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | EP               | CORP              | FR        |    2230000 | PA      | $2146375.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 6/26 #349356                                                                                  | CUSIP: 31376ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        518 | PA      | $532.35        | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/32 #568707                                                                                  | CUSIP: 36213YYC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1040 | PA      | $1095.78       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 12/01/2033#C91737                                                                         | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186445 | PA      | $180304.31     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 7/26 #831587                                                                                  | CUSIP: 31407H2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        475 | PA      | $480.01        | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | POST HLDGS INC 4.625% 04/15/2030 144A                                                                    | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    1255000 | PA      | $1101074.25    | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 5.20% 12/35 #1A0053                                                                             | CUSIP: 3128NEBW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        394 | PA      | $401.28        | 0.00%             | 2035-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/41 #AL1193                                                                                 | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261648 | PA      | $252877.77     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 3/42 #Q06886                                                                                  | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60266 | PA      | $58314.01      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                                                    | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     610469 | PA      | $38879.31      | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                    | LOWES COS INC 3.75% 04/01/2032                                                                           | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   27423000 | PA      | $24979923.05   | 0.13%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A96731                                                                                  | CUSIP: 312945PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113042 | PA      | $112567.31     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/01/2044#AW9502                                                                         | CUSIP: 3138XZRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66753 | PA      | $64873.05      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                    | AIB GROUP PLC 3.625%/VAR 07/04/2026 REGS                                                                 | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |    1800000 | PA      | $1822124.73    | 0.01%             | 2026-07-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 05/01/2043#Q18564                                                                         | CUSIP: 3132J96A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12157 | PA      | $11847.82      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNMA 2017-H06 FA 12ML+35 08/66                                                                           | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3041448 | PA      | $3025548.99    | 0.02%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 4/27 #448536                                                                                  | CUSIP: 36208EHM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         62 | PA      | $64.41         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 10/01/2043#AU6178                                                                         | CUSIP: 3138X52L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16126 | PA      | $16535.56      | 0.00%             | 2043-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STWD TR 2021-LIH                                                                 | STWD TR 2021-LIH 1ML+ 11/15/2036 144A                                                                    | CUSIP: 78486EAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1281000 | PA      | $1174911.42    | 0.01%             | 2036-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | VISTRA OPERATIONS CO LLC 5% 07/31/2027 144A                                                              | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1760013.92    | 0.01%             | 2027-07-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE8603                                                                           | CUSIP: 31419KRZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61306 | PA      | $59252.15      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GUATEMALA, REP OF                                                                | GUATEMALA REP OF 6.125% 06/01/2050 144A                                                                  | CUSIP: 401494AR0<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     335000 | PA      | $306692.50     | 0.00%             | 2050-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/35 #787578                                                                                  | CUSIP: 31405E6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6706 | PA      | $7008.40       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEATTLE SPINCO INC                                                               | MICRO FOCUS TERM B-3 06/21/24                                                                            | CUSIP: 81271EAB7<br>LEI: 213800AAQDP1DDU8BK05 | Long             | LON              | CORP              | US        |    4360868 | PA      | $4306357.10    | 0.02%             | 2024-06-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OIL AND GAS HOLDING CO BSCC/THE                                                  | OIL AND GAS HOLDING CO BSCC/THE 8.375% 11/07/2028 144A                                                   | CUSIP: 67778M2D1<br>LEI: 549300OBH16L6TS6IW50 | Long             | DBT              | CORP              | BH        |     260000 | PA      | $263867.50     | 0.00%             | 2028-11-07      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                      | CHEMOURS CO 5.375% 05/15/2027                                                                            | CUSIP: 163851AE8<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    4251000 | PA      | $3847155.00    | 0.02%             | 2027-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2019-OC11                                                                  | BX TR 2019-OC11 4.075457% 12/09/2041 144A                                                                | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84000 | PA      | $66926.08      | 0.00%             | 2041-12-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                   | HALLIBURTON CO 3.8% 11/15/2025                                                                           | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |      86000 | PA      | $84175.07      | 0.00%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 01/01/2043#AB7644                                                                         | CUSIP: 31417EP62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34646 | PA      | $33756.59      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 06/01/2041#MA4364                                                                           | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3039869 | PA      | $2597537.68    | 0.01%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                            | REYNOLDS AMERICAN INC 4.45% 06/12/2025                                                                   | CUSIP: 761713BG0<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    5354000 | PA      | $5257638.44    | 0.03%             | 2025-06-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGOLA REPUBLIC                                                                  | ANGOLA REPUBLIC 9.375% 05/08/2048 144A                                                                   | CUSIP: 035198AC4<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     125000 | PA      | $103593.75     | 0.00%             | 2048-05-08      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                     | WP CAREY INC 3.85% 07/15/2029                                                                            | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    2566000 | PA      | $2303387.45    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/28 #331338                                                                                  | CUSIP: 31375DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        567 | PA      | $586.87        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                     | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                             | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   17428000 | PA      | $16467325.24   | 0.09%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                               | NUMERICABLE TERM B-12 01/31/2026                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    6283230 | PA      | $6008338.52    | 0.03%             | 2026-01-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/32 #533932                                                                                  | CUSIP: 36212HED8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $116.14        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                                  | MADISON IAQ TERM B 1LN 06/21/2028                                                                        | CUSIP: 55759VAB4<br>LEI: 549300IXDNBXNHUPBU73 | Long             | LON              | CORP              | US        |    2616875 | PA      | $2481137.69    | 0.01%             | 2028-06-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                   | SABRE TERM B-1 1LN 12/17/2027                                                                            | CUSIP: 78571YBG4<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |     181978 | PA      | $167534.65     | 0.00%             | 2027-12-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 4.75% 01/26/2026                                                                      | CUSIP: 900123DB3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1500000 | PA      | $1357500.00    | 0.01%             | 2026-01-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                         | RR 7 LTD 3ML+134 01/15/2037 144A                                                                         | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17526000 | PA      | $17028542.02   | 0.09%             | 2037-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #433882                                                                                  | CUSIP: 36207J6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         91 | PA      | $94.11         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS AMER 2021-2 TR                                                     | HOME PARTNERS AMER 2021-2 TR 4.505% 12/17/2026 144A                                                      | CUSIP: 43732VAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2269115 | PA      | $1853573.65    | 0.01%             | 2026-12-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GRIFFON CORP                                                                     | GRIFFON TERM B 1LN 01/24/2029                                                                            | CUSIP: 39843GAJ2<br>LEI: 5493000C2SGNC7ZN3242 | Long             | LON              | CORP              | US        |    1918900 | PA      | $1881730.91    | 0.01%             | 2029-01-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 11/01/2052#SD1863                                                                           | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $10079233.00   | 0.05%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2044#Q24973                                                                         | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16182 | PA      | $15760.45      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIDS HOLDINGS INC                                                                | LIDS HOLDINGS TERM 1LN 12/14/2026                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1450000 | PA      | $1341250.00    | 0.01%             | 2026-12-14      | Variable      | 0.09%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/40#AE7364                                                                                | CUSIP: 31419JFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52364 | PA      | $50644.31      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                  | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                                    | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11059849 | PA      | $8792320.12    | 0.05%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 03/01/2043#Q16470                                                                         | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82981 | PA      | $76171.19      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/27 #353919                                                                                 | CUSIP: 36203NDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $66.78         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                           | CEDAR FUNDING LTD 2022 TSFR3M+132 04/20/2035 144A                                                        | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16187000 | PA      | $15550737.59   | 0.08%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 11/29 #MA0243                                                                                 | CUSIP: 31417YHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16557 | PA      | $16936.71      | 0.00%             | 2029-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOVES BUYER INC                                                                 | PROTECTIVE INDUSTRIAL PRODUCTS TERM B 1LN 01/06/2028                                                     | CUSIP: 37987UAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     655024 | PA      | $594977.80     | 0.00%             | 2028-01-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                  | FOX CORP 4.03% 01/25/2024                                                                                | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    2489000 | PA      | $2455791.29    | 0.01%             | 2024-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | EXELON CORP 4.05% 04/15/2030                                                                             | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    3689000 | PA      | $3480375.84    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 08/15/2040#721759                                                                         | CUSIP: 3620A7ZY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4980 | PA      | $4814.24       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.875% 02/28/2027                                                                              | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  175000000 | PA      | $161164062.50  | 0.84%             | 2027-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                                                      | CITYCON OYJ 4.496%/VAR PERP REGS                                                                         | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |    1555000 | PA      | $992048.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                           | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                            | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9383845 | PA      | $7343093.31    | 0.04%             | 2051-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ICU MEDICAL INC                                                                  | ICU MEDICAL TERM B 1LN 01/06/2029                                                                        | CUSIP: N/A<br>LEI: 5493003NRW7LS2QZRH60       | Long             | LON              | CORP              | US        |    1208925 | PA      | $1160568.00    | 0.01%             | 2029-01-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2045#MA2471                                                                         | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17967 | PA      | $16899.54      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 0.0% 01/01/2042#AJ8357                                                                          | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49239 | PA      | $49568.68      | 0.00%             | 2042-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 06/01/2031#                                                                                 | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        868 | PA      | $896.87        | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC                                  | ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC 4.125% 08/15/2026 144A                                   | CUSIP: 03969AAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1370000 | PA      | $1205600.00    | 0.01%             | 2026-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 4.25% 09/15/2024                                                                          | CUSIP: 00912XAN4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    4366000 | PA      | $4288718.00    | 0.02%             | 2024-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 07/01/2043#Q19764                                                                         | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26210 | PA      | $25544.27      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                  | BANK 2019-BN21 A5 2.851% 10/17/2052                                                                      | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1355000 | PA      | $1169451.45    | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                    | UNICREDIT SPA 5.861%/VAR 06/19/2032 144A                                                                 | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    1500000 | PA      | $1306141.86    | 0.01%             | 2032-06-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/28 #485009                                                                                 | CUSIP: 36209XYE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        240 | PA      | $247.86        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/28 #251569                                                                                  | CUSIP: 31371GMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $42.52         | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MH SUB I LLC                                                                     | INTERNET BRANDS TERM B 2LN 02/23/2029                                                                    | CUSIP: 55303BAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1660000 | PA      | $1487775.00    | 0.01%             | 2029-02-23      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 04/51#MA7311                                                                                  | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1294746 | PA      | $1105293.12    | 0.01%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                         | VENTURE GLOBAL CALCASIEU 3.875% 08/15/2029 144A                                                          | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1295625.00    | 0.01%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 8.00% 8/30 #C41636                                                                                  | CUSIP: 31297YY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $35.12         | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2006-37 OW 0% 5/36                                                                                   | CUSIP: 31395DMG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       9709 | PA      | $7650.48       | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                             | TTM TECHNOLOGIES TERM B 09/28/2024                                                                       | CUSIP: 87305VAH3<br>LEI: 549300SC4BDOIS008048 | Long             | LON              | CORP              | US        |    2347994 | PA      | $2332332.77    | 0.01%             | 2024-09-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 6/41 #748112                                                                                  | CUSIP: 3620C4DR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9366 | PA      | $9054.48       | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 12/27 #436032                                                                                 | CUSIP: 36207MLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        185 | PA      | $192.26        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUTIONS HOLDING CO                                            | BWAY HOLDING TERM B 04/03/2024                                                                           | CUSIP: 05604XAP1<br>LEI: 549300DNGHXL0OMHW304 | Long             | LON              | CORP              | US        |     343499 | PA      | $332980.79     | 0.00%             | 2024-04-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 2.593%/VAR 09/11/2025 144A                                                          | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   21556000 | PA      | $19096217.68   | 0.10%             | 2025-09-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                                  | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    6004000 | PA      | $5321492.12    | 0.03%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #777002                                                                                  | CUSIP: 31404SGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16129 | PA      | $15952.73      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/40 #741227                                                                                  | CUSIP: 3620AVPL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2751 | PA      | $2724.41       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP                                                                | SITE CENTERS CORP 3.625% 02/01/2025                                                                      | CUSIP: 23317HAD4<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    3106000 | PA      | $2930938.94    | 0.02%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                                       | MAJORDRIVE HOLDINGS IV LLC 6.375% 06/01/2029 144A                                                        | CUSIP: 56085RAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1080000 | PA      | $842400.00     | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 07/01/2043#Q19597                                                                         | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105116 | PA      | $102445.99     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 12/39 #711059                                                                                 | CUSIP: 36297F5U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8264 | PA      | $8350.59       | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 11/31 #572392                                                                                 | CUSIP: 36200T2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1223 | PA      | $1272.20       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                         | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                            | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1536000 | PA      | $1455083.98    | 0.01%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AEROPORTI DI ROMA SPA                                                            | AEROPORTI DI ROMA SPA 1.75% 07/30/2031 REGS                                                              | CUSIP: N/A<br>LEI: 8156007259ABDEA3F444       | Long             | DBT              | CORP              | IT        |     750000 | PA      | $598925.13     | 0.00%             | 2031-07-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                            | LCH OIS SOFRV2.5% MAC 12/21/32                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |     214000 | NC      | $-2600.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                          | SAUDI ARABIA KINGDOM OF 4.5% 10/26/2046 144A                                                             | CUSIP: 80413TAC3<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    1150000 | PA      | $1004812.50    | 0.01%             | 2046-10-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 10/42 #AQ1181                                                                                 | CUSIP: 3138MGJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65538 | PA      | $61442.89      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION INC                                                     | ADTALEM GLOBAL EDUCATION INC 5.5% 03/01/2028 144A                                                        | CUSIP: 00737WAA7<br>LEI: 549300Z467EZLMODV621 | Long             | DBT              | CORP              | US        |    3507000 | PA      | $3261510.00    | 0.02%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UFC HOLDINGS LLC                                                                 | UFC TERM B 1LN 04/29/2026                                                                                | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |    1239498 | PA      | $1216951.37    | 0.01%             | 2026-04-29      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TERRIER MEDIA BUYER INC                                                          | COX MEDIA GROUP TERM B 1LN INCR 12/17/2026                                                               | CUSIP: 88145LAE4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8184740 | PA      | $7591346.44    | 0.04%             | 2026-12-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026                                      | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    6213000 | PA      | $5960827.50    | 0.03%             | 2026-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTRAL PARENT INC                                                               | CDK GLOBAL TERM 1LN 07/06/2029                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    6490000 | PA      | $6406668.40    | 0.03%             | 2029-07-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 3/36 #602552                                                                                  | CUSIP: 36200JL99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5906 | PA      | $5923.40       | 0.00%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.6% 03/09/2026                                                                            | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4812000 | PA      | $4744147.72    | 0.02%             | 2026-03-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 08/01/2043#AS0205                                                                         | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145766 | PA      | $133543.57     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #396994                                                                                  | CUSIP: 31378E7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $75.80         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 5/33 #003400                                                                               | CUSIP: 36202DX55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2747 | PA      | $2663.77       | 0.00%             | 2033-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #AH1983                                                                                 | CUSIP: 3138A3FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1667 | PA      | $1612.80       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURK TELEKOMUNIKASYON                                                            | TURK TELEKOMUNIKASYON 6.875% 02/28/2025 144A                                                             | CUSIP: 90011QAC4<br>LEI: 789000A2TXOI10JZLF90 | Long             | DBT              | CORP              | TR        |    1286000 | PA      | $1144379.25    | 0.01%             | 2025-02-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                               | CNX RESOURCES CORP 7.25% 03/14/2027 144A                                                                 | CUSIP: 12653CAC2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     140000 | PA      | $139475.00     | 0.00%             | 2027-03-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                                    | COHERENT CORP 5% 12/15/2029 144A                                                                         | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |    4115000 | PA      | $3631487.50    | 0.02%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.0% 8/45#Q35375                                                                                    | CUSIP: 3132QR6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28328 | PA      | $25844.00      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2044#AX6333                                                                         | CUSIP: 3138Y8BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9826 | PA      | $9823.68       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC 5.125%/VAR PERP                                                                 | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | EP               | CORP              | GB        |     220000 | PA      | $242500.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/32 #569328                                                                                  | CUSIP: 36200QPM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        439 | PA      | $460.64        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2019-70P                                                     | GS MTG SECS CORP TR 2019-70P F 1ML+265 10/15/2036 144A                                                   | CUSIP: 36257MAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1717000 | PA      | $1550914.07    | 0.01%             | 2036-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 6.5% 4/31 #003068                                                                                | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        207 | PA      | $215.10        | 0.00%             | 2031-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 03/01/2041#AH6486                                                                         | CUSIP: 3138A8F43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74033 | PA      | $71555.43      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 1/34 #609542                                                                                  | CUSIP: 36202UEP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        244 | PA      | $250.10        | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                   | BRAZIL FEDERATIVE REPUBLIC OF 8.25% 01/20/2034                                                           | CUSIP: 105756BB5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    1976000 | PA      | $2244365.50    | 0.01%             | 2034-01-20      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                               | AUTONATION INC DEL 4.75% 06/01/2030                                                                      | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1671000 | PA      | $1504743.02    | 0.01%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 01/15/2043#AC3938                                                                         | CUSIP: 36179DLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4392 | PA      | $4163.95       | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/31 #424092                                                                                  | CUSIP: 36206XC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        474 | PA      | $491.59        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/ WYNN LAS V                                                   | WYNN LAS VEGAS LLC/ WYNN LAS V 5.25% 05/15/2027 144A                                                     | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2407000 | PA      | $2205052.70    | 0.01%             | 2027-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS9                                                          | GS MTG SECS TR 2018-GS9 3% 03/10/2051 144A                                                               | CUSIP: 36255NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     476000 | PA      | $333910.76     | 0.00%             | 2051-03-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 3.375% 02/15/2030                                                                           | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    7780000 | PA      | $6627105.61    | 0.03%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2010-C1                                                           | GSMS 2010-C1 X CSTR 8/43                                                                                 | CUSIP: 36249KAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227415 | PA      | $545.05        | 0.00%             | 2043-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 2/40 #678654                                                                                  | CUSIP: 36295R5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54674 | PA      | $52841.28      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MED TR 2021-MDLN                                                                 | MED TR 2021-MDLN 1ML+525 11/15/2026 144A                                                                 | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2533000 | PA      | $2231335.40    | 0.01%             | 2038-11-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 2.406%/VAR 10/30/2025                                                             | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    9442000 | PA      | $8898310.38    | 0.05%             | 2025-10-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US FOODS INC 4.75% 02/15/2029 144A                                                                       | CUSIP: 90290MAD3<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    1635000 | PA      | $1456981.20    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                         | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                                  | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    2437000 | PA      | $2250642.61    | 0.01%             | 2028-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 08/20/2043#MA1225                                                                           | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     183026 | PA      | $179266.30     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/29 #494945                                                                                  | CUSIP: 31382WZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3723 | PA      | $3904.22       | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 12/38 #970918                                                                                 | CUSIP: 31414NDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30358 | PA      | $31882.18      | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | ROYAL BK SCOTLND GRP PLC(UNGTD) 3.073/VAR 05/22/2028                                                     | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    9805000 | PA      | $8680221.19    | 0.05%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| AP CORE HOLDINGS II LLC                                                          | YAHOO MEDIA TERM B2 1LN 09/01/2027                                                                       | CUSIP: 00187GAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2850000 | PA      | $2519884.50    | 0.01%             | 2027-09-01      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| DENBURY INC                                                                      | DENBURY INC                                                                                              | CUSIP: 24790A101<br>LEI: 549300KCWA5W52MS5559 | Long             | EC               | CORP              | US        |      15462 | NS      | $1387869.12    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GIP III STETSON I LP                                                             | STETSON MIDSTREAM TERM B 07/18/25                                                                        | CUSIP: 36173DAB2<br>LEI: 549300MLKSDQYN3TMQ54 | Long             | LON              | CORP              | US        |    2747646 | PA      | $2676894.55    | 0.01%             | 2025-07-18      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 12M+1.75 9/1/41 #1B8787                                                                         | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69972 | PA      | $70224.43      | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                             | HEIMSTADEN BOSTAD AB 3.625/VAR PERP REGS                                                                 | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | EP               | CORP              | SE        |    1410000 | PA      | $889737.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 11/40 #667594                                                                                 | CUSIP: 36295DUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4712 | PA      | $4558.19       | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 03/01/2052#CB3038                                                                           | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1522750 | PA      | $1255968.54    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                       | EATON VANCE CLO 2020-2 LTD 3ML+114 01/15/2035 144A                                                       | CUSIP: 27829PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15072000 | PA      | $14624964.48   | 0.08%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/29 #505740                                                                                  | CUSIP: 31383KZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1328 | PA      | $1382.85       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/41 #AJ7139                                                                                 | CUSIP: 3138AY4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8853 | PA      | $8548.88       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2% 04/01/2041#                                                                                 | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20881 | PA      | $17843.01      | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.50% 7/30 #781205                                                                                  | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        278 | PA      | $297.10        | 0.00%             | 2030-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 3/41 #004978                                                                               | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     329647 | PA      | $327670.38     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA VENDOR FINANCING NOTES IV DAC                                       | VIRGIN MEDIA VENDOR FINANCING NOTES IV DAC 5% 07/15/2028 144A                                            | CUSIP: 92770QAA5<br>LEI: 635400ZZNJSEA4CAJR23 | Long             | DBT              | CORP              | IE        |    1200000 | PA      | $1028712.00    | 0.01%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 05/01/2043#Q18363                                                                         | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14455 | PA      | $14088.24      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FILTRATION GROUP CORP                                                            | FILTRATION GROUP TERM B 1LN 10/21/2028                                                                   | CUSIP: 31732FAR7<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |     994975 | PA      | $968359.30     | 0.01%             | 2028-10-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 6.49% 8/37 #1A1800                                                                              | CUSIP: 3128NF7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9876 | PA      | $9705.61       | 0.00%             | 2037-08-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 6/38 #A78487                                                                                  | CUSIP: 3128LCNC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2161 | PA      | $2198.35       | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | DEUTSCHE BANK AG 3.25%/VAR 05/24/2028 REGS                                                               | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |    1900000 | PA      | $1832413.35    | 0.01%             | 2028-05-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 9/40 #748811                                                                                  | CUSIP: 3620C43U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8424 | PA      | $8343.65       | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 09/42#G07184                                                                                | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5616501 | PA      | $5432542.82    | 0.03%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 10/32 #G01766                                                                                 | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14703 | PA      | $15445.37      | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HEALTHEQUITY INC                                                                 | HEALTHEQUITY INC 4.5% 10/01/2029 144A                                                                    | CUSIP: 42226AAA5<br>LEI: 529900LRJU1RAFQHM467 | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3263472.50    | 0.02%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 3.9% 01/15/2025                                                                         | CUSIP: 96950FAQ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    9678000 | PA      | $9452694.90    | 0.05%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA GOOSE INC                                                                 | CANADA GOOSE TERM B 1LN 10/07/2027                                                                       | CUSIP: N/A<br>LEI: 5493005JT54IX5MZ9P52       | Long             | LON              | CORP              | CA        |     815506 | PA      | $792060.34     | 0.00%             | 2027-10-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/01/2039#AA8725                                                                         | CUSIP: 31416SVT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4356 | PA      | $4423.96       | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2022-B37 MTG TR                                                        | BENCHMARK 2022-B37 MTG TR 5.9431% 11/15/2055                                                             | CUSIP: 08161QAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     823000 | PA      | $728572.11     | 0.00%             | 2055-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/28 #452761                                                                                  | CUSIP: 36208J5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        167 | PA      | $170.59        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.35% 02/12/2048                                                                     | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   31726000 | PA      | $19194230.00   | 0.10%             | 2048-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #AH0573                                                                                 | CUSIP: 3138A1T76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4160 | PA      | $4023.29       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROMIGAS SA ESP/GASES DEL PACIFICO SAC                                           | PROMIGAS SA ESP/GASES DEL PACIFICO SAC 3.75% 10/16/2029 144A                                             | CUSIP: 74348DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CO        |     485000 | PA      | $383392.50     | 0.00%             | 2029-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 11/47#Q52377                                                                                | CUSIP: 3132XUUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1255122 | PA      | $1210295.90    | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRST STUDENT BIDCO INC/FIRST TRANSIT PARENT INC                                 | FIRST STUDENT BIDCO INC/FIRST TRANSIT PARENT INC 4% 07/31/2029 144A                                      | CUSIP: 337120AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3645000 | PA      | $3025350.00    | 0.02%             | 2029-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 3/28 #465985                                                                                  | CUSIP: 36209AUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        305 | PA      | $316.10        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C13                                 | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C13 D CSTR 11/15/2046 144A                                  | CUSIP: 61763BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     970000 | PA      | $887089.64     | 0.00%             | 2046-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 09/20/2043#MA1284                                                                           | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16570 | PA      | $15269.72      | 0.00%             | 2043-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                             | 1011778 BC ULC/NEW RED FIN INC 5.75% 04/15/2025 144A                                                     | CUSIP: 68245XAK5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      60000 | PA      | $60150.00      | 0.00%             | 2025-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 12/23 #765384                                                                                 | CUSIP: 31404DJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2509 | PA      | $2511.51       | 0.00%             | 2023-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 11/01/2042#AB6903                                                                         | CUSIP: 31417DU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356207 | PA      | $322896.58     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 7.00% 11/34 #A45143                                                                                 | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10779 | PA      | $11511.61      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2040#AE9804                                                                           | CUSIP: 31419L3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234744 | PA      | $226891.77     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                                                 | FX Forward: USD/GBP settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1462.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.5% 03/31/2027                                                                                | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $75546875.20   | 0.39%             | 2027-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 12/01/2051#CB2321                                                                         | CUSIP: 3140QMSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5219063 | PA      | $4479921.21    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2041#AH4043                                                                         | CUSIP: 3138A5P55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12563 | PA      | $12480.93      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2218 ZB 6% 3/30                                                                                      | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      20615 | PA      | $20946.22      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EMPLOYBRIDGE LLC                                                                 | EMPLOYBRIDGE TERM B 1LN 07/19/2028                                                                       | CUSIP: N/A<br>LEI: 549300GS4274Y66CQH05       | Long             | LON              | CORP              | US        |    2692054 | PA      | $2175529.41    | 0.01%             | 2028-07-19      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MTG ASSN HECM 1ML+ 01/20/2064                                                             | CUSIP: 38375UEJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     228575 | PA      | $226912.99     | 0.00%             | 2064-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | COINBASE GLOBAL INC 3.625% 10/01/2031 144A                                                               | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |    4355000 | PA      | $2351700.00    | 0.01%             | 2031-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                | PERU REPUBLIC OF 2.783% 01/23/2031                                                                       | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3110000 | PA      | $2627950.00    | 0.01%             | 2031-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES LP                                                            | CITADEL TERM B 1LN 02/27/2028                                                                            | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    2856500 | PA      | $2810081.88    | 0.01%             | 2028-02-27      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRIMA CAP LTD 2021-9A                                                            | PRIMA CAP LTD 2021-9A C 1ML+235 12/15/2037 144A                                                          | CUSIP: 74167FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1785000 | PA      | $1668174.43    | 0.01%             | 2037-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UZBEKNEFTEGAZ JSC                                                                | UZBEKNEFTEGAZ JSC 4.75% 11/16/2028 144A                                                                  | CUSIP: 91825MAB9<br>LEI: 213800LUZJZFLJD4MJ51 | Long             | DBT              | CORP              | UZ        |     200000 | PA      | $156500.00     | 0.00%             | 2028-11-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.125% 08/31/2028                                                                              | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  395338000 | PA      | $340901811.54  | 1.78%             | 2028-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EQUINOX HOLDINGS INC                                                             | EQUINOX TERM 2LN 09/08/2024                                                                              | CUSIP: 29446CAK0<br>LEI: 549300W05QKLNGQIIA73 | Long             | LON              | CORP              | US        |     455000 | PA      | $288201.55     | 0.00%             | 2024-09-08      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 4.4% 06/06/2027 144A                                                               | CUSIP: 71567PAU4<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     480000 | PA      | $471690.00     | 0.00%             | 2027-06-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2046#BC6149                                                                         | CUSIP: 3140F1ZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85330 | PA      | $80180.35      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045        | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5093000 | PA      | $4797949.06    | 0.03%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LUCALI CLO LTD                                                                   | LUCALI CLO LTD 2020-1A A 3ML+121 01/15/2033 144A                                                         | CUSIP: 54929JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7620000 | PA      | $7458745.56    | 0.04%             | 2033-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LAMAR FDG LTD                                                                    | LAMAR FDG LTD 3.958% 05/07/2025 144A                                                                     | CUSIP: 513063AA5<br>LEI: 549300TSXHL7X0727895 | Long             | DBT              | CORP              | KY        |    1085000 | PA      | $1029597.19    | 0.01%             | 2025-05-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 3% 09/15/2023                                                                             | CUSIP: 00912XAT1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    1163000 | PA      | $1140116.16    | 0.01%             | 2023-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 9/39 #710869                                                                                  | CUSIP: 36297FW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59432 | PA      | $61566.04      | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG 7/VAR PERP RGS                                                                              | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | EP               | CORP              | CH        |     644000 | PA      | $637560.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CFMT 2020-HB4 LLC                                                                | CFMT 2020-HB4 A LLC 0% 12/26/2030 144A                                                                   | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3348741 | PA      | $3235248.51    | 0.02%             | 2030-12-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | FX Forward: EUR/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $664.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                | DELL INTL/EMC CORP 6.2% 07/15/2030                                                                       | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4367000 | PA      | $4490693.83    | 0.02%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PACIFIC BELLS LLC                                                                | PACIFIC BELLS TERM B 1LN 10/20/2028                                                                      | CUSIP: 69403HAL4<br>LEI: 549300VGOQXINYVBJF37 | Long             | LON              | CORP              | US        |    1159221 | PA      | $1088705.36    | 0.01%             | 2028-10-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                      | MOODYS CORP 3.25% 01/15/2028                                                                             | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    4181000 | PA      | $3863229.24    | 0.02%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KENNEDY-WILSON INC                                                               | KENNEDY-WILSON INC 4.75% 03/01/2029                                                                      | CUSIP: 489399AL9<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |     580000 | PA      | $470815.00     | 0.00%             | 2029-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 6.25% 03/15/2026 144A                                                                      | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    6360000 | PA      | $6329090.40    | 0.03%             | 2026-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/28 #660494                                                                                  | CUSIP: 31390YXX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        404 | PA      | $418.09        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 4.5% 01/01/2053 #TBA                                                                           | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   26150000 | PA      | $25455403.70   | 0.13%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 9/41 #Q03529                                                                                  | CUSIP: 3132GJSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24286 | PA      | $24380.70      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GCJ12                                                        | GS MTG SECS TR 2013-GCJ12 CSTR 06/2046                                                                   | CUSIP: 36197XAB0<br>LEI: 549300SSCQUZ3RRV2T53 | Long             | ABS-MBS          | CORP              | US        |     138482 | PA      | $133635.17     | 0.00%             | 2046-06-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 08/01/2039#AA9350                                                                         | CUSIP: 31416TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4902 | PA      | $4978.87       | 0.00%             | 2039-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/32 #583573                                                                                  | CUSIP: 36201HJS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        226 | PA      | $237.07        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032                                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   18966000 | PA      | $15115326.95   | 0.08%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 11/36 #995606                                                                                   | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3983 | PA      | $4002.63       | 0.00%             | 2036-11-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SSH GROUP HOLDINGS INC                                                           | SPRING EDUCATION TERM B 1LN 07/30/2025                                                                   | CUSIP: 78482HAE5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     598093 | PA      | $582069.82     | 0.00%             | 2025-07-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| INTERCEMENT FINANCIAL OPERATIONS BV                                              | INTERCEMENT FINANCIAL OPERATIONS BV 5.75% 07/17/2024 144A                                                | CUSIP: 17186LAA1<br>LEI: 213800IVMAMWIHPCZJ07 | Long             | DBT              | CORP              | NL        |     398000 | PA      | $267655.00     | 0.00%             | 2024-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2020-NNN                                       | JPMCC 2020-NNN FFX 4.6254% 01/16/2037 144A                                                               | CUSIP: 46652BBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     642000 | PA      | $526478.65     | 0.00%             | 2037-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                    | DISCOVER BANK 4.2% 08/08/2023                                                                            | CUSIP: 25466AAD3<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    6479000 | PA      | $6433366.46    | 0.03%             | 2023-08-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/27 #404440                                                                                 | CUSIP: 31378PHR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        185 | PA      | $192.00        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG2012-9 SH 1ML+655 06/25/2041                                                              | CUSIP: 3136A3M81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      40022 | PA      | $501.30        | 0.00%             | 2041-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 8/25 #418746                                                                                  | CUSIP: 36206RET9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         21 | PA      | $21.42         | 0.00%             | 2025-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL CANADA INC                                                              | MEGLOBAL CANADA INC 5% 05/18/2025 144A                                                                   | CUSIP: 58518N2B7<br>LEI: 635400MHHHT7LMKMQL03 | Long             | DBT              | CORP              | CA        |     825000 | PA      | $804787.50     | 0.00%             | 2025-05-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GTC AURORA LUXEMBOURG SA                                                         | GTC AURORA LUXEMBOURG SA 2.25% 06/23/2026 REGS                                                           | CUSIP: N/A<br>LEI: 549300UAWIR6P1PVC062       | Long             | DBT              | CORP              | LU        |    2405000 | PA      | $1823175.42    | 0.01%             | 2026-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 4/40 #727855                                                                                  | CUSIP: 3620AETL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7123 | PA      | $7054.97       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/32 #587924                                                                                  | CUSIP: 36201ND56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        593 | PA      | $621.76        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.2% 05/12/2026                                                                     | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    6970000 | PA      | $6758040.63    | 0.04%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | LEVEL 3 FINANCING INC 3.625% 01/15/2029 144A                                                             | CUSIP: 527298BS1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     420000 | PA      | $310128.00     | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 7.00% 12/26 #256589                                                                            | CUSIP: 31371M7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        779 | PA      | $791.65        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                               | METROPOLITAN LIFE GLBL FDG I 3% 01/10/2023 144A                                                          | CUSIP: 59217GAX7<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    2866000 | PA      | $2860314.74    | 0.01%             | 2023-01-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 5/42 #Q08167                                                                                  | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88590 | PA      | $85763.69      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 7/39 #931638                                                                                  | CUSIP: 31412QBF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2008 | PA      | $1995.54       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 8/40 #G05969                                                                                  | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48517 | PA      | $49367.19      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 6.537%/VAR 08/12/2033 144A                                                          | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   30530000 | PA      | $26745596.45   | 0.14%             | 2033-08-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 10/39 #723234                                                                                 | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2069 | PA      | $2047.80       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG                                                                 | CREDIT SUISSE AG 6.5% 08/08/2023 REGS                                                                    | CUSIP: N/A<br>LEI: ANGGYXNX0JLX3X63JN86       | Long             | DBT              | CORP              | CH        |    3255000 | PA      | $3043425.00    | 0.02%             | 2023-08-08      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 3.753% 10/33 #746320                                                                            | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8001 | PA      | $8151.07       | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MARKS and SPENCER PLC                                                            | MARKS and SPENCER PLC STEP 07/10/2027 REGS                                                               | CUSIP: N/A<br>LEI: 213800CN1RI3UCIZWB95       | Long             | DBT              | CORP              | GB        |    1600000 | PA      | $1661605.86    | 0.01%             | 2027-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS LLC                                                     | FOCUS FINANCIAL TERM B5 1LN 06/30/2028                                                                   | CUSIP: N/A<br>LEI: 5493007L0E0VKRC2CP39       | Long             | LON              | CORP              | US        |    2280000 | PA      | $2241536.40    | 0.01%             | 2028-06-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 05/15/2043#AD5634                                                                         | CUSIP: 36180HHK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     302642 | PA      | $280413.83     | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                              | PRUDENTIAL FINL INC 5.375% 05/15/2045                                                                    | CUSIP: 744320AV4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    6348000 | PA      | $5951884.80    | 0.03%             | 2045-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #458370                                                                                  | CUSIP: 36208RFK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.52         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/28 #780931                                                                                 | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        393 | PA      | $404.63        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2045#Q37467                                                                         | CUSIP: 3132QUJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2292644 | PA      | $2159857.47    | 0.01%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                         | QATAR ST 5.103% 04/23/2048 144A                                                                          | CUSIP: 74727PAY7<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    1090000 | PA      | $1090000.00    | 0.01%             | 2048-04-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                              | SPRINT CAPITAL CORP 8.75% 03/15/2032                                                                     | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    2134000 | PA      | $2551517.10    | 0.01%             | 2032-03-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND                                                          | DRYDEN SENIOR LOAN FUND 3ML+113 02/20/2035 144A                                                          | CUSIP: 262484AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6539000 | PA      | $6315104.64    | 0.03%             | 2035-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHR 2095 PE 6% 11/28                                                                                     | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      36781 | PA      | $37389.38      | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 01/20/2043#MA0852                                                                           | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     222991 | PA      | $211900.34     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                          | SAUDI ARABIA KINGDOM OF 4.5% 04/22/2060 144A                                                             | CUSIP: 80413TAU3<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    4190000 | PA      | $3681962.50    | 0.02%             | 2060-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 05/15/2039#783724                                                                         | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33442 | PA      | $33708.12      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 4/1/43 #AB9016                                                                              | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8490 | PA      | $7786.16       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #745083                                                                                  | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73370 | PA      | $72663.81      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/26 #313182                                                                                 | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $94.58         | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 4.89% 3/33 #725130                                                                              | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6996 | PA      | $6975.56       | 0.00%             | 2033-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | EVERSOURCE ENERGY 2.8% 05/01/2023                                                                        | CUSIP: 664397AK2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    5482000 | PA      | $5433825.06    | 0.03%             | 2023-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                   | BRAZIL FEDERATIVE REPUBLIC OF 7.125% 01/20/2037                                                          | CUSIP: 105756BK5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     840000 | PA      | $891450.00     | 0.00%             | 2037-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANTOFAGASTA PLC                                                                  | ANTOFAGASTA PLC 5.625% 05/13/2032 144A                                                                   | CUSIP: 03718NAB2<br>LEI: 213800MY6QVH4FVLD628 | Long             | DBT              | CORP              | GB        |     360000 | PA      | $345492.00     | 0.00%             | 2032-05-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BALLYS CORP                                                                      | BALLY'S TERM B 1LN 10/01/2028                                                                            | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |    3285175 | PA      | $3118649.48    | 0.02%             | 2028-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+132.21 10/15/2036 144A                                         | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3333000 | PA      | $3064260.88    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/01/2044#Q27069                                                                         | CUSIP: 3132M7QW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3820 | PA      | $3821.67       | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 2.45% 02/15/2031 144A                                                                       | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   71927000 | PA      | $56747842.40   | 0.30%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #474002                                                                                  | CUSIP: 36209KRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        401 | PA      | $413.48        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES LP                                                            | CITADEL TERM B 1LN 02/02/2028                                                                            | CUSIP: 17288YAE2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    1070000 | PA      | $1061311.60    | 0.01%             | 2028-02-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 9/41 #Q03295                                                                                  | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24294 | PA      | $23505.60      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 10/01/2032#MA3155                                                                           | CUSIP: 31418CQH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8066 | PA      | $7705.37       | 0.00%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATL ENERGY CO PJSC                                                    | ABU DHABI NATL ENERGY CO PJSC 4.875% 04/23/2030 144A                                                     | CUSIP: 00388WAG6<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |     305000 | PA      | $311347.81     | 0.00%             | 2030-04-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AT HOME GROUP INC                                                                | AT HOME TERM B 1LN 07/24/2028                                                                            | CUSIP: 04651BAB5<br>LEI: 549300LGPR0P05O30I24 | Long             | LON              | CORP              | US        |     910800 | PA      | $721353.60     | 0.00%             | 2028-07-24      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                                                                        | PIKE TERM B 1LN 01/21/2028                                                                               | CUSIP: 72108PAR5<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |    1198630 | PA      | $1174094.18    | 0.01%             | 2028-01-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | FX Forward: EUR/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $8840.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 02/52#RA6820                                                                                | CUSIP: 3133KNSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17819978 | PA      | $14697963.86   | 0.08%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3% 02/01/2037#C91917                                                                           | CUSIP: 3128P8DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     479977 | PA      | $453334.45     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                        | ISTAR INC 4.75% 10/01/2024                                                                               | CUSIP: 45031UCF6<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |     680000 | PA      | $668697.82     | 0.00%             | 2024-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2052#BV0120                                                                           | CUSIP: 3140MDD21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     957607 | PA      | $849629.30     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MESQUITE ENERGY INC                                                              | MESQUITE ENERGY INC 15% PIK CONV 07/15/2023 PP                                                           | CUSIP: 59073XAE5<br>LEI: 549300SB0HTIM17TVR61 | Long             | DBT              | CORP              | US        |     899094 | PA      | $5947506.81    | 0.03%             | 2023-07-15      | Fixed         | 0.15%                 | Yes           |                  3 | On Loan: No      |
| DRIVEN HOLDINGS LLC                                                              | DRIVEN HOLDINGS TERM B 1LN 11/17/2028                                                                    | CUSIP: N/A<br>LEI: 2549009H8IC4YXR5FV18       | Long             | LON              | CORP              | US        |     457700 | PA      | $434815.00     | 0.00%             | 2028-11-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                        | EGYPT (ARAB) REPUBLIC OF 8.5% 01/31/2047 144A                                                            | CUSIP: 038461AM1<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     904000 | PA      | $601160.00     | 0.00%             | 2047-01-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 04/01/2032#MA2997                                                                           | CUSIP: 31418CKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18178 | PA      | $17381.20      | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GROUPE SOLMAX INC                                                                | SOLMAX TERM B 1LN 05/27/2028                                                                             | CUSIP: N/A<br>LEI: 549300UUEKZ3HF9FNI46       | Long             | LON              | CORP              | CA        |    1422796 | PA      | $1124008.81    | 0.01%             | 2028-05-27      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                                           | HILT 2016-HHV F CSTR 11/38 144A                                                                          | CUSIP: 43300LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1113000 | PA      | $940469.75     | 0.00%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2012-C7                                                        | WFRBS 2012-C7 C CSTR 6/45                                                                                | CUSIP: 92936TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559854 | PA      | $398895.75     | 0.00%             | 2045-06-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/35 #830899                                                                                  | CUSIP: 31407HDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        517 | PA      | $539.18        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-NUGS                                                | MORGAN STANLEY CAP I TR 2019-NUGS A 1ML+88.4 12/15/2021 144A                                             | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5100000 | PA      | $4753724.28    | 0.02%             | 2036-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                             | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                                     | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    3649000 | PA      | $2919865.58    | 0.02%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2049#CA4536                                                                           | CUSIP: 3140QCBE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4688188 | PA      | $4210836.05    | 0.02%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FIN NETH III B V                                             | TEVA PHARMACEUTICAL FIN NETH III B V 4.75% 05/09/2027                                                    | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |     385000 | PA      | $349834.10     | 0.00%             | 2027-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 3.5% 02/14/2050                                                                    | CUSIP: 455780CR5<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     290000 | PA      | $217137.50     | 0.00%             | 2050-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 4.358% 10/33 #754672                                                                            | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1265 | PA      | $1281.81       | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/31 #570662                                                                                 | CUSIP: 36200R5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        577 | PA      | $597.02        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2041#Q04011                                                                           | CUSIP: 3132GKDQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37617 | PA      | $36405.75      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #AH0493                                                                                 | CUSIP: 3138A1RP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8004 | PA      | $7749.41       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                         | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192278 | PA      | $190038.48     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 02/01/2032#AL9867                                                                           | CUSIP: 3138ER6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44020 | PA      | $42160.35      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2051#CB0867                                                                         | CUSIP: 3140QK6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22183300 | PA      | $20442511.85   | 0.11%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 4.2% 09/15/2023                                                                       | CUSIP: 29278NAC7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2098000 | PA      | $2082676.98    | 0.01%             | 2023-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/24 #250030                                                                                  | CUSIP: 31371EVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $25.83         | 0.00%             | 2024-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #372445                                                                                  | CUSIP: 36204KWE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $43.59         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 5.5% 02/15/2049                                                                                  | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    6593000 | PA      | $5923339.83    | 0.03%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                           | DISCOVER FINANCIAL SVS 4.5% 01/30/2026                                                                   | CUSIP: 254709AP3<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    9265000 | PA      | $8918860.90    | 0.05%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL NET LEASE INC / GLOBAL NET LEASE OPERATING PARTNERSHIP LP                 | GLOBAL NET LEASE INC / GLOBAL NET LEASE OPERATING PARTNERSHIP LP 3.75% 12/15/2027 144A                   | CUSIP: 37892AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     625000 | PA      | $517070.26     | 0.00%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELDORADO GOLD CORP NEW                                                           | ELDORADO GOLD CORP NEW 6.25% 09/01/2029 144A                                                             | CUSIP: 284902AF0<br>LEI: 5493004PWQ01YDD1IH62 | Long             | DBT              | CORP              | CA        |    2805000 | PA      | $2331656.25    | 0.01%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/39 #AC6608                                                                                 | CUSIP: 31417TKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32364 | PA      | $32171.38      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2047#AX5815                                                                           | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44053 | PA      | $42482.54      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/24 #401000                                                                                  | CUSIP: 36205UNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         85 | PA      | $86.05         | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #692780                                                                                  | CUSIP: 36296JUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8114 | PA      | $8168.80       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 12/15/2040#737704                                                                         | CUSIP: 3620ARRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4124 | PA      | $3982.56       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELECTRICIDAD                                                 | COMISION FEDERAL DE ELECTRICID 3.348% 02/09/2031 144A                                                    | CUSIP: 200447AH3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     175000 | PA      | $134782.81     | 0.00%             | 2031-02-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2045#AL7147                                                                         | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3300011 | PA      | $3300544.50    | 0.02%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 04/15/2046#784232                                                                           | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1657536 | PA      | $1603624.01    | 0.01%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2044#G60271                                                                         | CUSIP: 31335AJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2600677 | PA      | $2456551.48    | 0.01%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | APPLOVIN TERM B 1LN 10/25/2028                                                                           | CUSIP: 03835EAF1<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | LON              | CORP              | US        |     517644 | PA      | $484644.30     | 0.00%             | 2028-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 11/35 #863262                                                                                 | CUSIP: 31408XB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        875 | PA      | $916.86        | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                      | CHEMOURS CO 5.75% 11/15/2028 144A                                                                        | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    7240000 | PA      | $6358638.60    | 0.03%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 01/01/2046#BC0434                                                                         | CUSIP: 3140EUPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1067021 | PA      | $1034297.40    | 0.01%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AQ9868                                                                         | CUSIP: 3138MR6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16421 | PA      | $15059.85      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/29 #513757                                                                                  | CUSIP: 36211HWS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $50.80         | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2052#FS0631                                                                           | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5967056 | PA      | $5301683.35    | 0.03%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/31 #558746                                                                                  | CUSIP: 36213MWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        756 | PA      | $791.73        | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 05/51#QC1514                                                                                | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     914236 | PA      | $757492.44     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/01/2040#AE7856                                                                         | CUSIP: 31419JWS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17268 | PA      | $16698.39      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 4/27 #424845                                                                                  | CUSIP: 36206X5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        253 | PA      | $259.40        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                         | MSCI INC 4% 11/15/2029 144A                                                                              | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2649090.00    | 0.01%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                                  | BX TR 2021-ACNT 1ML+317.3 11/15/2026 144A                                                                | CUSIP: 05609QAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672000 | PA      | $617817.11     | 0.00%             | 2038-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| COSAN OVERSEAS LTD                                                               | COSAN OVERSEAS LTD 8.25% PERP REGS                                                                       | CUSIP: N/A<br>LEI: 222100V5GTJGKUH55655       | Long             | EP               | CORP              | KY        |    1486000 | PA      | $1434733.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | ILLINOIS ST BUILD AMERICA BONDS-IL ST                                                                    | CUSIP: 452152BM2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4335000 | PA      | $4427417.43    | 0.02%             | 2035-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.088%/VAR 06/20/2030                                                               | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   14797000 | PA      | $13327774.65   | 0.07%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                    | BABSON CLO LTD/CAYMAN ISLANDS 2020-1A AR 3ML+115 10/15/2036 144A                                         | CUSIP: 06762LAM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8291000 | PA      | $8030728.93    | 0.04%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                         | TOYOTA MOTOR CREDIT CORP 2.9% 03/30/2023                                                                 | CUSIP: 89236TGW9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   16253000 | PA      | $16158387.06   | 0.08%             | 2023-03-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/29 #499386                                                                                  | CUSIP: 31383CXP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        432 | PA      | $455.41        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP SOFR 4.985%/VAR 07/24/2026                                                    | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   14379000 | PA      | $14253439.41   | 0.07%             | 2026-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THORNBURG MTG SECS TR                                                            | TMST 2003-4 A1 1ML+64 9/43                                                                               | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     837427 | PA      | $777522.48     | 0.00%             | 2043-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 04/15/2045#777595                                                                         | CUSIP: 36176VUU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164205 | PA      | $151837.11     | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                   | SABRE TERM B-2 1LN 12/17/2027                                                                            | CUSIP: 78571YBF6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |     290084 | PA      | $267060.20     | 0.00%             | 2027-12-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC                       | UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC 6.5% 02/15/2029 144A                          | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18695000 | PA      | $13694087.50   | 0.07%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/31 #556294                                                                                 | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1926 | PA      | $2022.68       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/25 #387165                                                                                 | CUSIP: 36205DCA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         85 | PA      | $85.73         | 0.00%             | 2025-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA LLC / ASHTON WOODS FINANCE CO                                   | ASHTON WOODS USA LLC/FIN CO 4.625% 08/01/2029 144A                                                       | CUSIP: 045086AM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     690000 | PA      | $541144.98     | 0.00%             | 2029-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 2/40 #711491                                                                                  | CUSIP: 36297GNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83161 | PA      | $80382.02      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                    | CARNIVAL CORP 5.75% 03/01/2027 144A                                                                      | CUSIP: 143658BN1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    5150000 | PA      | $3877725.20    | 0.02%             | 2027-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/32 #589934                                                                                  | CUSIP: 36201QLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        825 | PA      | $869.06        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2013-H07 BA 1ML+36 03/63                                                                             | CUSIP: 38375BQ54<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     317395 | PA      | $313600.84     | 0.00%             | 2063-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/32 #555696                                                                                  | CUSIP: 36213JKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        181 | PA      | $190.46        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS BRANCH                                                    | BBVA BANCOMER S A INSTITUCION DE BANCA MULTIPLE GRUPO FINANCIERO BBVA BANCOMER 5.125/VAR 01/18/2033 144A | CUSIP: 05533UAF5<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | EP               | CORP              | US        |     485000 | PA      | $416154.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 5/42 #766750                                                                                  | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21894 | PA      | $20641.70      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 3/32 #C64888                                                                                  | CUSIP: 31287QND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $26.00         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                     | SBA TOWER TR 2.836% 01/15/2050 144A                                                                      | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12474000 | PA      | $11738838.57   | 0.06%             | 2050-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/33 #737827                                                                                  | CUSIP: 31402TVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35929 | PA      | $35520.46      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM ESCROW LLC                                                            | WINDSTREAM ESCROW LLC 7.75% 08/15/2028 144A                                                              | CUSIP: 97382WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6435000 | PA      | $5630625.00    | 0.03%             | 2028-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 5/27 #379219                                                                                  | CUSIP: 31377KG41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $114.11        | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HUDBAY MINERALS INC                                                              | HUDBAY MINERALS INC 4.5% 04/01/2026 144A                                                                 | CUSIP: 443628AJ1<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |     640000 | PA      | $579612.99     | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TRUST                                                                      | SREIT TRUST 1ML+301.74 11/15/2036 144A                                                                   | CUSIP: 85236WCS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615000 | PA      | $568768.54     | 0.00%             | 2036-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2048#Q54499                                                                           | CUSIP: 3132XW7M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38773 | PA      | $37497.74      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TR                                                            | TIMES SQUARE HOTEL TR 8.528% 08/01/2026 144A                                                             | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     397943 | PA      | $391831.67     | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT 2014-SFR3 TR                                               | AH4R 2014-SFR3 E 6.418% 12/36                                                                            | CUSIP: 02665XAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     261000 | PA      | $257309.36     | 0.00%             | 2036-12-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.349% 12/34 #843013                                                                            | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2810 | PA      | $2803.50       | 0.00%             | 2034-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 11/01/2051#RA6308                                                                           | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     802981 | PA      | $664559.46     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE8186                                                                           | CUSIP: 31419KCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89169 | PA      | $86248.18      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                         | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    6759000 | PA      | $5282922.94    | 0.03%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                         | QATAR ST 4.625% 06/02/2046 144A                                                                          | CUSIP: 74727PAV3<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     960000 | PA      | $897600.00     | 0.00%             | 2046-06-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                           | OCP SA 3.75% 06/23/2031 144A                                                                             | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     745000 | PA      | $605163.50     | 0.00%             | 2031-06-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #412134                                                                                 | CUSIP: 36206HY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         99 | PA      | $101.19        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INDIKA ENERGY CAPITAL IV PTE LTD                                                 | INDIKA ENERGY CAPITAL IV PTE LTD 8.25% 10/22/2025 144A                                                   | CUSIP: 45569GAA0<br>LEI: 254900LQ197HY24XVH34 | Long             | DBT              | CORP              | SG        |     510000 | PA      | $495975.00     | 0.00%             | 2025-10-22      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BIDVEST GROUP UK PLC/THE                                                         | BIDVEST GROUP UK PLC/THE 3.625% 09/23/2026 144A                                                          | CUSIP: 88332EAA1<br>LEI: 984500A80C777F496830 | Long             | DBT              | CORP              | GB        |     475000 | PA      | $421948.44     | 0.00%             | 2026-09-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #711188                                                                                  | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1400 | PA      | $1385.89       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                            | UBER TECHNOLOGIES INC 8% 11/01/2026 144A                                                                 | CUSIP: 90353TAC4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    4885000 | PA      | $4940612.84    | 0.03%             | 2026-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                                                    | AROUNDTOWN SA 3.375%/VAR PERP REGS                                                                       | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | EP               | CORP              | LU        |    6000000 | PA      | $3184235.99    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.37% 6/36 #916726                                                                              | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16220 | PA      | $16546.39      | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #780649                                                                                  | CUSIP: 31404WH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20500 | PA      | $20287.93      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2046#BC1216                                                                         | CUSIP: 3140EVK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2770113 | PA      | $2602942.88    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#BT9493                                                                           | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1574937 | PA      | $1302949.48    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                               | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 E TSFR1M+324.03 05/15/2039 144A                                  | CUSIP: 53218DAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1302000 | PA      | $1233479.39    | 0.01%             | 2039-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/25 #412507                                                                                 | CUSIP: 36206JGQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $58.92         | 0.00%             | 2025-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 05/01/2039#                                                                               | CUSIP: 312933G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     625856 | PA      | $622549.70     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 12/40 #AH1986                                                                                 | CUSIP: 3138A3F44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5581 | PA      | $5550.53       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/29 #487575                                                                                  | CUSIP: 36210BT88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        250 | PA      | $258.96        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 5/46#Q40310                                                                                 | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     319189 | PA      | $290501.39     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/23 #337471                                                                                  | CUSIP: 36224S2C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4 | PA      | $4.18          | 0.00%             | 2023-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OSMOSE UTILITIES SERVICES INC                                                    | OSMOSE TERM B 1LN 06/17/2028                                                                             | CUSIP: 68835HAH3<br>LEI: 549300FSLVHLFZ3S0D82 | Long             | LON              | CORP              | US        |     109723 | PA      | $103237.20     | 0.00%             | 2028-06-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AEROPORTI DI ROMA SPA                                                            | AEROPORTI DI ROMA SPA 1.625% 02/02/2029 REGS                                                             | CUSIP: N/A<br>LEI: 8156007259ABDEA3F444       | Long             | DBT              | CORP              | IT        |    1015000 | PA      | $880041.79     | 0.00%             | 2029-02-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/27 #313828                                                                                 | CUSIP: 31374GSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $21.06         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OOREDOO INTERNATIONAL FINANCE LTD                                                | OOREDOO INTL FIN LTD 5% 10/19/2025 144A                                                                  | CUSIP: 74733LAE2<br>LEI: 549300BHXCDJ03WU7N77 | Long             | DBT              | CORP              | BM        |     360000 | PA      | $360967.50     | 0.00%             | 2025-10-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELEK US HOLDINGS INC                                                            | DELEK TERM B 1LN 11/10/2029                                                                              | CUSIP: N/A<br>LEI: 5493003O53JMENV1N385       | Long             | LON              | CORP              | US        |    3095000 | PA      | $2966031.35    | 0.02%             | 2029-11-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2045#G07949                                                                           | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1194973 | PA      | $1167605.82    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 11/39 #728314                                                                                 | CUSIP: 3620AFDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8765 | PA      | $8681.65       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VALEO                                                                            | VALEO 1% 08/03/2028 REGS                                                                                 | CUSIP: N/A<br>LEI: 5493006IH2N2WMIBB742       | Long             | DBT              | CORP              | FR        |    2100000 | PA      | $1717880.96    | 0.01%             | 2028-08-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2042#Q13381                                                                         | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3524 | PA      | $3453.04       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 05/01/2031#BC0919                                                                         | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1722570 | PA      | $1632459.13    | 0.01%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH CAPITAL SERVICES , INC.                                            | MLCS SWAP CY451600 12/16/72 B                                                                            | CUSIP: N/A<br>LEI: GDWTXX036O1TB7DW3U69       | N/A              | DCR              | CORP              | US        |   10660000 | NC      | $145835.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                                                 | UPSTART SECURITIZATION TR 2021-1 0.87% 03/20/2031 144A                                                   | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     106561 | PA      | $105999.18     | 0.00%             | 2031-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                                              | WHITBREAD GROUP PLC 3.375% 10/16/2025 REGS                                                               | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |    3300000 | PA      | $3682366.58    | 0.02%             | 2025-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CINEWORLD GROUP PLC                                                              | CINEWORLD GROUP PLC WT 11/23/25                                                                          | CUSIP: N/A<br>LEI: 213800J2J3TOOI176M73       | Long             | EC               | CORP              | GB        |     149986 | NS      | $1.81          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 4/34 #A19922                                                                                  | CUSIP: 31296VAX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6254 | PA      | $6313.88       | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL LTD 2021                                                           | PRIMA CAPITAL LTD 2021-9A A 1ML+145 12/15/2037 144A                                                      | CUSIP: 74167CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     853710 | PA      | $847362.79     | 0.00%             | 2037-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                            | CPI PROPERTY GROUP SA 3.75%/VAR PERP REGS                                                                | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | EP               | CORP              | LU        |    3955000 | PA      | $2085607.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 6/37 #617570                                                                                  | CUSIP: 36290UCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3920 | PA      | $4147.92       | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 3.87% 07/23/2060                                                                      | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    1055000 | PA      | $702102.50     | 0.00%             | 2060-07-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2046#AS7241                                                                         | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1259358 | PA      | $1184933.05    | 0.01%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2002-60 FV 1ML+100 4/32                                                                              | CUSIP: 31392EVD9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       5879 | PA      | $5947.18       | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GRIFOLS ESCROW ISSUER SA                                                         | GRIFOLS ESCROW ISSUER SA 4.75% 10/15/2028 144A                                                           | CUSIP: 39843UAA0<br>LEI: 959800HLB3PGTGSLVV62 | Long             | DBT              | CORP              | ES        |    2130000 | PA      | $1790009.40    | 0.01%             | 2028-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 2/31 #570320                                                                                  | CUSIP: 31386QSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $484.50        | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 01/20/2051#MA7135                                                                             | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     986595 | PA      | $843156.45     | 0.00%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GREENEDEN US HLDGS II LLC                                                        | GENESYS TELECOMMUNICATIONS TERM B 1LN 12/01/2027                                                         | CUSIP: 39479UAQ6<br>LEI: 549300CVRD4OUCPHWQ42 | Long             | LON              | CORP              | US        |    2676944 | PA      | $2594975.51    | 0.01%             | 2027-12-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GUARA NORTE SARL                                                                 | GUARA NORTE SARL 5.198% 06/15/2034 144A                                                                  | CUSIP: 400666AA1<br>LEI: 549300U2I4L03BBA3485 | Long             | DBT              | CORP              | LU        |     884662 | PA      | $727247.25     | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 3% 08/15/2052                                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85740000 | PA      | $73414875.00   | 0.38%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #433528                                                                                  | CUSIP: 36207JSR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        147 | PA      | $151.11        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3% 12/01/2052 #TBA                                                                             | CUSIP: 01F0306C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -22600000 | PA      | $-20006297.44  | -0.10%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2020-VIVA                                                         | BX COML MTG TR 2020-VIVA 3.54875% 03/09/2044 144A                                                        | CUSIP: 12433XAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2839000 | PA      | $1985329.73    | 0.01%             | 2044-03-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNR 1993-165SH -2.81ML+2K 9/23                                                                           | CUSIP: 31359D5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        259 | PA      | $258.89        | 0.00%             | 2023-09-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 1.5% 01/01/2038 #TBA                                                                           | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   45400000 | PA      | $39741112.46   | 0.21%             | 2038-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 1.5% 07/01/2035#SB8065                                                                         | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5586126 | PA      | $4912810.22    | 0.03%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/41 #AJ8098                                                                                 | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94461 | PA      | $91278.33      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #738886                                                                                 | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27789 | PA      | $26857.47      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                      | ASURION TERM B3 2LN 01/31/2028                                                                           | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    8625000 | PA      | $6632625.00    | 0.03%             | 2028-01-31      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 6.25% 04/15/2049                                                                      | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2774000 | PA      | $2623298.90    | 0.01%             | 2049-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                          | MNGT SWAP CY451600 12/16/72 B                                                                            | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    2050000 | NC      | $28045.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/31 #560279                                                                                  | CUSIP: 36213PM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        233 | PA      | $240.34        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/28 #437140                                                                                  | CUSIP: 31380DS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $217.63        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/29 #511096                                                                                  | CUSIP: 31383RXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $26.01         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX 2021-XL2                                                                      | BX TRUST 1ML+372.55 10/15/2036 144A                                                                      | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1934981 | PA      | $1771336.80    | 0.01%             | 2038-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 7/41 #748144                                                                                  | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5114 | PA      | $4936.85       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAHAMAS COMWLTH                                                                  | BAHAMAS COMWLTH 6% 11/21/2028 144A                                                                       | CUSIP: 056732AJ9<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |     525000 | PA      | $388762.50     | 0.00%             | 2028-11-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                       | MATTEL INC 3.375% 04/01/2026 144A                                                                        | CUSIP: 577081BE1<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    1935000 | PA      | $1776929.85    | 0.01%             | 2026-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 7/37 #G03508                                                                                  | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3420 | PA      | $3596.81       | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 1/42 #AL2128                                                                                  | CUSIP: 3138EJLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7635 | PA      | $8066.57       | 0.00%             | 2042-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                            | FX Forward: EUR/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $21707.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2017-BNK6                                                                   | BANK 2017-BNK6 3.1% 07/15/2060 144A                                                                      | CUSIP: 060352AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455000 | PA      | $332817.39     | 0.00%             | 2060-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 02/01/2033#G18677                                                                           | CUSIP: 3128MMXF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182659 | PA      | $174408.60     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 6/24 #389982                                                                                  | CUSIP: 36205GFX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $41.11         | 0.00%             | 2024-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 1/28 #251409                                                                                  | CUSIP: 31371GGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $40.30         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                                            | FREEPORT INDONESIA PT 4.763% 04/14/2027 144A                                                             | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |     315000 | PA      | $301647.15     | 0.00%             | 2027-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                                       | VONOVIA SE 5% 11/23/2030 REGS                                                                            | CUSIP: N/A<br>LEI: 5299005A2ZEP6AP7KM81       | Long             | DBT              | CORP              | DE        |     400000 | PA      | $424388.31     | 0.00%             | 2030-11-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2046#BC8622                                                                         | CUSIP: 3140F4SL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37692 | PA      | $37486.07      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 07/01/2032#C91467                                                                         | CUSIP: 3128P7TY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     502270 | PA      | $486042.78     | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                   | BOMBARDIER INC 7.875% 04/15/2027 144A                                                                    | CUSIP: 097751BT7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    3880000 | PA      | $3791070.40    | 0.02%             | 2027-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COM MTG TR 2021                                                    | CREDIT SUISSE COM MTG TR 2021-SOP2 F STEP 06/15/2034 144A                                                | CUSIP: 12657VAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     636000 | PA      | $574172.66     | 0.00%             | 2034-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 4.493%/VAR 03/24/2031                                                              | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   30800000 | PA      | $29201937.38   | 0.15%             | 2031-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                                     | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                         | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19014196 | PA      | $18472057.30   | 0.10%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/28 #412145                                                                                  | CUSIP: 31378XZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $14.91         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/40 #AE6951                                                                                 | CUSIP: 31419HWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5633 | PA      | $5442.57       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 4.25% 12/01/2026 144A                                              | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130000 | PA      | $120923.49     | 0.00%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 5.04% 05/01/2027                                                                               | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    7640000 | PA      | $7565873.74    | 0.04%             | 2027-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2% 12/01/2037 #TBA                                                                             | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  154125000 | PA      | $138452429.48  | 0.72%             | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 4.5% 11/15/2031 144A                                                                    | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     590000 | PA      | $449651.89     | 0.00%             | 2031-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/28 #433774                                                                                  | CUSIP: 36207J2F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         72 | PA      | $73.87         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP VAR 05/15/2024                                                                        | CUSIP: 292480AH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1542000 | PA      | $1507464.63    | 0.01%             | 2024-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2041#                                                                               | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31759 | PA      | $31626.48      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                        | BENCHMARK 2019-B14 MTG TR VAR 12/15/2062 144A                                                            | CUSIP: 08162YBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269000 | PA      | $223926.20     | 0.00%             | 2062-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 5.125%/VAR PERP                                                              | CUSIP: 060505FP4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |     530000 | PA      | $500797.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENESEE and WYOMING INC                                                          | GENESEE and WYOMING TERM 1LN 12/30/2026                                                                  | CUSIP: 55316HAB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |    1950000 | PA      | $1929291.00    | 0.01%             | 2026-12-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                                  | MADISON IAQ LLC 4.125% 06/30/2028 144A                                                                   | CUSIP: 55760LAA5<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |    2825000 | PA      | $2443031.75    | 0.01%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2042#C03839                                                                         | CUSIP: 31292LHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123650 | PA      | $116298.49     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25                      | MSBAM 2015-C25 XA CSTR 10/48                                                                             | CUSIP: 61765TAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14666079 | PA      | $297238.88     | 0.00%             | 2048-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AASET 2022-1 LTD                                                                 | AASET 2022-1 LTD 6% 05/16/2047 144A                                                                      | CUSIP: 00255EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   40024385 | PA      | $37077449.48   | 0.19%             | 2047-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/26 #250551                                                                                  | CUSIP: 31371FH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $35.81         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SHRIRAM TRANSPORT FINANCE CO LTD                                                 | SHRIRAM TRANSPORT FINANCE CO LTD 5.1% 07/16/2023 144A                                                    | CUSIP: 825547AC6<br>LEI: 335800TM2YO24B76XL26 | Long             | DBT              | CORP              | IN        |     390000 | PA      | $386100.00     | 0.00%             | 2023-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PKHL COML MTG TR 2021-MF                                                         | PKHL COML MTG TR 2021-MF 1ML+600 07/15/2038 144A                                                         | CUSIP: 69356GAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157000 | PA      | $139301.96     | 0.00%             | 2038-07-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 02/15/2034#627907                                                                         | CUSIP: 36291GR40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3732 | PA      | $3739.13       | 0.00%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                     | CHS/CMNTY HEALTH SYSTEMS INC 6.125% 04/01/2030 144A                                                      | CUSIP: 12543DBL3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    2120000 | PA      | $1081200.00    | 0.01%             | 2030-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                      | IMPERIAL BRANDS FINANCE PLC 3.5% 02/11/2023 144A                                                         | CUSIP: 453140AB1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     850000 | PA      | $845155.55     | 0.00%             | 2023-02-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/32 #555144                                                                                 | CUSIP: 31385WWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        307 | PA      | $324.50        | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 5.00% 6/23 #984809                                                                             | CUSIP: 31415PAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        192 | PA      | $191.60        | 0.00%             | 2023-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 09/32#MA3125                                                                                | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227988 | PA      | $217786.57     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 5.05% 03/15/2042 144A                                                                     | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    7082000 | PA      | $5669482.49    | 0.03%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2052#BT1914                                                                           | CUSIP: 3140LQDU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     985593 | PA      | $875076.01     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 08/20/2042#MA0317                                                                           | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21051 | PA      | $19321.74      | 0.00%             | 2042-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMENTUM GOVERNMENT SERVICES HOLDINGS LLC                                         | AECOM TERM B 1LN 01/23/27                                                                                | CUSIP: 57776DAB9<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |    2150500 | PA      | $2118242.50    | 0.01%             | 2027-01-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| KENYA REPUBLIC OF                                                                | KENYA REPUBLIC OF 6.875% 06/24/2024 144A                                                                 | CUSIP: 491798AE4<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |     600000 | PA      | $553500.00     | 0.00%             | 2024-06-24      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3.5% 02/01/2034#G16752                                                                         | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3314029 | PA      | $3206124.15    | 0.02%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHR 3225 EO 0% 10/36                                                                                     | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      34279 | PA      | $27179.71      | 0.00%             | 2036-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2042#                                                                                 | CUSIP: 3132GSMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16532 | PA      | $15979.96      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 3.375% 07/01/2025                                                                         | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   13572000 | PA      | $12807618.17   | 0.07%             | 2025-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    2500000 | NC      | $34201.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 11/01/2036#FS1970                                                                         | CUSIP: 3140XHFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5924242 | PA      | $5497699.76    | 0.03%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FINANCE SA                                                   | CONSOLIDATED ENERGY FINANCE SA TERM B 1LN 05/07/2025                                                     | CUSIP: N/A<br>LEI: 549300PUNIS0USNSL750       | Long             | LON              | CORP              | LU        |    1737419 | PA      | $1663578.27    | 0.01%             | 2025-05-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/29 #793986                                                                                  | CUSIP: 31405NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12021 | PA      | $12328.47      | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                          | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC TSFR3M+150 07/20/2035 144A                                       | CUSIP: 01749WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |   11745000 | PA      | $11385556.02   | 0.06%             | 2035-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                   | OMAN SULTANATE 6.25% 01/25/2031 144A                                                                     | CUSIP: 68205LAS2<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     520000 | PA      | $518050.00     | 0.00%             | 2031-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP                     | CRESTWOOD MIDSTRM PTN/FIN CORP 5.625% 05/01/2027 144A                                                    | CUSIP: 226373AQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8202000 | PA      | $7717821.91    | 0.04%             | 2027-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3949 MK 4.5% 10/34                                                                                   | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      81636 | PA      | $81082.56      | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                           | GSCM ITXEX538 PAY 487.5 01/18/23                                                                         | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |   19250000 | NC      | $224768.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/28 #468222                                                                                  | CUSIP: 36209DD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        526 | PA      | $544.86        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                 | BERRY GLOBAL INC 4.875% 07/15/2026 144A                                                                  | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    1615000 | PA      | $1549576.35    | 0.01%             | 2026-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                            | ON SEMICONDUCTOR CORP 3.875% 09/01/2028 144A                                                             | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |    1385000 | PA      | $1228065.65    | 0.01%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                      | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                       | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1753000 | PA      | $1546725.37    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 02/01/2029#                                                                                 | CUSIP: 31292GZX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $130.75        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 11/39 #728315                                                                                 | CUSIP: 3620AFDU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17890 | PA      | $17698.77      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 3.8% 12/01/2057                                                                             | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    8798000 | PA      | $6387066.38    | 0.03%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 11/20/2043#MA1448                                                                           | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11248 | PA      | $10688.62      | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC                                                                 | MICHAELS TERM 1LN 04/15/2028                                                                             | CUSIP: 59408UAB3<br>LEI: 549300H9LWMBP7HYLR98 | Long             | LON              | CORP              | US        |    2830321 | PA      | $2132958.29    | 0.01%             | 2028-04-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2033#724811                                                                         | CUSIP: 31402CGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13818 | PA      | $13653.66      | 0.00%             | 2033-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC                                  | VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC 1A A TSFR3M+240 10/20/2034 144A                          | CUSIP: 92013AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   16512000 | PA      | $16454488.70   | 0.09%             | 2034-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #447688                                                                                  | CUSIP: 36208DJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         75 | PA      | $76.49         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #467858                                                                                  | CUSIP: 36209CWT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        289 | PA      | $295.34        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 3.8% 01/31/2028                                                               | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   13624000 | PA      | $12729273.64   | 0.07%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021                                                        | PROGRESS RESIDENTIAL 2021 4.998% 04/19/2038 144A                                                         | CUSIP: 74333DAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     401000 | PA      | $339133.52     | 0.00%             | 2038-04-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                                                   | SYNCHRONY BANK 5.4% 08/22/2025                                                                           | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   14157000 | PA      | $13866577.50   | 0.07%             | 2025-08-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/01/2046#BC2276                                                                           | CUSIP: 3140EWQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55297 | PA      | $53687.32      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PREGIS TOPCO LLC                                                                 | PREGIS TERM 1LN 07/31/2026                                                                               | CUSIP: 74045BAC1<br>LEI: 549300LJXHJYHS1GM034 | Long             | LON              | CORP              | US        |     729375 | PA      | $700200.00     | 0.00%             | 2026-07-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ADIENT US LLC                                                                    | ADIENT TERM B 1LN 04/08/2028                                                                             | CUSIP: 00687MAC5<br>LEI: 213800SOTRCDGZUHL712 | Long             | LON              | CORP              | US        |     701125 | PA      | $691484.53     | 0.00%             | 2028-04-08      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| M and G PLC                                                                      | PRUDENTIAL PLC 6.5%/VAR 10/20/2048 REGS                                                                  | CUSIP: N/A<br>LEI: 254900TWUJUQ44TQJY84       | Long             | DBT              | CORP              | GB        |    2405000 | PA      | $2301883.22    | 0.01%             | 2048-10-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 02/01/2040#                                                                                 | CUSIP: 312939LZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34185 | PA      | $34786.66      | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 08/15/2041#768109                                                                           | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10565 | PA      | $10209.43      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                    | BAT INTL FINANCE PLC 2.25% 06/26/2028 REGS                                                               | CUSIP: N/A<br>LEI: 21380041YBGOQDFAC823       | Long             | DBT              | CORP              | GB        |    3615000 | PA      | $3557168.17    | 0.02%             | 2028-06-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SECURUS TECHNOLOGIES HOLDINGS INC                                                | SECURUS TECHNOLOGIES TERM 2LN 11/01/2025                                                                 | CUSIP: 78410QAE2<br>LEI: 549300EBCNNXVCJ2FW66 | Long             | LON              | CORP              | US        |    2659000 | PA      | $1958247.14    | 0.01%             | 2025-11-01      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/36 #782114                                                                                  | CUSIP: 36241KK31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35981 | PA      | $36107.67      | 0.00%             | 2036-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL LTD 2021                                                           | PRIMA CAPITAL LTD 2021 1ML+180 12/15/2037 144A                                                           | CUSIP: 74167CAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4268000 | PA      | $4167562.01    | 0.02%             | 2037-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 07/15/2042#AA8275                                                                         | CUSIP: 36178GFQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6661 | PA      | $6273.65       | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                | DELL INTL/EMC CORP 6.02% 06/15/2026                                                                      | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3119000 | PA      | $3185295.25    | 0.02%             | 2026-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 6.50% 6/31 #003095                                                                               | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        173 | PA      | $180.10        | 0.00%             | 2031-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MHP 2022-MHIL F                                                                  | MHP 2022-MHIL F TSFR1M+325.92 01/15/2027 144A                                                            | CUSIP: 55293DAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208907 | PA      | $191103.24     | 0.00%             | 2027-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 7/35 #635384                                                                                  | CUSIP: 36291Q2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        717 | PA      | $756.24        | 0.00%             | 2035-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 7.125% 03/15/2033                                                                              | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    2041000 | PA      | $2232091.38    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8% 02/01/2030#                                                                                 | CUSIP: 31292HAX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $116.81        | 0.00%             | 2030-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.125% 07/03/2023                                     | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    7415000 | PA      | $7348370.07    | 0.04%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLUTO ACQUISITION I INC                                                          | ACCENTCARE TERM B 1LN 06/20/2026                                                                         | CUSIP: 72941DAF9<br>LEI: 254900MOXD90LKQ6AY47 | Long             | LON              | CORP              | US        |    1333125 | PA      | $986512.50     | 0.01%             | 2026-06-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 3/39 #935009                                                                                  | CUSIP: 31412UGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3280 | PA      | $3448.28       | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/35 #836839                                                                                 | CUSIP: 31407PV88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        318 | PA      | $333.02        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IBERDROLA FINANZAS SAU                                                           | IBERDROLA FINANZAS SAU 7.375% 01/29/2024                                                                 | CUSIP: N/A<br>LEI: 5493004PZNZWWBOUV388       | Long             | DBT              | CORP              | ES        |     800000 | PA      | $989406.12     | 0.01%             | 2024-01-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 8/40 #AD9324                                                                                  | CUSIP: 31418XLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        862 | PA      | $810.44        | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/29 #781006                                                                                  | CUSIP: 36225BDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        184 | PA      | $190.24        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGO-PRO AS                                                                    | ENERGO-PRO AS 8.5% 02/04/2027 144A                                                                       | CUSIP: N/A<br>LEI: 315700IQCL9IX158RO36       | Long             | DBT              | CORP              | CZ        |     340000 | PA      | $309145.00     | 0.00%             | 2027-02-04      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2046#G60440                                                                         | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3274223 | PA      | $3090723.82    | 0.02%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #464692                                                                                  | CUSIP: 36208YF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        157 | PA      | $160.63        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 3.75% 05/22/2025                                                           | CUSIP: 38148LAE6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7259000 | PA      | $7051848.90    | 0.04%             | 2025-05-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.5% 06/15/2040#741262                                                                         | CUSIP: 3620AVQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2998 | PA      | $2969.32       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2042#AQ8878                                                                         | CUSIP: 3138MQ2L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25153 | PA      | $23737.72      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                                                  | ZF FINANCE GMBH 2% 05/06/2027 REGS                                                                       | CUSIP: N/A<br>LEI: 5493001N9T6QDCCXB426       | Long             | DBT              | CORP              | DE        |    1800000 | PA      | $1589776.65    | 0.01%             | 2027-05-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2035#AB8198                                                                         | CUSIP: 31417FDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69646 | PA      | $68914.95      | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 05/44#AW4672                                                                              | CUSIP: 3138XUFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82678 | PA      | $84779.52      | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2019-SFR4 TR                                                | PROGRESS RESIDENTIAL 2019-SFR4 TR 3.684% 10/17/2036 144A                                                 | CUSIP: 74331AAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1082000 | PA      | $1023176.96    | 0.01%             | 2036-10-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                                      | GERMANY FEDERAL REPUBLIC OF 0% 05/15/2035 REGS                                                           | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    7075000 | PA      | $5776875.42    | 0.03%             | 2035-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/30 #710936                                                                                  | CUSIP: 31401KY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2292 | PA      | $2394.85       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | SYNCHRONY FINANCIAL 5.15% 03/19/2029                                                                     | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   21450000 | PA      | $20447051.84   | 0.11%             | 2029-03-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DBGS 2018-C1 MTG TR                                                              | DBGS 2018-C1 D MTG TR CSTR 10/15/2051 144A                                                               | CUSIP: 23307DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     840000 | PA      | $600417.89     | 0.00%             | 2051-10-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 1/41 #004946                                                                               | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     421239 | PA      | $418710.23     | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2047#Q51124                                                                           | CUSIP: 3132XTHA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25647 | PA      | $24827.50      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                          | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1900000 | NC      | $25993.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UZBEKISTAN REPUBLIC OF                                                           | UZBEKISTAN REPUBLIC OF 3.7% 11/25/2030 144A                                                              | CUSIP: 91822Q2C0<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |     395000 | PA      | $321011.56     | 0.00%             | 2030-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                                    | NORDSTROM INC 4.25% 08/01/2031                                                                           | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $900786.40     | 0.00%             | 2031-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2047#BD5041                                                                         | CUSIP: 3140FCS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60208 | PA      | $59728.74      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 5.75% 05/11/2047                                                                      | CUSIP: 900123CM0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     542000 | PA      | $368560.00     | 0.00%             | 2047-05-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 1ML+50 10/20/2049                                                         | CUSIP: 38382AFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     716676 | PA      | $702806.14     | 0.00%             | 2049-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAMB COML MTG TR 2019-LIFE                                                       | CAMB COML MTG TR 2019-LIFE F 1ML+255 12/15/2037 144A                                                     | CUSIP: 12482HAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $93905.99      | 0.00%             | 2037-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/01/43#AB9339                                                                             | CUSIP: 31417GLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125957 | PA      | $115395.46     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CRSNT TR 2021-MOON                                                               | CRSNT TR 2021-MOON F 1ML+350 04/15/2036 144A                                                             | CUSIP: 22877LAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231000 | PA      | $205059.58     | 0.00%             | 2036-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS INC                                                  | CONSOLIDATED COMMUNICATIONS TERM B 1LN 10/02/2027                                                        | CUSIP: 20903EBB0<br>LEI: 549300WW675Y48HDVX34 | Long             | LON              | CORP              | US        |     888936 | PA      | $776334.35     | 0.00%             | 2027-10-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CLOVERIE PLC                                                                     | CLOVERIE PLC 4.5/VAR 09/11/2044 REGS                                                                     | CUSIP: N/A<br>LEI: 5493002N598MXOKUEF55       | Long             | DBT              | CORP              | IE        |   13795000 | PA      | $12957781.45   | 0.07%             | 2044-09-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                      | UNITI GRP/UNITI HLD/CSL 7.875% 02/15/2025 144A                                                           | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4129000 | PA      | $4146354.19    | 0.02%             | 2025-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/44#AW6973                                                                              | CUSIP: 3138XWXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127203 | PA      | $130357.14     | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                      | IMPERIAL BRANDS FINANCE PLC 3.5% 07/26/2026 144A                                                         | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    8401000 | PA      | $7735751.69    | 0.04%             | 2026-07-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 07/01/2042#Q09230                                                                           | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     729532 | PA      | $705433.50     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 8/39 #931836                                                                                  | CUSIP: 31412QHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1938 | PA      | $1875.55       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                | QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS                                                               | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |    2970000 | PA      | $2723246.59    | 0.01%             | 2038-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT OF                                                            | BERMUDA GOVERNMENT OF 4.75% 02/15/2029 144A                                                              | CUSIP: 085209AF1<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     520000 | PA      | $505310.00     | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/46#AS7568                                                                              | CUSIP: 3138WHMS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58877 | PA      | $58555.39      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                     | NCL CORP LTD 5.875% 03/15/2026 144A                                                                      | CUSIP: 62886HBA8<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     670000 | PA      | $549588.42     | 0.00%             | 2026-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LTD                                                              | SA GLOBAL SUKUK LTD 1.602% 06/17/2026 144A                                                               | CUSIP: 78397PAB7<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | KY        |    2215000 | PA      | $1982425.00    | 0.01%             | 2026-06-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 5/23 #359750                                                                                  | CUSIP: 36203UTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.11          | 0.00%             | 2023-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/28 #473871                                                                                  | CUSIP: 36209KMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $27.55         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #456279                                                                                  | CUSIP: 36208N2L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        280 | PA      | $282.96        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JAMAICA GOVT OF                                                                  | JAMAICA GOVT OF 7.875% 07/28/2045                                                                        | CUSIP: 470160CB6<br>LEI: 529900Y93KNSXZI8KK56 | Long             | DBT              | NUSS              | JM        |     250000 | PA      | $273875.00     | 0.00%             | 2045-07-28      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2015-MS1                                                 | MSC 2015-MS1 C VAR/CSTR 5/48                                                                             | CUSIP: 61765DAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266000 | PA      | $232371.64     | 0.00%             | 2048-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 4.194/VAR 04/01/2031 144A                                                           | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   21526000 | PA      | $16319101.05   | 0.09%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                    | PG and E CORP 5% 07/01/2028                                                                              | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    4340000 | PA      | $4004127.40    | 0.02%             | 2028-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 5.012% 04/15/2049                                                             | CUSIP: 92343VDS0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     324000 | PA      | $301781.69     | 0.00%             | 2049-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                                | KEYBANK NATL ASSN 6.95% 02/01/2028                                                                       | CUSIP: 49306CAB7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |     718000 | PA      | $756943.45     | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/39 #706762                                                                                  | CUSIP: 36297BFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15672 | PA      | $15157.61      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A                                                       | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   18670000 | PA      | $16145315.27   | 0.08%             | 2026-12-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-C10                                       | JP MORGAN CHASE COML MTG SECS 2019-OSB E CSTR 06/05/2039 144A                                            | CUSIP: 46651EAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     588000 | PA      | $448935.12     | 0.00%             | 2039-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EMPRESA NACIONAL DEL PETROLEO                                                    | EMPRESA NACIONAL DEL PETROLEO 4.375% 10/30/2024 144A                                                     | CUSIP: 29245JAH5<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | CORP              | CL        |    3283000 | PA      | $3181021.81    | 0.02%             | 2024-10-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AO0513                                                                                  | CUSIP: 3138LQSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4012 | PA      | $3880.59       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 05/34#C91760                                                                              | CUSIP: 3128P75V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34895 | PA      | $33746.02      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 7/39 #AA8111                                                                                  | CUSIP: 31416SAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6994 | PA      | $6946.67       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2051#BQ6772                                                                           | CUSIP: 3140KSQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2028810 | PA      | $1674635.64    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALI GROUP NORTH AMERICA CORP                                                     | ALI GROUP TERM B 1LN 07/23/2029                                                                          | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1405367 | PA      | $1385607.21    | 0.01%             | 2029-07-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 6.5% 1/32 #003188                                                                                | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        306 | PA      | $319.10        | 0.00%             | 2032-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2022-NXSS                                      | J P MORGAN CHASE COML MTG SECS TR 2022-NXSS D TSFR1M+412.9 08/15/2039 144A                               | CUSIP: 465979AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     934000 | PA      | $926969.97     | 0.00%             | 2039-08-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE TR                                                        | DIVERSIFIED HEALTHCARE TR 9.75% 06/15/2025                                                               | CUSIP: 25525PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     193000 | PA      | $185994.31     | 0.00%             | 2025-06-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 10/42 #AP9735                                                                                 | CUSIP: 3138MDY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     801793 | PA      | $752489.79     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM 30YR 4% 09/01/2040#                                                                                 | CUSIP: 312942ME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6853 | PA      | $6637.84       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELECTRICIDAD                                                 | COMISION FEDERAL DE ELECTRICID 4.688% 05/15/2029 144A                                                    | CUSIP: 200447AL4<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     785000 | PA      | $683342.50     | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RAILWORKS HOLDINGS LP/R                                                          | RAILWORKS HOLDINGS LP/R 8.25% 11/15/2028 144A                                                            | CUSIP: 75079MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2020000 | PA      | $1873550.00    | 0.01%             | 2028-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BAIDU INC                                                                        | BAIDU INC 1.72% 04/09/2026                                                                               | CUSIP: 056752AS7<br>LEI: 254900AL64IANZYI1E02 | Long             | DBT              | CORP              | KY        |     815000 | PA      | $723434.75     | 0.00%             | 2026-04-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK30                                                                  | BANK 2020-BN30 MCDG CSTR 12/53                                                                           | CUSIP: 06541UBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2104000 | PA      | $1263051.61    | 0.01%             | 2053-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#723124                                                                         | CUSIP: 31402ALD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7559 | PA      | $7474.72       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.85% 04/01/2061         | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1232978.92    | 0.01%             | 2061-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C19                                                  | JPMBB COML MTG SES TR 2014-C19 VAR 04/15/2047                                                            | CUSIP: 46641WAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3401684 | PA      | $19326.33      | 0.00%             | 2047-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 06/01/2043#AT8809                                                                         | CUSIP: 3138WWYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5962 | PA      | $5462.04       | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                                     | BX 2021-BXMF 1ML+359.02 10/15/2026 144A                                                                  | CUSIP: 05609RAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1869000 | PA      | $1641189.09    | 0.01%             | 2026-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LIGHTSTONE HOLDCO LLC                                                            | LIGHTSTONE HOLDCO TERM C 1LN 01/30/2027                                                                  | CUSIP: 53226GAL5<br>LEI: 549300VXK6UGDG7H3G98 | Long             | LON              | CORP              | US        |     100458 | PA      | $91416.47      | 0.00%             | 2027-01-30      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/40 #AE8271                                                                                 | CUSIP: 31419KFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9294 | PA      | $8985.56       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2% 12/01/2035#QN4696                                                                           | CUSIP: 3133GBGD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     772156 | PA      | $696999.02     | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2519 ZD 5.50% 11/32                                                                                  | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      30465 | PA      | $31149.98      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B21 MTG TR                                                        | BENCHMARK 2020-B21 MTG TR 2% 12/17/2053 144A                                                             | CUSIP: 08163LBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420000 | PA      | $220824.20     | 0.00%             | 2053-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                                   | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   17014000 | PA      | $16307189.95   | 0.09%             | 2037-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2046#AR3125                                                                           | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58876 | PA      | $55340.82      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-LGCY                                                                  | BX TR 2021-LGCY 1ML+334.6 10/15/2023 144A                                                                | CUSIP: 12434DAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     345000 | PA      | $300258.88     | 0.00%             | 2036-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC                                                    | CAESARS RESORT COLLECTION TERM B 1LN 07/20/2025                                                          | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |    6213434 | PA      | $6165031.11    | 0.03%             | 2025-07-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK19                                                                  | BANK 2019-BN19 D 3% 08/15/2061 144A                                                                      | CUSIP: 06540WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     946000 | PA      | $641888.53     | 0.00%             | 2061-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2020-2PAC                                               | NATIXIS COML MTG SECS TR 2020-2PAC AMZ3 VAR 01/15/2025 144A                                              | CUSIP: 63875DAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189000 | PA      | $162843.57     | 0.00%             | 2037-01-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                  | FOX CORP 4.709% 01/25/2029                                                                               | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    3602000 | PA      | $3480993.51    | 0.02%             | 2029-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2034#778636                                                                         | CUSIP: 31404UBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9188 | PA      | $9094.40       | 0.00%             | 2034-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2042#AL5881                                                                         | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362523 | PA      | $360559.56     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 1/38 #966463                                                                                  | CUSIP: 31414HFC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5124 | PA      | $5385.48       | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 11/15/2041#769621                                                                         | CUSIP: 36176LYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33552 | PA      | $32393.54      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 12/37 #670380                                                                                 | CUSIP: 36295GXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5352 | PA      | $5395.36       | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORION ADVISOR SOLUTIONS                                                          | ORION ADVISOR SOLUTIONS TERM B 1LN 09/24/2027                                                            | CUSIP: 68627BAF2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1051315 | PA      | $944869.39     | 0.00%             | 2027-09-24      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                            | REYNOLDS AMERICAN INC 6.15% 09/15/2043                                                                   | CUSIP: 761713AZ9<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    1637000 | PA      | $1470610.25    | 0.01%             | 2043-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 12/01/2050#QB7301                                                                         | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85112 | PA      | $66340.88      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                    | LOWES COS INC 4.5% 04/15/2030                                                                            | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    8031000 | PA      | $7813786.11    | 0.04%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2022-SHIP                                      | GS MORTGAGE SECURITIES CORP TRUST 2022-SHIP TSFR1M+230.33 08/15/2024 144A                                | CUSIP: 36269CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     963000 | PA      | $927221.28     | 0.00%             | 2036-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 05/01/2045#Q33138                                                                         | CUSIP: 3132QPPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82145 | PA      | $79852.52      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/40 #729514                                                                                  | CUSIP: 3620AGN76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2535 | PA      | $2558.66       | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                           | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+361.49 11/15/2036 144A                                        | CUSIP: 26863LAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1201000 | PA      | $1051225.33    | 0.01%             | 2038-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/40 #736596                                                                                  | CUSIP: 3620AQKH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9093 | PA      | $9003.71       | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                                  | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   10171748 | PA      | $9197049.97    | 0.05%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DAE FDG LLC                                                                      | DAE FDG LLC 1.625% 02/15/2024 144A                                                                       | CUSIP: 23371DAH7<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |     440000 | PA      | $418137.50     | 0.00%             | 2024-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                 | KINDER MORGAN ENERGY PTNRS LP 5.5% 03/01/2044                                                            | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   15589000 | PA      | $14454926.13   | 0.08%             | 2044-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#733036                                                                         | CUSIP: 31402MLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23888 | PA      | $23594.37      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES DREDGE and DOCK CORP                                                 | GREAT LAKES DREDGE and DOCK CORP 5.25% 06/01/2029 144A                                                   | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |     750000 | PA      | $604423.46     | 0.00%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/32 #647513                                                                                  | CUSIP: 31390JK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        195 | PA      | $208.59        | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABLE INTL FINANCE LTD                                                           | SABLE INTL FIN LTD 5.75% 09/07/2027 144A                                                                 | CUSIP: 785712AG5<br>LEI: 2138009IE9A35LO5JS73 | Long             | DBT              | CORP              | KY        |    2080000 | PA      | $1893008.00    | 0.01%             | 2027-09-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MA FINANCECO LLC                                                                 | MICRO FOCUS TERM B 1LN 06/5/2025                                                                         | CUSIP: 55280FAL5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     593459 | PA      | $589007.90     | 0.00%             | 2025-06-05      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 11/01/2041#MA4473                                                                         | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9822297 | PA      | $7996703.16    | 0.04%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 1/35 #G06928                                                                                  | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156813 | PA      | $158197.92     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMBECTA CORP                                                                     | EMBECTA TERM B 1LN 03/31/2029                                                                            | CUSIP: 29081LAC8<br>LEI: 549300RPG8GXVDHNXZ62 | Long             | LON              | CORP              | US        |     995000 | PA      | $955826.85     | 0.00%             | 2029-03-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/29 #477007                                                                                  | CUSIP: 36209N3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $100.82        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                                        | CGDBB COML MTG TR 2019-MOB B 1ML+125 11/15/36 144A                                                       | CUSIP: 125284AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1539636.00    | 0.01%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 12/01/2040#                                                                                 | CUSIP: 312944H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25629 | PA      | $24817.54      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/01/2045#Q34311                                                                         | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2785293 | PA      | $2623972.62    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP D 1ML+157.82 11/15/2038 144A                                                           | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3737000 | PA      | $3512239.63    | 0.02%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MOROCCO KINGDOM OF                                                               | MOROCCO GOV 5.5 12/11/42 144A                                                                            | CUSIP: 617726AG9<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |     100000 | PA      | $85425.00      | 0.00%             | 2042-12-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-NXS4                                                | WELLS FARGO COML MTG TR 2015-NXS4 VAR 12/15/2048                                                         | CUSIP: 94989XBL8<br>LEI: 549300RD723OFH36TP29 | Long             | ABS-MBS          | CORP              | US        |     483000 | PA      | $409910.31     | 0.00%             | 2048-12-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2046#G60603                                                                         | CUSIP: 31335AU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1654408 | PA      | $1558070.41    | 0.01%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                                        | EQM MIDSTREAM PARTNERS LP 6.5% 07/01/2027 144A                                                           | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    2790000 | PA      | $2706300.00    | 0.01%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8% 07/01/2030#                                                                                 | CUSIP: 31297XWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        472 | PA      | $506.39        | 0.00%             | 2030-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| VTR COMUNICACIONES SPA                                                           | VTR COMUNICACIONES SPA 4.375% 04/15/2029 144A                                                            | CUSIP: 918367AC7<br>LEI: 213800XDZJKMC1AEUV94 | Long             | DBT              | CORP              | CL        |     310000 | PA      | $161975.00     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 4.35% 01/11/2048                                                                   | CUSIP: 455780CE4<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     655000 | PA      | $555184.55     | 0.00%             | 2048-01-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXUS BUYER LLC                                                                  | INTRAFI NETWORK TERM 2LN 11/05/2029                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     795000 | PA      | $736702.65     | 0.00%             | 2029-11-05      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| LIGHTSTONE HOLDCO LLC                                                            | LIGHTSTONE HOLDCO TERM B 1LN 01/30/2027                                                                  | CUSIP: 53226GAK7<br>LEI: 549300VXK6UGDG7H3G98 | Long             | LON              | CORP              | US        |    1776142 | PA      | $1616289.67    | 0.01%             | 2027-01-30      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| USI INC                                                                          | USI TERM B 05/16/2024                                                                                    | CUSIP: 90351NAE5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3779011 | PA      | $3768392.10    | 0.02%             | 2024-05-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                             | FRONTIER COMMUNICATIONS HOLDINGS LLC 8.75% 05/15/2030 144A                                               | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1485000 | PA      | $1536232.50    | 0.01%             | 2030-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | SYNCHRONY FINANCIAL 4.375% 03/19/2024                                                                    | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   11497000 | PA      | $11291458.59   | 0.06%             | 2024-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIGHTVIEW LANDSCAPES LLC                                                        | BRIGHTVIEW TERM B 1LN 04/14/2029                                                                         | CUSIP: 10801XAH0<br>LEI: 549300OSAEQC89PVOW06 | Long             | LON              | CORP              | US        |    1420539 | PA      | $1364896.23    | 0.01%             | 2029-04-14      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BW GAS and CONVENIENCE HLDGS LLC                                                 | BW GAS TERM B 1LN 03/17/2028                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     938125 | PA      | $912326.56     | 0.00%             | 2028-03-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                    | CARNIVAL CORP 7.625% 03/01/2026 144A                                                                     | CUSIP: 143658BL5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    6645000 | PA      | $5598412.50    | 0.03%             | 2026-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| RACKSPACE TECHNOLOGY GLOBAL INC                                                  | RACKSPACE TECHNOLOGY GLOBAL TERM B 1LN 02/15/2028                                                        | CUSIP: 75009XAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3985658 | PA      | $2667640.82    | 0.01%             | 2028-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                               | SERBIA REPUBLIC OF 2.125% 12/01/2030 144A                                                                | CUSIP: 817477AF9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    1200000 | PA      | $879225.00     | 0.00%             | 2030-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                             | COMMERCIAL METALS CO 4.125% 01/15/2030                                                                   | CUSIP: 201723AQ6<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |    1175000 | PA      | $1011142.51    | 0.01%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC                                                              | RESIDEO TECHNOLOGIES TERM B 1LN 02/12/2028                                                               | CUSIP: 76090LAE4<br>LEI: 5493000IFJ6XJKH66598 | Long             | LON              | CORP              | US        |     930825 | PA      | $910467.86     | 0.00%             | 2028-02-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/29 #481600                                                                                  | CUSIP: 36209T7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        182 | PA      | $189.53        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/30 #531078                                                                                  | CUSIP: 31384Q6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $476.50        | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 12/45#G60412                                                                                | CUSIP: 31335AN53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1877801 | PA      | $1823646.51    | 0.01%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP NEW                                                                 | ENTERGY CORP NEW 2.8% 06/15/2030                                                                         | CUSIP: 29364GAL7<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    6226000 | PA      | $5258666.26    | 0.03%             | 2030-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/41 #783295                                                                                  | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     324661 | PA      | $321575.92     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2037#AB8128                                                                         | CUSIP: 31417FA65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11138 | PA      | $11001.94      | 0.00%             | 2037-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 7.375% 09/25/2034 144A                                                                | CUSIP: 903724BM3<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     420000 | PA      | $88541.25      | 0.00%             | 2034-09-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AZUL INVESTMENTS LLP                                                             | AZUL INVESTMENTS LLP 7.25% 06/15/2026 144A                                                               | CUSIP: 05502FAC2<br>LEI: 549300C6XNC8IDH04C74 | Long             | DBT              | CORP              | US        |     375000 | PA      | $255000.00     | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ICEBOX HOLDCO III INC                                                            | DIVERSITECH HOLDINGS TERM B 1LN 12/22/2028                                                               | CUSIP: 45114NAB3<br>LEI: 5493008IR2VH15YXMT81 | Long             | LON              | CORP              | US        |     876354 | PA      | $808708.49     | 0.00%             | 2028-12-22      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP                                                             | AGNC INVESTMENT CORP SER E 6.5%/VAR PFD PERP                                                             | CUSIP: 00123Q807<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |      37320 | NS      | $807604.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UAE INTERNATIONAL GOVERNMENT BOND                                                | UAE INTERNATIONAL GOVERNMENT BOND 4.05% 07/07/2032 144A                                                  | CUSIP: 31424EAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |     615000 | PA      | $600393.75     | 0.00%             | 2032-07-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 11/01/2051#FM9501                                                                         | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12641254 | PA      | $10874657.48   | 0.06%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/25 #780194                                                                                  | CUSIP: 36225AGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         12 | PA      | $12.09         | 0.00%             | 2025-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNR 2003-28 KG 5.5% 4/23                                                                                 | CUSIP: 31393ADJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        852 | PA      | $853.61        | 0.00%             | 2023-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/41 #754197                                                                                  | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2851 | PA      | $2753.81       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 4/35 #A32122                                                                                  | CUSIP: 31297MLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12332 | PA      | $12499.87      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 2/1/43 #AR5859                                                                            | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40119 | PA      | $37860.68      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TECHNIP ENERGIES NV                                                              | TECHNIP ENERGIES NV 1.125% 05/28/2028 REGS                                                               | CUSIP: N/A<br>LEI: 724500FLODI49NSCIP70       | Long             | DBT              | CORP              | NL        |    2905000 | PA      | $2447398.83    | 0.01%             | 2028-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                                   | ADLER GROUP SA 1.875% 01/14/2026 REGS                                                                    | CUSIP: N/A<br>LEI: 391200OYYFJ3DWAMEC69       | Long             | DBT              | CORP              | LU        |   10200000 | PA      | $4574685.71    | 0.02%             | 2026-01-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #465748                                                                                  | CUSIP: 36209AL57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        153 | PA      | $157.92        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL USA INC                                                               | MURPHY OIL USA INC 3.75% 02/15/2031 144A                                                                 | CUSIP: 626738AF5<br>LEI: N32S6DTR2ZZ5222WHV58 | Long             | DBT              | CORP              | US        |     505000 | PA      | $413171.34     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/31 #689547                                                                                  | CUSIP: 31400KBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1561 | PA      | $1597.69       | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/42 #AK5316                                                                                  | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22562 | PA      | $21781.71      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 6% 07/19/2028 144A                                                                    | CUSIP: 25714PDZ8<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     549000 | PA      | $528412.50     | 0.00%             | 2028-07-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                     | COCA COLA CO 3.375% 03/25/2027                                                                           | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   13095000 | PA      | $12675143.26   | 0.07%             | 2027-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                       | HESS MIDSTREAM PARTNERS LP 4.25% 02/15/2030 144A                                                         | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     780000 | PA      | $666900.00     | 0.00%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US ANESTHESIA PARTNERS INC                                                       | US ANESTHESIA PARTNERS TERM 2LN 10/01/2029                                                               | CUSIP: 90350HAP4<br>LEI: 549300J001GMNRO7SQ51 | Long             | LON              | CORP              | US        |     285000 | PA      | $262200.00     | 0.00%             | 2029-10-01      | Variable      | 0.11%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2034#779670                                                                         | CUSIP: 31404VFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37261 | PA      | $36865.98      | 0.00%             | 2034-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                                          | GS MTG SECS TR 2017-GS6 3.243% 05/10/2050 144A                                                           | CUSIP: 36253PAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $715145.56     | 0.00%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 08/01/2027#                                                                               | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1159 | PA      | $1207.74       | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.864%/VAR 07/23/2024                                                        | CUSIP: 06051GHL6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   24740000 | PA      | $24484267.07   | 0.13%             | 2024-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FKH 2021-SFR1 F1                                                                 | FKH 2021-SFR1 F1 3.238% 08/17/2038 144A                                                                  | CUSIP: 33767WAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     265000 | PA      | $217270.59     | 0.00%             | 2038-08-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 12/01/2052 #TBA                                                                               | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29000000 | PA      | $27678612.10   | 0.14%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/41 #AH6075                                                                                  | CUSIP: 3138A7XD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15593 | PA      | $15070.27      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENN CLEAN ENERGY INTERNATIONAL INVESTMENT LTD                                    | ENN CLEAN ENERGY INTERNATIONAL INVESTMENT LTD 3.375% 05/12/2026 144A                                     | CUSIP: 268733AA0<br>LEI: 3003009YZ3S5V395NR77 | Long             | DBT              | CORP              | VG        |    1290000 | PA      | $1111012.50    | 0.01%             | 2026-05-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                      | CHEMOURS CO 4.625% 11/15/2029 144A                                                                       | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    2555000 | PA      | $2056775.00    | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 08/44#AW7942                                                                              | CUSIP: 3138XXZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48355 | PA      | $49554.47      | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 7.00% 4/32 #781432                                                                               | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29592 | PA      | $30994.53      | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/27 #313835                                                                                 | CUSIP: 31374GSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        606 | PA      | $626.82        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 1/1/43 #Q14696                                                                              | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64611 | PA      | $59309.02      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | ZOETIS INC 3.25% 02/01/2023                                                                              | CUSIP: 98978VAB9<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    1775000 | PA      | $1769867.73    | 0.01%             | 2023-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INGERSOLL-RAND SERVICES CO                                                       | GARDNER DENVER TERM B 1LN 02/28/2027                                                                     | CUSIP: 365556AU3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1647750 | PA      | $1630761.70    | 0.01%             | 2027-02-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KLOECKNER PENTAPLAST OF AMERICA INC                                              | KLOECKNER PENTAPLAST TERM B 1LN 02/09/2026                                                               | CUSIP: 49865NAT7<br>LEI: 529900H8J1B7UA1CG794 | Long             | LON              | CORP              | US        |    1068725 | PA      | $948942.30     | 0.00%             | 2026-02-09      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 2/42 #AK3548                                                                                  | CUSIP: 3138E75J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5854 | PA      | $5656.49       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019 1ML+200 10/15/2036 144A                                                                    | CUSIP: 056054AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1955000 | PA      | $1876280.75    | 0.01%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 4.927/VAR 05/10/2028                                                          | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   27617000 | PA      | $26493249.63   | 0.14%             | 2028-05-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                              | GSCOFI SWAP CY451600 12/16/72 B                                                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    3760000 | NC      | $51439.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VMC FINANCE 2021-HT1                                                             | VMC FINANCE 2021-HT1 B 1ML+450 01/18/2037 144A                                                           | CUSIP: 91835TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2478000 | PA      | $2285767.91    | 0.01%             | 2037-01-18      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                   | CREDIT SUISSE MORTGAGE TRUST 2017-RPL3 4.5349% 04/15/2036 144A                                           | CUSIP: 12690CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2263000 | PA      | $2127456.26    | 0.01%             | 2036-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 11/40 #756928                                                                                 | CUSIP: 36230RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14749 | PA      | $13926.61      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 3/35 #640208                                                                                  | CUSIP: 36291WGR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1406 | PA      | $1486.40       | 0.00%             | 2035-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 09/01/2033#AL7521                                                                         | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8731839 | PA      | $8797260.35    | 0.05%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 6/32 #611797                                                                                  | CUSIP: 31388QUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5476 | PA      | $5855.70       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 1/42 #757490                                                                                  | CUSIP: 36230SKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78311 | PA      | $73785.61      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FIN CO BV                                                    | TEVA PHARMACEUTICAL FIN CO BV 2.95% 12/18/2022                                                           | CUSIP: 88165FAG7<br>LEI: 549300Q840R30TDKVK53 | Long             | DBT              | CORP              | CW        |     381000 | PA      | $379957.66     | 0.00%             | 2022-12-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/23 #246330                                                                                 | CUSIP: 31371AST1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        174 | PA      | $174.88        | 0.00%             | 2023-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/29 #510166                                                                                  | CUSIP: 31383QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        574 | PA      | $605.36        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                      | BAMLL COML MTG SECS TR 2019-BPR CNM CSTR 11/05/2032 144A                                                 | CUSIP: 05492PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     725000 | PA      | $605314.46     | 0.00%             | 2032-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 7.125/VAR PERP                                                                      | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |     250000 | PA      | $287000.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                       | DCP MIDSTREAM OPER LP 3.875% 03/15/2023                                                                  | CUSIP: 23311VAD9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    2008000 | PA      | $1997558.40    | 0.01%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/27 #436794                                                                                  | CUSIP: 36207NGB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $73.99         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LEBANON REPUBLIC OF                                                              | LEBANON REPUBLIC OF 6.375% 12/31/2049                                                                    | CUSIP: N/A<br>LEI: 529900QPC4K9S1KHL354       | Long             | DBT              | NUSS              | LB        |     977000 | PA      | $58287.82      | 0.00%             | 2049-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                        | FNS 351 13 6% 3/34                                                                                       | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      14402 | PA      | $2702.77       | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 1/24 #351387                                                                                  | CUSIP: 36203KJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         46 | PA      | $46.18         | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 5/40 #AL2129                                                                                  | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107207 | PA      | $112696.77     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLEN MEDIA LLC                                                                  | ALLEN MEDIA TERM B 1LN 02/10/2027                                                                        | CUSIP: 01771JAG8<br>LEI: 549300ERNJNM4RN5JP79 | Long             | LON              | CORP              | US        |    4971824 | PA      | $4115725.44    | 0.02%             | 2027-02-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| WESTERN POWER DISTRIBUTION PLC                                                   | WESTERN POWER DISTRIBUTION PLC 3.625% 11/06/2023 REGS                                                    | CUSIP: N/A<br>LEI: 549300HFCD0G1TPU4N09       | Long             | DBT              | CORP              | GB        |     850000 | PA      | $1009578.64    | 0.01%             | 2023-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 4.50% 7/25 #G13844                                                                             | CUSIP: 3128MCP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54529 | PA      | $54043.75      | 0.00%             | 2025-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 11/39 #680497                                                                                 | CUSIP: 36295T7J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1024 | PA      | $1074.88       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNR 2006-45 OP 0 6/36                                                                                    | CUSIP: 31395NEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      30104 | PA      | $23914.16      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2012-GCJ9                                                         | GS MTG SECS TR 2012-GCJ9 E CSTR 11/10/2045 144A                                                          | CUSIP: 36192PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510000 | PA      | $435589.01     | 0.00%             | 2045-11-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/30 #493516                                                                                  | CUSIP: 36210JGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $389.17        | 0.00%             | 2030-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                         | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274220 | PA      | $273146.11     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNR 1997-41 J 7.5% 6/27                                                                                  | CUSIP: 31359PQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       5721 | PA      | $5851.07       | 0.00%             | 2027-06-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE15 MTG TR                                                          | COMM 2014-CCRE15 D MTG TR CSTR 02/10/2047 144A                                                           | CUSIP: 12591RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173000 | PA      | $163691.39     | 0.00%             | 2047-02-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 4.5% 01/30/2030 144A                                                                  | CUSIP: 25714PED6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     420000 | PA      | $356553.75     | 0.00%             | 2030-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #745232                                                                                  | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66128 | PA      | $65500.37      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/41 #738218                                                                                  | CUSIP: 3620ASDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6208 | PA      | $6274.18       | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAGICOR FINANCIAL CO LTD                                                         | SAGICOR FINANCIAL CO LTD 5.3% 05/13/2028 144A                                                            | CUSIP: 78669QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     485000 | PA      | $433444.50     | 0.00%             | 2028-05-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/32 #646736                                                                                  | CUSIP: 31390HPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1115 | PA      | $1192.12       | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET                                                                    | CSMC 2020-NET 2.2569% 08/15/2037 144A                                                                    | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3999190 | PA      | $3569534.68    | 0.02%             | 2037-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #723339                                                                                  | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17786 | PA      | $17934.78      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 1/36 #849216                                                                                  | CUSIP: 31408EN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1686 | PA      | $1669.27       | 0.00%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK AMER MERRILL LYNCH COML MTG TR 2016-UBS10                                   | BANK AMER MERRILL LYNCH COML MTG TR 2016-UBS10 3% 06/15/2049 144A                                        | CUSIP: 06054MAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1180000 | PA      | $907072.14     | 0.00%             | 2049-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 11/01/2032#BJ2973                                                                         | CUSIP: 3140H4JT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13903 | PA      | $13071.90      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 9/40 #AE4923                                                                                  | CUSIP: 31419FPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8759 | PA      | $8462.43       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/29 #459211                                                                                  | CUSIP: 36208SDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        369 | PA      | $382.69        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 06/01/2050#CA5966                                                                         | CUSIP: 3140QDTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6690652 | PA      | $5798505.66    | 0.03%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                       | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3992000 | PA      | $3701561.80    | 0.02%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP 4.75% 02/15/2028                                                                      | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   13710000 | PA      | $12923868.60   | 0.07%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 1/36 #G03506                                                                                  | CUSIP: 3128M5GP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89312 | PA      | $93424.71      | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ELEMENT SOLUTIONS INC                                                            | ELEMENT SOLUTIONS INC 3.875% 09/01/2028 144A                                                             | CUSIP: 28618MAA4<br>LEI: 549300FLGN6P5CU20J91 | Long             | DBT              | CORP              | US        |    1770000 | PA      | $1512748.20    | 0.01%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/42 #AK1510                                                                                  | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29750 | PA      | $28741.58      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 07/20/2043#635118                                                                           | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165454 | PA      | $156190.31     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.50% 12/29 #510858                                                                                 | CUSIP: 36211EQK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        103 | PA      | $108.76        | 0.00%             | 2029-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 09/01/2046#G61420                                                                         | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     583397 | PA      | $549607.93     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-AON                                       | J P MORGAN CHASE COML MTG SECS TR 2018-AON-F 4.6132% 07/05/2031 144A                                     | CUSIP: 46649XAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     409000 | PA      | $329987.50     | 0.00%             | 2031-07-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TENCENT HLDGS LTD                                                                | TENCENT HLDGS LTD 2.88% 04/22/2031 144A                                                                  | CUSIP: 88032WBA3<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     285000 | PA      | $235364.40     | 0.00%             | 2031-04-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/27 #780798                                                                                 | CUSIP: 36225A3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56 | PA      | $57.92         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 03/01/2051#SD8133                                                                         | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10640387 | PA      | $8293652.78    | 0.04%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                                               | TRAVIS PERKINS PLC 4.5% 09/07/2023 REGS                                                                  | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |    1329000 | PA      | $1572785.08    | 0.01%             | 2023-09-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 03/01/2042#                                                                                 | CUSIP: 3132GR7A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8867 | PA      | $8570.00       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                                      | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   18352000 | PA      | $14495999.43   | 0.08%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#734419                                                                         | CUSIP: 31402N4C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27070 | PA      | $26765.87      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 6.50% 5/26 #C90975                                                                             | CUSIP: 3128P7CL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1535 | PA      | $1552.86       | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/36 #897984                                                                                  | CUSIP: 31410UUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        237 | PA      | $241.25        | 0.00%             | 2036-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXUS BUYER LLC                                                                  | PROMONTORY TERM B 1LN 11/08/2026                                                                         | CUSIP: 65343UAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1563074 | PA      | $1495079.95    | 0.01%             | 2026-11-08      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021 MORTGAGE TRUST                                                    | BENCHMARK 2021 MORTGAGE TRUST CSTR 04/15/2054 144A                                                       | CUSIP: 08163DBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $589564.59     | 0.00%             | 2054-04-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 7.5% 01/01/2027#                                                                               | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        194 | PA      | $199.53        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                     | Fidelity Cash Central Fund                                                                               | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        | 1850958511 | NS      | $1851328702.42 | 9.68%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C32                                 | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C32 C CSTR 12/15/2049                                       | CUSIP: 61691GAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236000 | PA      | $196652.62     | 0.00%             | 2049-12-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2274 ZM 6.5% 1/31                                                                                    | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      10697 | PA      | $10847.81      | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 5.625% 09/01/2028                                                                                | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   10497000 | PA      | $10463984.73   | 0.05%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOROCCO KINGDOM OF                                                               | MOROCCO KINGDOM OF 2.375% 12/15/2027 144A                                                                | CUSIP: 617726AK0<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |    1630000 | PA      | $1407708.75    | 0.01%             | 2027-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 4.452%/VAR 12/05/2029                                                              | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   20700000 | PA      | $19674742.87   | 0.10%             | 2029-12-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 12/01/2042#Q13420                                                                         | CUSIP: 3132HPYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34864 | PA      | $34000.13      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EG AMERICA LLC                                                                   | EG GROUP TERM B 1LN 03/10/2026                                                                           | CUSIP: N/A<br>LEI: 549300BY1CRYVPEG9R57       | Long             | LON              | CORP              | US        |    1133632 | PA      | $1035618.11    | 0.01%             | 2026-03-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| TRITAX EUROBOX PLC                                                               | TRITAX EUROBOX PLC 0.95% 06/02/2026 REGS                                                                 | CUSIP: N/A<br>LEI: 213800HK59N7H979QU33       | Long             | DBT              | CORP              | GB        |     840000 | PA      | $716181.38     | 0.00%             | 2026-06-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 1/32 #C62372                                                                                  | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21138 | PA      | $22196.14      | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #406771                                                                                 | CUSIP: 36206B2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        264 | PA      | $268.28        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2001-20 Z 6% 5/31                                                                                    | CUSIP: 31359SXB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      32464 | PA      | $33035.15      | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 09/39#G05624                                                                              | CUSIP: 3128M7SM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198502 | PA      | $197438.95     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/42 #AL1521                                                                                  | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269049 | PA      | $259914.88     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 12/33 #G04895                                                                                 | CUSIP: 3128M6XY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2280 | PA      | $2299.22       | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/33 #608147                                                                                  | CUSIP: 36202STC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1716 | PA      | $1716.49       | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CRSNT TR 2021-MOON                                                               | CRSNT TR 2021-MOON G 1ML+450 04/15/2036 144A                                                             | CUSIP: 22877LAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126000 | PA      | $111752.94     | 0.00%             | 2036-04-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 07/20/2051#MA7472                                                                           | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19907177 | PA      | $17555989.68   | 0.09%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                | ICAHN ENTERPRISES LP/FIN CORP 5.25% 05/15/2027                                                           | CUSIP: 451102BZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10219000 | PA      | $9375932.50    | 0.05%             | 2027-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                               | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                        | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8027000 | PA      | $7644775.13    | 0.04%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/40 #545934                                                                                  | CUSIP: 36212WPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13050 | PA      | $12926.28      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+71.21 10/15/2036 144A                                          | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18877000 | PA      | $18013518.83   | 0.09%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 3.5% 02/01/2025                                                              | CUSIP: 92277GAE7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    2163000 | PA      | $2075299.76    | 0.01%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 7.5% 11/01/2030#                                                                               | CUSIP: 31298C2P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $161.17        | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                       | DAVITA INC 3.75% 02/15/2031 144A                                                                         | CUSIP: 23918KAT5<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     845000 | PA      | $621075.00     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2% 01/01/2038 #TBA                                                                             | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   97850000 | PA      | $88010732.39   | 0.46%             | 2038-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 7.75% 09/01/2026 144A                                                                 | CUSIP: 903724AR3<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    2420000 | PA      | $544197.50     | 0.00%             | 2026-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AKELIUS RESIDENTIAL AB                                                           | AKELIUS RESIDENTIAL AB 3.875/VAR 10/05/2078 REGS                                                         | CUSIP: N/A<br>LEI: 213800REBFN6T3PU8L97       | Long             | DBT              | CORP              | SE        |    1238000 | PA      | $1235145.14    | 0.01%             | 2078-10-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 7/40 #743665                                                                                  | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12744 | PA      | $12861.75      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AYDEM YENILENEBILIR ENERJI AS                                                    | AYDEM YENILENEBILIR ENERJI AS 7.75% 02/02/2027 144A                                                      | CUSIP: 054644AA7<br>LEI: 9845009C50EDA74OA532 | Long             | DBT              | CORP              | TR        |     345000 | PA      | $268884.38     | 0.00%             | 2027-02-02      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SINOPEC GROUP OVERSEAS DEV 2018 LTD                                              | SINOPEC GROUP OVERSEAS DEV 2018 LTD 1.45% 01/08/2026 144A                                                | CUSIP: 82939GAR9<br>LEI: 549300C6OZZ8LTVR8209 | Long             | DBT              | CORP              | VG        |     530000 | PA      | $481860.10     | 0.00%             | 2026-01-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                  | FX Forward: GBP/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |          1 | NC      | $3224.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                         | GENERAL MTRS FINL CO INC 4.25% 05/15/2023                                                                | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1967000 | PA      | $1959932.08    | 0.01%             | 2023-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/40 #737559                                                                                 | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107069 | PA      | $103479.60     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 10/40 #004833                                                                              | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1037508 | PA      | $1004697.13    | 0.01%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM 30YR 4.5% 10/01/2040#                                                                               | CUSIP: 3129424K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7998 | PA      | $7950.10       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                       | FIRST QUANTUM MINERALS LTD 7.5% 04/01/2025 144A                                                          | CUSIP: 335934AL9<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    1280000 | PA      | $1261440.00    | 0.01%             | 2025-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 06/25/2035                                                           | CUSIP: 31394D4V9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     137891 | PA      | $11994.33      | 0.00%             | 2035-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 10/42 #AP7882                                                                                 | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264050 | PA      | $247754.09     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 11/39 #709863                                                                                 | CUSIP: 36297ETU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1464 | PA      | $1525.64       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2520 BE 6% 11/32                                                                                     | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      49287 | PA      | $50864.42      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 12/32 #735415                                                                                 | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14547 | PA      | $15232.01      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 1.45% 10/02/2023                                                                           | CUSIP: 02005NBL3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    4483000 | PA      | $4329119.64    | 0.02%             | 2023-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 1/28 #427211                                                                                  | CUSIP: 36207BR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        398 | PA      | $411.48        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 05/01/2035#                                                                                 | CUSIP: 31297P2R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1749 | PA      | $1763.35       | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#QD3168                                                                           | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1232848 | PA      | $1019938.51    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 7.00% 3/32 #003216                                                                               | CUSIP: 36202DSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4046 | PA      | $4247.09       | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 03/15/2036#782105                                                                         | CUSIP: 36241KKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18302 | PA      | $18360.64      | 0.00%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/31 #528852                                                                                  | CUSIP: 36212BQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        508 | PA      | $532.83        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS LLC                                                     | FOCUS FINANCIAL TERM B3 1LN 07/03/2024                                                                   | CUSIP: 34416DAT5<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |    1124043 | PA      | $1121839.46    | 0.01%             | 2024-07-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUGARHOUSE HSP GAMING PROP MEZZ LP / SUGARHOUSE HSP GAMING FIN CORP              | SUGARHOUSE HS GMNG MEZZ LP/CRP 5.875% 05/15/2025 144A                                                    | CUSIP: 865033AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     352000 | PA      | $331111.44     | 0.00%             | 2025-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2047#BJ0993                                                                           | CUSIP: 3140H2C71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26556 | PA      | $25583.80      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURK SISE VE CAM FABRIKALARI                                                     | TURK SISE VE CAM FABRIKALARI 6.95% 03/14/2026 144A                                                       | CUSIP: 90016AAB6<br>LEI: 789000KWOK751Q6R8875 | Long             | DBT              | CORP              | TR        |     645000 | PA      | $620933.44     | 0.00%             | 2026-03-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/29 #462175                                                                                  | CUSIP: 36208VMY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        216 | PA      | $218.28        | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 5.013%/VAR 04/04/2051                                                             | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   34319000 | PA      | $32236004.18   | 0.17%             | 2051-04-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD WEC HOLDINGS INC                                                      | WESTINGHOUSE TERM B 1LN 08/01/2025                                                                       | CUSIP: 11284EAM5<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    5763105 | PA      | $5650839.62    | 0.03%             | 2025-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/39 #AB0043                                                                                  | CUSIP: 31416VBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     470591 | PA      | $465415.33     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                            | BAUSCH HEALTH COS INC 14% 10/15/2030 144A                                                                | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     336000 | PA      | $186412.80     | 0.00%             | 2030-10-15      | Fixed         | 0.14%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                            | MOLINA HEALTHCARE INC 3.875% 11/15/2030 144A                                                             | CUSIP: 60855RAK6<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $941700.00     | 0.00%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/01/2042#AP8877                                                                           | CUSIP: 3138MC2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21331 | PA      | $20598.38      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2011-136 WI 4.5% 5/40                                                                                | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      22727 | PA      | $1649.81       | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                   | CSMC 2018-SITE D CSTR 04/15/2036 144A                                                                    | CUSIP: 12690CAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3047000 | PA      | $2800552.85    | 0.01%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                                    | BRAND INDUSTRIAL SERVICES INC 8.5% 07/15/2025 144A                                                       | CUSIP: 10524PAB6<br>LEI: 549300B658W2BPDQMW42 | Long             | DBT              | CORP              | US        |    6554000 | PA      | $5185721.42    | 0.03%             | 2025-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                                                             | ARAMARK SERVICES INC 6.375% 05/01/2025 144A                                                              | CUSIP: 038522AR9<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |     275000 | PA      | $274455.50     | 0.00%             | 2025-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                     | CHS/CMNTY HEALTH SYSTEMS INC 8% 03/15/2026 144A                                                          | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2768670.00    | 0.01%             | 2026-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                                        | EQM MIDSTREAM PARTNERS LP 6% 07/01/2025 144A                                                             | CUSIP: 26885BAF7<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     145000 | PA      | $142100.00     | 0.00%             | 2025-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEITUAN                                                                          | MEITUAN 2.125% 10/28/2025 144A                                                                           | CUSIP: 58533EAB9<br>LEI: 21380033K525E5JLIA77 | Long             | DBT              | CORP              | KY        |     995000 | PA      | $868137.50     | 0.00%             | 2025-10-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMM 2006 FL12                                                                   | COMM 2014-CR20 XA CSTR 11/10/2047                                                                        | CUSIP: 12592LBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33902521 | PA      | $473441.92     | 0.00%             | 2047-11-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 06/01/2043#AT8670                                                                         | CUSIP: 3138WWT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25723 | PA      | $23565.75      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FINANCE LLC                                                     | HILTON TERM B 1LN 06/21/2026                                                                             | CUSIP: 43289DAH6<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |    1646634 | PA      | $1633295.88    | 0.01%             | 2026-06-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NOSTRUM OIL and GAS FINANCE BV                                                   | NOSTRUM OIL and GAS FINANCE BV 8% 12/31/2049 144A                                                        | CUSIP: 66978CAB8<br>LEI: 213800SGF6UKA42KSB50 | Long             | DBT              | CORP              | NL        |    4009000 | PA      | $1044304.41    | 0.01%             | 2049-12-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                   | CSMC 2018-SITE C CSTR 04/15/2036 144A                                                                    | CUSIP: 12690CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1523000 | PA      | $1425944.24    | 0.01%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITGO PETROLEUM CORP                                                             | CITGO PETROLEUM CORP 6.375% 06/15/2026 144A                                                              | CUSIP: 17302XAM8<br>LEI: YX52P86PXMLYDOTUQ225 | Long             | DBT              | CORP              | US        |    3825000 | PA      | $3738734.93    | 0.02%             | 2026-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE2 MTG TR                                                           | COMM 2012-CR2 F 4.25% 8/45                                                                               | CUSIP: 12624KBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1110000 | PA      | $828546.29     | 0.00%             | 2045-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                                  | CANO HEALTH LLC 6.25% 10/01/2028 144A                                                                    | CUSIP: 13782CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2365000 | PA      | $1194325.00    | 0.01%             | 2028-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/32 #565982                                                                                  | CUSIP: 36213VXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        531 | PA      | $559.92        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/39 #705835                                                                                  | CUSIP: 36297AEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3844 | PA      | $3873.63       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#733039                                                                         | CUSIP: 31402MLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20155 | PA      | $19923.33      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 02/01/2049#BM5577                                                                           | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4855597 | PA      | $4944295.08    | 0.03%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/01/2038#985173                                                                         | CUSIP: 31415PMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3499 | PA      | $3553.49       | 0.00%             | 2038-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MH SUB I LLC                                                                     | INTERNET BRANDS TERM B 1LN 09/15/2024                                                                    | CUSIP: 45567YAJ4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4288083 | PA      | $4168359.43    | 0.02%             | 2024-09-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2045#Q32124                                                                         | CUSIP: 3132QNLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59791 | PA      | $56365.02      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC        | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 4% 09/01/2029 144A             | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     865000 | PA      | $692000.00     | 0.00%             | 2029-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.875% 01/16/2024                                     | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    9923000 | PA      | $9782685.41    | 0.05%             | 2024-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/40 #AE4103                                                                                  | CUSIP: 31419ERZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295399 | PA      | $293795.50     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                                | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                               | CUSIP: 61771LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2441000 | PA      | $2203352.78    | 0.01%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.45% 09/29/2027                                                                           | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   10486000 | PA      | $10099492.65   | 0.05%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #677235                                                                                  | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30051 | PA      | $29763.46      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2042#Q11138                                                                         | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58452 | PA      | $56621.53      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 07/01/2033#721575                                                                           | CUSIP: 31401XT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99084 | PA      | $99681.60      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIRGIN PULSE INC                                                                 | VIRGIN PULSE TERM B 1LN 04/06/2028                                                                       | CUSIP: 92770HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2644789 | PA      | $2243653.71    | 0.01%             | 2028-04-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CIT MTG LN TR 2007-1                                                             | CIT MORTGAGE LOAN TRUST 2007-1 1A 1ML+135 10/25/2037 144A                                                | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     867297 | PA      | $860795.43     | 0.00%             | 2037-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/31 #555867                                                                                  | CUSIP: 36213JQU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        280 | PA      | $293.10        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.5% 02/43 #Q15869                                                                                  | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235711 | PA      | $222648.43     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 12/15/2042#AB8144                                                                           | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6608 | PA      | $6417.74       | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | SIMON PROPERTY GROUP LP 2.45% 09/13/2029                                                                 | CUSIP: 828807DF1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    3576000 | PA      | $3006370.41    | 0.02%             | 2029-09-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                                | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    3986000 | PA      | $3716440.57    | 0.02%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                              | CLYDESDALE ACQUISITION HOLDINGS INC 6.625% 04/15/2029 144A                                               | CUSIP: 18972EAA3<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     640000 | PA      | $616614.00     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-LC11                                      | JP MORGAN CH CMS 13-LC11 D CSTR 04/15/2046                                                               | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     907000 | PA      | $752727.46     | 0.00%             | 2046-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 06/15/2043#AE7264                                                                         | CUSIP: 36181BB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6425 | PA      | $6236.01       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 03/01/2044#Q25226                                                                         | CUSIP: 3132M5PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36305 | PA      | $35337.44      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER RECREATNL PRODS INC                                                   | BOMBARDIER REC TERM B1 1LN 05/23/2027                                                                    | CUSIP: 09776MAM6<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |     682715 | PA      | $661379.82     | 0.00%             | 2027-05-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOLDINGS CORP                                                        | RENAISSANCE LEARNING TERM B 1LN 05/31/2025                                                               | CUSIP: 75972JAB0<br>LEI: 549300UKKEC0Y6TXNF09 | Long             | LON              | CORP              | US        |    1615492 | PA      | $1544814.08    | 0.01%             | 2025-05-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 04/01/2033#BJ2704                                                                           | CUSIP: 3140H4AE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43711 | PA      | $41700.29      | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/46#BM3928                                                                              | CUSIP: 3140J8LJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3563007 | PA      | $3540828.48    | 0.02%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                    | LOWES COS INC 3.35% 04/01/2027                                                                           | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    1437000 | PA      | $1363665.00    | 0.01%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ION TRADING FINANCE LTD                                                          | ION TRADING TERM B 1LN 03/26/28                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | IE        |    5227221 | PA      | $4991995.63    | 0.03%             | 2028-03-26      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                     | NCL CORP LTD 7.75% 02/15/2029 144A                                                                       | CUSIP: 62886HBG5<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    1460000 | PA      | $1168000.00    | 0.01%             | 2029-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| COSTA RICA REPUBLIC OF                                                           | COSTA RICA REPUBLIC OF 7% 04/04/2044 144A                                                                | CUSIP: 221602AC9<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |      75000 | PA      | $70031.25      | 0.00%             | 2044-04-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH LLC                                                        | CABLEVISION LIGHTPATH LLC 5.625% 09/15/2028 144A                                                         | CUSIP: 12687GAB5<br>LEI: 5493002ZVBLRLGES1R71 | Long             | DBT              | CORP              | US        |     445000 | PA      | $338594.16     | 0.00%             | 2028-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 12/01/2042#Q13899                                                                         | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23159 | PA      | $22585.67      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP 1ML+73.08 11/15/2038 144A                                                              | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15989000 | PA      | $15277724.54   | 0.08%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2048#Q55720                                                                           | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67035 | PA      | $64787.08      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | CIGNA CORP 3.05% 10/15/2027                                                                              | CUSIP: 125523AZ3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5446269.65    | 0.03%             | 2027-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 10/33 #616015                                                                                 | CUSIP: 36290SK42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1409 | PA      | $1409.55       | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EAGLE 4 LTD                                                                      | ERM TERM B 1LN 07/12/2028                                                                                | CUSIP: N/A<br>LEI: 213800T6AWJ7S2PD5U82       | Long             | LON              | CORP              | GB        |     676293 | PA      | $668123.24     | 0.00%             | 2028-07-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3297 BI 1ML+676 4/37                                                                                 | CUSIP: 31397GRY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     310064 | PA      | $38956.07      | 0.00%             | 2037-04-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/26 #256507                                                                                 | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3174 | PA      | $3225.62       | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ECO DEV AUTH ST PEN                                                   | NEW JERSEY ECO DEV AUTH ST PENSER A MBIA                                                                 | CUSIP: 645913AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   14838000 | PA      | $16036337.65   | 0.08%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                        | BANK IRELAND GROUP PLC 2.029%/VAR 09/30/2027 144A                                                        | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    4565000 | PA      | $3785617.55    | 0.02%             | 2027-09-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/27 #427792                                                                                 | CUSIP: 36207CF94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37 | PA      | $37.79         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC                      | ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.9% 02/01/2046                              | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   30000000 | PA      | $28064497.80   | 0.15%             | 2046-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                 | ALTICE FRANCE SA 5.125% 07/15/2029 144A                                                                  | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    4460000 | PA      | $3459755.80    | 0.02%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 10/41 #005280                                                                              | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92718 | PA      | $89730.29      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 12/01/2052 #TBA                                                                             | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -142300000 | PA      | $-124850690.18 | -0.65%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/40 #AE8447                                                                                 | CUSIP: 31419KL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4395 | PA      | $4357.38       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                    | COMMSCOPE INC 6% 03/01/2026 144A                                                                         | CUSIP: 20338QAD5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    2125000 | PA      | $2055852.50    | 0.01%             | 2026-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/25 #319648                                                                                  | CUSIP: 31374PBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $36.26         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                                    | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   14056000 | PA      | $14373579.16   | 0.08%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                        | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   18130000 | PA      | $14205302.09   | 0.07%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/28 #473923                                                                                  | CUSIP: 36209KPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        225 | PA      | $229.00        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                            | OPEN TEXT CORPORATION 3.875% 12/01/2029 144A                                                             | CUSIP: 683715AD8<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |    3095000 | PA      | $2470842.86    | 0.01%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 12/20/2042#MA0624                                                                           | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2373585 | PA      | $2187389.07    | 0.01%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FGLMC 30YR 3.5% 09/46#Q43176                                                                             | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92024 | PA      | $86492.58      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SG COML MTG SECS TR 2020-COVE                                                    | SG COMMERCIAL MORTGAGE SECURITIES TRUST 2020-COVE F CSTR 03/15/2037 144A                                 | CUSIP: 78397FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1326000 | PA      | $1134864.13    | 0.01%             | 2037-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 06/15/2043#AC9654                                                                         | CUSIP: 36179KWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32669 | PA      | $30960.02      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 9/41 #AI9685                                                                                  | CUSIP: 3138APXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7876 | PA      | $7615.94       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WATERBRIDGE MIDSTREAM OPERATING LLC                                              | WATERBRIDGE OPERATING TERM B 1LN 06/21/2026                                                              | CUSIP: 94120XAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1091250 | PA      | $1045264.73    | 0.01%             | 2026-06-21      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 1.5% 12/01/2040#RB5089                                                                         | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     700717 | PA      | $574421.89     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#741836                                                                         | CUSIP: 31402YEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48853 | PA      | $48312.37      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 1.5% 12/01/2052 #TBA                                                                           | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   71950000 | PA      | $55890846.34   | 0.29%             | 2052-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 5% 11/24/2025                                                                             | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   15462000 | PA      | $15498116.14   | 0.08%             | 2025-11-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3110 OP PO 0% 9/35                                                                                   | CUSIP: 31396HU49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      30274 | PA      | $27582.10      | 0.00%             | 2035-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | EXELON CORP 2.75% 03/15/2027 144A                                                                        | CUSIP: 30161NAZ4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    3035000 | PA      | $2797475.10    | 0.01%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 29 LTD / COLUMBIA CENT CLO 29 CORP                             | CENT CLO 20 LTD / CENT CLO 20-29A AR 3ML+117 10/20/2034 144A                                             | CUSIP: 197363AU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12599000 | PA      | $12143470.56   | 0.06%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/25 #324193                                                                                  | CUSIP: 31374UC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $108.92        | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/33 #620547                                                                                  | CUSIP: 36290XL40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2547 | PA      | $2547.06       | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/31 #560426                                                                                  | CUSIP: 36213PSP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        519 | PA      | $527.24        | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 08/01/2046#AL8881                                                                           | CUSIP: 3138ET2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337520 | PA      | $327696.15     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WYNDHAM HOTELS and RESORTS INC                                                   | WYNDHAM HOTELS and RESORTS INC TERM B 05/30/2025                                                         | CUSIP: 98310CAC6<br>LEI: 549300FE3MQ4RVXXC673 | Long             | LON              | CORP              | US        |     753977 | PA      | $750071.07     | 0.00%             | 2025-05-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EIG PEARL HOLDINGS SARL                                                          | EIG PEARL HOLDINGS SARL 3.545% 08/31/2036 144A                                                           | CUSIP: 28249NAA9<br>LEI: 549300KIMRL45BWA5H76 | Long             | DBT              | CORP              | LU        |    1935000 | PA      | $1610887.50    | 0.01%             | 2036-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 06/01/2041#                                                                               | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36155 | PA      | $35965.17      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 03/01/2033#G18681                                                                           | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103883 | PA      | $99191.41      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 03/01/2041#A97686                                                                         | CUSIP: 312946RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6200 | PA      | $6325.95       | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE2 MTG TR                                                           | COMM 2012-CR2 E CSTR 8/45                                                                                | CUSIP: 12624KAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1009000 | PA      | $854067.85     | 0.00%             | 2045-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                            | SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A                                                              | CUSIP: 78473HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2226000 | PA      | $2075437.14    | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/31 #564867                                                                                  | CUSIP: 36213UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $76.50         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                  | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                                   | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10462276 | PA      | $7439541.38    | 0.04%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC 4.4% 04/05/2052 144A                                                            | CUSIP: 21871XAL3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    4834000 | PA      | $3885422.15    | 0.02%             | 2052-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VONOVIA FINANCE BV                                                               | VONOVIA FINANCE BV 5% 10/02/2023 144A                                                                    | CUSIP: 25155FAB2<br>LEI: 5299009XLZLD9TALOZ03 | Long             | DBT              | CORP              | NL        |    2105000 | PA      | $2072772.45    | 0.01%             | 2023-10-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR ENERGY INC 5.25% 02/15/2025 144A                                                                     | CUSIP: 12662PAB4<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $3527353.60    | 0.02%             | 2025-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 02/01/2035#FM2502                                                                         | CUSIP: 3140X5X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2267040 | PA      | $2113732.62    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 07/01/2045#Q34989                                                                         | CUSIP: 3132QRRK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135168 | PA      | $131269.73     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/25 #324623                                                                                 | CUSIP: 31374USL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $124.86        | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JORDAN KINGDOM OF                                                                | JORDAN KINGDOM OF 4.95% 07/07/2025 144A                                                                  | CUSIP: 418097AK7<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |    1230000 | PA      | $1185258.75    | 0.01%             | 2025-07-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD / ARES XLI CLO LLC                                              | ARES XLI CLO LTD / ARES XLI CLO LLC 1ML+107 04/15/2034 144A                                              | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   27261000 | PA      | $26341813.60   | 0.14%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2011-C5                                                        | WFRBS 2011-C5 E CSTR 11/44                                                                               | CUSIP: 92936JAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     432623 | PA      | $410991.91     | 0.00%             | 2044-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.1% 07/24/2023                                                              | CUSIP: 06053FAA7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4167000 | PA      | $4150189.45    | 0.02%             | 2023-07-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 01/01/2041#MA4231                                                                         | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1176429 | PA      | $964392.58     | 0.01%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                  | ALLEGRO CLO LTD 3ML+114 07/20/2034 144A                                                                  | CUSIP: 01750WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9447000 | PA      | $9120965.14    | 0.05%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRST STUDENT BIDCO INC                                                          | FIRST STUDENT/FIRST TRANSIT TERM B 1LN 07/21/2028                                                        | CUSIP: 33718FAD2<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |    1554941 | PA      | $1459218.82    | 0.01%             | 2028-07-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 12/20/44#MA2446                                                                             | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23632 | PA      | $23109.96      | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIANCE LAUNDRY SYSTEMS LLC                                                     | ALLIANCE LAUNDRY TERM B 1LN 10/08/2027                                                                   | CUSIP: 01862LAW8<br>LEI: 549300YBOGK6MBI5ND34 | Long             | LON              | CORP              | US        |     529623 | PA      | $516515.04     | 0.00%             | 2027-10-08      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ARUBA INVESTMENT HOLDINGS LLC                                                    | ANGUS CHEMICAL TERM B 1LN 11/24/2027                                                                     | CUSIP: 04317JAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2553008 | PA      | $2465771.85    | 0.01%             | 2027-11-24      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 04/47#784304                                                                                  | CUSIP: 3622A2X98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1426984 | PA      | $1383403.11    | 0.01%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                           | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8559521 | PA      | $8182821.10    | 0.04%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP / GLP FIN CORP                                                | GLOBAL PARTNERS LP / GLP FIN CORP 7% 08/01/2027                                                          | CUSIP: 37954FAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3737000 | PA      | $3540807.50    | 0.02%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 07/01/2044#G61831                                                                           | CUSIP: 31335CA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1850868 | PA      | $1791519.38    | 0.01%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL PLC                                                                   | PRUDENTIAL PLC 2.95%/VAR 11/03/2033 REGS                                                                 | CUSIP: N/A<br>LEI: 5493001Z3ZE83NGK8Y12       | Long             | DBT              | CORP              | GB        |    6730000 | PA      | $5324076.08    | 0.03%             | 2033-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 11/15/2042#AB9211                                                                         | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     291824 | PA      | $274875.01     | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 10/20/2043#MA1375                                                                           | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50345 | PA      | $47841.14      | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #726316                                                                                  | CUSIP: 3620AC3Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4346 | PA      | $4382.56       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATL ENERGY CO PJSC                                                    | ABU DHABI NATL ENERGY CO PJSC 4% 10/03/2049 144A                                                         | CUSIP: 00388WAH4<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |     795000 | PA      | $667452.19     | 0.00%             | 2049-10-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 7/40 #004746                                                                               | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47738 | PA      | $47449.15      | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/29 #492695                                                                                  | CUSIP: 31382UKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $159.94        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/27 #190289                                                                                 | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        164 | PA      | $168.56        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                         | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1163652 | PA      | $953918.77     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                | QBE INS GROUP LTD 6.75%/VAR 12/02/2044 REGS                                                              | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |    3395000 | PA      | $3204031.25    | 0.02%             | 2044-12-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2586 MJ 5.5 3/23                                                                                     | CUSIP: 31393MSV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        656 | PA      | $657.31        | 0.00%             | 2023-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/27 #393409                                                                                  | CUSIP: 31378BAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $168.29        | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MUELLER WTR PRODS INC                                                            | MUELLER WTR PRODS INC 4% 06/15/2029 144A                                                                 | CUSIP: 624758AF5<br>LEI: 549300F7ZU4P1F8V8L60 | Long             | DBT              | CORP              | US        |    1405000 | PA      | $1208533.05    | 0.01%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                            | OPEN TEXT TERM B 1LN 11/16/2029                                                                          | CUSIP: N/A<br>LEI: 549300UQROQS42RKHM85       | Long             | LON              | CORP              | CA        |    4585000 | PA      | $4449375.70    | 0.02%             | 2029-11-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 8/33 #C01614                                                                                  | CUSIP: 31292HYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7385 | PA      | $7309.75       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 04/20/2043#MA0934                                                                           | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     214991 | PA      | $204298.30     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 04/15/2043#783836                                                                         | CUSIP: 3622A2HM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     637715 | PA      | $601581.92     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2047#BH9459                                                                         | CUSIP: 3140GYQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8689 | PA      | $8606.47       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/46#BC9077                                                                              | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     530459 | PA      | $497783.50     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 7/39 #AC1585                                                                                  | CUSIP: 31417KXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5554 | PA      | $5517.77       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/25 #322438                                                                                  | CUSIP: 31374SEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $90.02         | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #739184                                                                                  | CUSIP: 3620ATFZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5167 | PA      | $5117.81       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                          | BATH and BODY WORKS INC 6.694% 01/15/2027                                                                | CUSIP: 501797AQ7<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     480000 | PA      | $466248.84     | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ACURIS FINANCE US INC                                                            | ION ANALYTICS TERM 1 LN 02/16/2028                                                                       | CUSIP: 00510DAB0<br>LEI: 213800PHEXJH1L7ZN896 | Long             | LON              | CORP              | US        |    1312500 | PA      | $1287181.88    | 0.01%             | 2028-02-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                           | MPT OPER PARTNERSHIP LP/CORP 2.5% 03/24/2026                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    1665000 | PA      | $1603386.26    | 0.01%             | 2026-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                | BERKSHIRE HATHAWAY ENERGY COMPANY 4.05% 04/15/2025                                                       | CUSIP: 084659AT8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |   26164000 | PA      | $25912689.81   | 0.14%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                        | TEGNA INC 5% 09/15/2029                                                                                  | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |     545000 | PA      | $509595.15     | 0.00%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 07/01/2033#                                                                                 | CUSIP: 31283HYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7504 | PA      | $7775.43       | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 5/27 #369318                                                                                  | CUSIP: 31376YG34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $166.23        | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/32 #781469                                                                                  | CUSIP: 36225BT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        204 | PA      | $212.45        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SENEGAL REPUBLIC OF                                                              | SENEGAL REPUBLIC OF 6.25% 05/23/2033 144A                                                                | CUSIP: 81720TAC9<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |     590000 | PA      | $491285.63     | 0.00%             | 2033-05-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#727139                                                                         | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33958 | PA      | $33576.01      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEXION INC                                                                       | HEXION TERM 2LN 02/09/2030                                                                               | CUSIP: 42829JAB5<br>LEI: 54930030FZF8HYAEHM46 | Long             | LON              | CORP              | US        |     675000 | PA      | $513000.00     | 0.00%             | 2030-02-09      | Variable      | 0.11%                 | No            |                  3 | On Loan: No      |
| MSCCG TR 2018-SELF                                                               | MSCCG TR 2018-SELF 1ML+305 10/15/2037 144A                                                               | CUSIP: 55358PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     443228 | PA      | $415524.23     | 0.00%             | 2037-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/28 #457547                                                                                 | CUSIP: 31381DHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1032 | PA      | $1048.00       | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 4.5% 05/15/2047                                                                       | CUSIP: 698299BG8<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     350000 | PA      | $275625.00     | 0.00%             | 2047-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIGICEL LTD                                                                      | DIGICEL LTD 6.75% 03/01/2023 144A                                                                        | CUSIP: 25380QAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     404000 | PA      | $153520.00     | 0.00%             | 2023-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STRATUS STATIC CLO 2022-1 LTD                                                    | STRATUS STATIC CLO 2022-1 LTD TSFR3M+175 07/20/2030 144A                                                 | CUSIP: 86317WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    2766206 | PA      | $2724707.78    | 0.01%             | 2030-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX LLC                                                             | SMYRNA READY MIX CONCRETE TERM B 1LN 04/01/2029                                                          | CUSIP: N/A<br>LEI: 549300S7RFWHQFOIOY93       | Long             | LON              | CORP              | US        |     573562 | PA      | $562091.25     | 0.00%             | 2029-04-01      | Variable      | 0.08%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/32 #545813                                                                                  | CUSIP: 31385JK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        208 | PA      | $220.59        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2011-C4                                                        | WFRBS 2011-C4 E 5.248784% 6/44                                                                           | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183000 | PA      | $146523.85     | 0.00%             | 2044-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2039#AB0051                                                                         | CUSIP: 31416VBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92711 | PA      | $91680.10      | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2% 10/01/2035#BK5705                                                                           | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4998369 | PA      | $4511855.83    | 0.02%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    4000000 | NC      | $54722.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/35 #835485                                                                                 | CUSIP: 31407NF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3751 | PA      | $3926.23       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/28 #780777                                                                                  | CUSIP: 36225A2J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        151 | PA      | $154.73        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                  | FX Forward: USD/EUR settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |          1 | NC      | $2880.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #733737                                                                                  | CUSIP: 3620AMEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4326 | PA      | $4284.52       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 08/01/2031#BC2778                                                                         | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2470710 | PA      | $2336829.89    | 0.01%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 7/41 #769093                                                                                  | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12157 | PA      | $11742.66      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DYNASTY ACQUISITION CO INC                                                       | STANDARDAERO TERM B-1 04/08/2026                                                                         | CUSIP: 26812CAE6<br>LEI: 549300L1RCRPOAUCB870 | Long             | LON              | CORP              | US        |    1023054 | PA      | $981916.78     | 0.01%             | 2026-04-08      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BBCMS 2016-ETC MTG TR                                                            | BBCMS 2016-ETC D CSTR 08/14/36 144A                                                                      | CUSIP: 05491LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     483000 | PA      | $385368.65     | 0.00%             | 2036-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC42                                                         | GS MTG SECS TR 2019-GC42 2.8% 09/01/2052 144A                                                            | CUSIP: 36257UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     609000 | PA      | $386296.50     | 0.00%             | 2052-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 9/39 #724340                                                                                  | CUSIP: 3620AAV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9921 | PA      | $9816.62       | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 6/34 #779118                                                                                  | CUSIP: 31404USF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3087 | PA      | $3056.03       | 0.00%             | 2034-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.5% 03/43 #AR8173                                                                                  | CUSIP: 3138W6CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153022 | PA      | $144408.94     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2042#Q13653                                                                         | CUSIP: 3132HQBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35775 | PA      | $34888.28      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/26 #442063                                                                                 | CUSIP: 36207UB80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        263 | PA      | $267.72        | 0.00%             | 2026-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT                      | HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 0.625% 09/16/2028 REGS                       | CUSIP: N/A<br>LEI: 969500I3QVK40XEORU25       | Long             | DBT              | CORP              | FR        |    1000000 | PA      | $832271.88     | 0.00%             | 2028-09-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 11/15/2033#622161                                                                         | CUSIP: 36291AFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8920 | PA      | $8932.33       | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 10/01/2042#C04268                                                                         | CUSIP: 31292LW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52628 | PA      | $47780.57      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRAVELPORT FIN (LUX) SARL                                                        | TRAVELPORT TERM 1LN 05/30/2026                                                                           | CUSIP: N/A<br>LEI: 2221005SGFWYZHL40F77       | Long             | LON              | CORP              | LU        |    2174171 | PA      | $1461043.17    | 0.01%             | 2026-05-30      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 02/01/2046#G60481                                                                         | CUSIP: 31335ARA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1474140 | PA      | $1388299.69    | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#RA6510                                                                           | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6721376 | PA      | $5560612.20    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#CB2350                                                                           | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5059546 | PA      | $4177869.93    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                              | HUNGARY REPUBLIC OF 5.5% 06/16/2034 144A                                                                 | CUSIP: 445545AQ9<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |     425000 | PA      | $405821.88     | 0.00%             | 2034-06-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.5% 07/15/2023                                                                                  | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    3588000 | PA      | $3566378.03    | 0.02%             | 2023-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 06/47#Q48876                                                                              | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     352894 | PA      | $351622.62     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 6.125% 01/18/2041                                                                   | CUSIP: 195325BM6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      60000 | PA      | $47100.00      | 0.00%             | 2041-01-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/28 #251975                                                                                  | CUSIP: 31371G2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $125.05        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| APRO LLC                                                                         | UNITED PACIFIC TERM B 1LN 11/14/2026                                                                     | CUSIP: 03834XAM5<br>LEI: 549300HALLMPVGYAKP14 | Long             | LON              | CORP              | US        |    1583929 | PA      | $1532451.52    | 0.01%             | 2026-11-14      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                         | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   11904000 | PA      | $9863193.95    | 0.05%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 04/01/2029#                                                                                 | CUSIP: 31293PFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.18         | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE1 MTG TR                                                           | COMM 2012-CCRE1 G 2.462% 05/15/2045 144A                                                                 | CUSIP: 12624BAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425000 | PA      | $118624.17     | 0.00%             | 2045-05-15      | Fixed         | 0.02%                 | No            |                  3 | On Loan: No      |
| CENOVUS ENERGY INC                                                               | CENOVUS ENERGY INC 6.75% 11/15/2039                                                                      | CUSIP: 15135UAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1902000 | PA      | $2001104.68    | 0.01%             | 2039-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 5.141% 03/15/2052 144A                                                                    | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   41680000 | PA      | $32296207.31   | 0.17%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#736148                                                                         | CUSIP: 31402RZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49572 | PA      | $49005.78      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                             | DUKE ENERGY CORP NEW 2.45% 06/01/2030                                                                    | CUSIP: 26441CBH7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    6067000 | PA      | $5098391.32    | 0.03%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SASOL FING USA LLC                                                               | SASOL FING USA LLC 5.875% 03/27/2024                                                                     | CUSIP: 80386WAA3<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1158358.50    | 0.01%             | 2024-03-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/41 #772060                                                                                  | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14112 | PA      | $13633.84      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US 5YR NOTE (CBT) FUT MAR23 FVH3                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        494 | NC      | $321784.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 02/01/2043#AR5858                                                                         | CUSIP: 3138W3QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104157 | PA      | $95521.07      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC39                                                         | GS MTG SECS TR 2019-GC39 D 3% 05/10/2052 144A                                                            | CUSIP: 36260JAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672000 | PA      | $465423.30     | 0.00%             | 2052-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2007-57 SA 4062-6*1ML 6/37                                                                           | CUSIP: 31396WJV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      21491 | PA      | $28477.60      | 0.00%             | 2037-06-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 1.038/VAR 06/18/2025 144A                                                        | CUSIP: 83368RBE1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   36500000 | PA      | $33304242.14   | 0.17%             | 2025-06-18      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 07/01/2029#                                                                                 | CUSIP: 31292G4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        463 | PA      | $473.21        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/28 #415853                                                                                  | CUSIP: 31379C5N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         85 | PA      | $88.01         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4.125% 10/31/2027                                                                              | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  243059000 | PA      | $246154205.67  | 1.29%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/28 #450333                                                                                  | CUSIP: 36208GHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         68 | PA      | $69.23         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 8.00% 8/30 #C01034                                                                                  | CUSIP: 31292HEF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $19.61         | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TRUCK HERO INC                                                                   | TRUCK HERO TERM B 1LN 01/29/2028                                                                         | CUSIP: 89778PAG2<br>LEI: 54930007KT5CX7XNSD31 | Long             | LON              | CORP              | US        |    1546450 | PA      | $1303657.35    | 0.01%             | 2028-01-29      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORPORATION SAB DE CV                                              | ORBIA ADVANCE CORPORATION SAB DE CV 1.875% 05/11/2026 144A                                               | CUSIP: 68560EAA6<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |     890000 | PA      | $765400.00     | 0.00%             | 2026-05-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #745228                                                                                  | CUSIP: 3620C04M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128179 | PA      | $126961.53     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/27 #251286                                                                                 | CUSIP: 31371GCX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        104 | PA      | $107.71        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                        | SAUDI ARABIAN OIL COMPANY 3.5% 04/16/2029 144A                                                           | CUSIP: 80414L2D6<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    2590000 | PA      | $2395750.00    | 0.01%             | 2029-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2% 11/15/2041                                                                | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  219450000 | PA      | $159829892.03  | 0.84%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/28 #414333                                                                                  | CUSIP: 31379BHJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        164 | PA      | $171.22        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 09/01/2051#QC7496                                                                           | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     965822 | PA      | $858427.08     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/32 #581406                                                                                  | CUSIP: 36201E3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        158 | PA      | $166.19        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 7/39 #703035                                                                                  | CUSIP: 36296WBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21863 | PA      | $21144.87      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                            | TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030                                                           | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2221000 | PA      | $1950880.58    | 0.01%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                            | MINERAL RES LTD 8.5% 05/01/2030 144A                                                                     | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |    3790000 | PA      | $3840842.09    | 0.02%             | 2030-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                      | BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028                                                             | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    7625000 | PA      | $7100586.97    | 0.04%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AZALEA TOPCO INC                                                                 | PRESS GANEY TERM 1LN 07/25/2026                                                                          | CUSIP: 29102TAB8<br>LEI: 549300KISPZJ80F65D65 | Long             | LON              | CORP              | US        |     809739 | PA      | $747996.73     | 0.00%             | 2026-07-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| LAGARDERE SA                                                                     | LAGARDERE SA 2.125% 10/16/2026 REGS                                                                      | CUSIP: N/A<br>LEI: 969500VX2NV2AQQ65G45       | Long             | DBT              | CORP              | FR        |    1100000 | PA      | $1094299.54    | 0.01%             | 2026-10-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GARDEN SPINCO CORP                                                               | GARDEN SPINCO CORP 8.625% 07/20/2030 144A                                                                | CUSIP: 365417AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     580000 | PA      | $615752.82     | 0.00%             | 2030-07-20      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2043#Q21605                                                                         | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82658 | PA      | $80558.40      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.9% 06/01/2052          | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22000000 | PA      | $14612398.46   | 0.08%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 7.5% 11/01/2031#                                                                               | CUSIP: 31298YTZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $311.90        | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2019                                                              | BX COML MTG TR 2019-XCALM AL 1ML+88.72 11/25/2286 144A                                                   | CUSIP: 05608FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     582243 | PA      | $568778.39     | 0.00%             | 2032-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DELEK OVERRIDING ROYALTY LEVIATHAN LTD                                           | DELEK OVERRIDING ROYALTY LEVIATHAN LTD 7.494% 12/30/2023 144A REGS                                       | CUSIP: N/A<br>LEI: 894500UTDMYAFMZ5VY86       | Long             | DBT              | CORP              | IL        |    1780000 | PA      | $1771990.00    | 0.01%             | 2023-12-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 3/38 #889219                                                                                  | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30317 | PA      | $31898.01      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.91%/VAR 05/24/2033                                                                       | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   54777000 | PA      | $52153944.74   | 0.27%             | 2033-05-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                           | DISCOVER FINANCIAL SVS 4.1% 02/09/2027                                                                   | CUSIP: 254709AM0<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    6829000 | PA      | $6416413.88    | 0.03%             | 2027-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 06/01/2044#Q26541                                                                         | CUSIP: 3132M65A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39268 | PA      | $38220.95      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 12/01/2042#G61830                                                                           | CUSIP: 31335CA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1210029 | PA      | $1170744.36    | 0.01%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 12/01/2047#G61305                                                                           | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5355338 | PA      | $5164074.51    | 0.03%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/29 #453080                                                                                  | CUSIP: 36208KJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        180 | PA      | $186.99        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2046#AS4297                                                                           | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190059 | PA      | $178645.98     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/23 #352113                                                                                  | CUSIP: 36203LDS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $14.81         | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                       | GRAPHIC PACKAGING INTL INC 3.75% 02/01/2030 144A                                                         | CUSIP: 38869AAD9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     610000 | PA      | $517841.20     | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 9/35 #255951                                                                                  | CUSIP: 31371MH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        630 | PA      | $671.15        | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MFT TRUST                                                                        | MFT TRUST 3.392% 07/10/2039 144A                                                                         | CUSIP: 55316TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399000 | PA      | $280024.22     | 0.00%             | 2040-08-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/39 #698474                                                                                  | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     329509 | PA      | $326116.79     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                              | ASHFORD HOSPITALITY TRUST 2018-ASHF 3ML+310 04/15/2035 144A                                              | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     397000 | PA      | $360613.12     | 0.00%             | 2035-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 5/40 #A92286                                                                                  | CUSIP: 312940RF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4015 | PA      | $3995.71       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 8/41 #Q02511                                                                                  | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16185 | PA      | $16088.75      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 04/20/46#AS7319                                                                             | CUSIP: 36193TDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55112 | PA      | $51854.29      | 0.00%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                      | PHILLIPS 66 3.7% 04/06/2023                                                                              | CUSIP: 718546AU8<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    1014000 | PA      | $1011534.60    | 0.01%             | 2023-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP2                                                               | SREIT TR 2021-MFP2 1ML+391.55 11/15/2036 144A                                                            | CUSIP: 85236WCU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1795000 | PA      | $1649860.07    | 0.01%             | 2036-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 5/39 #G05457                                                                                  | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100395 | PA      | $99804.80      | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                   | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                          | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    8220000 | PA      | $7194744.55    | 0.04%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 9/25 #405143                                                                                  | CUSIP: 36206ABL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        667 | PA      | $680.72        | 0.00%             | 2025-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORPORATION SAB DE CV                                              | ORBIA ADVANCE CORPORATION SAB DE CV 2.875% 05/11/2031 144A                                               | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |     725000 | PA      | $572586.88     | 0.00%             | 2031-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2% 12/01/2052 #TBA                                                                             | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  628275000 | PA      | $516716920.31  | 2.70%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 04/01/2029#                                                                                 | CUSIP: 31293NPA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        229 | PA      | $230.86        | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 2/42 #AK2525                                                                                  | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21250 | PA      | $20546.31      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/39 #935520                                                                                  | CUSIP: 31412UYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2133 | PA      | $2119.73       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC 3.691/VAR 06/05/2028                                                             | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   72922000 | PA      | $68199302.20   | 0.36%             | 2028-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #776736                                                                                  | CUSIP: 31404R4V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12580 | PA      | $12451.06      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020                                  | JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020-COR7 D 1.75% 05/13/2053 144A                             | CUSIP: 46652JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399000 | PA      | $236231.90     | 0.00%             | 2053-05-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2051#CB2164                                                                           | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9899831 | PA      | $8839235.11    | 0.05%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                         | SOUTH AFRICA REPUBLIC OF 4.85% 09/30/2029                                                                | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     335000 | PA      | $302714.38     | 0.00%             | 2029-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 4.5% 12/01/2052 #TBA                                                                           | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   58500000 | PA      | $56946123.00   | 0.30%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                    | VOLKSWAGEN GROUP AMER FIN LLC 3.125% 05/12/2023 144A                                                     | CUSIP: 928668BD3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   10902000 | PA      | $10800981.85   | 0.06%             | 2023-05-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                       | VOLKSWAGEN INTL FINANCE NV 3.375/VAR PERP REGS                                                           | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    2500000 | PA      | $2464921.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 01/01/2032#C91417                                                                         | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13027 | PA      | $12606.02      | 0.00%             | 2032-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 2.659% 05/24/2031                                                           | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     665000 | PA      | $551617.50     | 0.00%             | 2031-05-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-LC11                                      | JP MORGAN CH CMS 13-LC11 3.96% 04/15/2046                                                                | CUSIP: 46639YAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     584000 | PA      | $552234.84     | 0.00%             | 2046-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2011-4 PZ 5% 2/41                                                                                    | CUSIP: 31397QKY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     291983 | PA      | $282023.75     | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LUXEMBOURG INVESTMENT CO 428 SARL                                                | HEUBACH GROUP TERM B 1LN 01/03/2029                                                                      | CUSIP: N/A<br>LEI: 254900EYK4430ZH92J61       | Long             | LON              | CORP              | LU        |     766150 | PA      | $615471.28     | 0.00%             | 2029-01-03      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/28 #490591                                                                                  | CUSIP: 36210E7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         59 | PA      | $61.23         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/40 #AE3764                                                                                 | CUSIP: 31419EFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7374 | PA      | $7126.38       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEARNING CARE GROUP (US) NO. 2 INC                                               | LEARNING CARE TERM B 1LN 3/13/25                                                                         | CUSIP: 52201CAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1014410 | PA      | $944040.76     | 0.00%             | 2025-03-13      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/41 #AJ3485                                                                                 | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25718 | PA      | $24839.35      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 12/27 #405312                                                                                 | CUSIP: 31378QGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $226.08        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OOREDOO INTERNATIONAL FINANCE LTD                                                | OOREDOO INTL FIN LTD 2.625% 04/08/2031 144A                                                              | CUSIP: 74735KAA0<br>LEI: 549300BHXCDJ03WU7N77 | Long             | DBT              | CORP              | BM        |     670000 | PA      | $572850.00     | 0.00%             | 2031-04-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 3/28 #492905                                                                                  | CUSIP: 31382UR24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $45.82         | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                                  | AIMCO CLO SER 2018-BA AR 3ML+110 01/15/2032 144A                                                         | CUSIP: 00900PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7740000 | PA      | $7587638.10    | 0.04%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/31 #545140                                                                                  | CUSIP: 36212VS59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1320 | PA      | $1381.61       | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2021-CIP                                                          | BX COML MTG TR 2021-CIP 1ML+397.69 11/15/2036 144A                                                       | CUSIP: 12434FAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     998000 | PA      | $860760.43     | 0.00%             | 2038-12-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 3.75% 03/26/2025                                                                    | CUSIP: 225433AC5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    7059000 | PA      | $6257305.35    | 0.03%             | 2025-03-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2047#Q53017                                                                         | CUSIP: 3132XVK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     570033 | PA      | $565485.91     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q02130                                                                         | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3986 | PA      | $4065.65       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2034#775296                                                                         | CUSIP: 31404QKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8223 | PA      | $8129.80       | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 10/24 #385920                                                                                 | CUSIP: 36205BVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         24 | PA      | $24.04         | 0.00%             | 2024-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 06/15/2043#AD5649                                                                         | CUSIP: 36180HH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8692 | PA      | $8053.62       | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN GUARDIAN LTD                                                          | TRANSOCEAN GUARDIAN LTD 5.875% 01/15/2024 144A                                                           | CUSIP: 893800AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    2030051 | PA      | $1977453.32    | 0.01%             | 2024-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2010-170 B 4% 12/40                                                                                  | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     375043 | PA      | $365724.29     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 4.21%/VAR 04/20/2028                                                                      | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $19052009.20   | 0.10%             | 2028-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 07/01/2050#FM3742                                                                         | CUSIP: 3140X7EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9117987 | PA      | $7902174.70    | 0.04%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                 | ISRAEL STATE OF 3.8% 05/13/2060 REGS                                                                     | CUSIP: N/A<br>LEI: 213800T8ZHTFZIBYPE21       | Long             | DBT              | NUSS              | IL        |     515000 | PA      | $402781.50     | 0.00%             | 2060-05-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                        | EGYPT (ARAB) REPUBLIC OF 7.5% 02/16/2061 144A                                                            | CUSIP: 03846JAC4<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     605000 | PA      | $384175.00     | 0.00%             | 2061-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/29 #458547                                                                                  | CUSIP: 36208RL44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $101.30        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                                           | OPEN TEXT HOLDINGS INC 4.125% 12/01/2031 144A                                                            | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     385000 | PA      | $298798.50     | 0.00%             | 2031-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/30 #781130                                                                                  | CUSIP: 36225BHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        179 | PA      | $185.19        | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J and J VENTURES GAMING LLC                                                      | J and J VENTURES GAMING TERM 1LN 04/26/28                                                                | CUSIP: 46604BAB4<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |    1044698 | PA      | $1000956.60    | 0.01%             | 2028-04-26      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3336 LI 1ML+658 6/37                                                                                 | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     100389 | PA      | $11154.99      | 0.00%             | 2037-06-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 11/40 #004854                                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24421 | PA      | $24273.76      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/27 #313687                                                                                  | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        366 | PA      | $376.04        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/28 #433689                                                                                  | CUSIP: 36207JXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        151 | PA      | $155.04        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 2/27 #439497                                                                                  | CUSIP: 36207RGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         95 | PA      | $98.44         | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2039#AC6492                                                                         | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10553 | PA      | $10489.81      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #722270                                                                                  | CUSIP: 3620A8MT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1990 | PA      | $2007.50       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 8/32 #C70220                                                                                  | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3541 | PA      | $3722.72       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 06/01/2035#                                                                                 | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3540 | PA      | $3581.71       | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#734073                                                                         | CUSIP: 31402NQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30350 | PA      | $30023.10      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/30 #532641                                                                                 | CUSIP: 36212FWA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        483 | PA      | $505.77        | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                             | PARAGUAY REPUBLIC OF 5.4% 03/30/2050 144A                                                                | CUSIP: 699149AH3<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     330000 | PA      | $277468.13     | 0.00%             | 2050-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                          | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    9000000 | NC      | $123125.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2432 FE 1ML+90 6/31                                                                                  | CUSIP: 31339NNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       5251 | PA      | $5291.67       | 0.00%             | 2031-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 4.1% 04/24/2028                                                                    | CUSIP: 455780CF1<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     705000 | PA      | $689137.50     | 0.00%             | 2028-04-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 5/39 #713327                                                                                  | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26153 | PA      | $26353.66      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GEOPARK LTD                                                                      | GEOPARK LTD 5.5% 01/17/2027 144A                                                                         | CUSIP: 37255BAB5<br>LEI: 529900ZR5QI19AH4KZ07 | Long             | DBT              | CORP              | BM        |     635000 | PA      | $548481.25     | 0.00%             | 2027-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                                                               | LEVIATHAN BOND LTD 5.75% 06/30/2023 144A REGS                                                            | CUSIP: N/A<br>LEI: 254900D9T8VKYVQNZ220       | Long             | DBT              | CORP              | IL        |     535000 | PA      | $533943.91     | 0.00%             | 2023-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OEC FIN LTD                                                                      | OEC FIN LTD PIK 4.375% 10/25/2029 144A                                                                   | CUSIP: 67614CAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      17096 | PA      | $396.63        | 0.00%             | 2029-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 7.00% 7/29 #C47273                                                                                  | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23961 | PA      | $25113.55      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNMA 13-149 MA 2.5% 5/20/40                                                                              | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1369324 | PA      | $1307364.66    | 0.01%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOHO CHINA ABS 2021                                                              | SOHO CHINA ABS 2021-SOHO D 2.78648% 08/10/2028 144A                                                      | CUSIP: 83410JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     618000 | PA      | $413048.58     | 0.00%             | 2038-08-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 11/15/2040#749935                                                                         | CUSIP: 3620C6EG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3672 | PA      | $3548.67       | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS INC                                                              | ASSUREDPARTNERS TERM B 1LN INCR 02/13/2027                                                               | CUSIP: 04621HAS2<br>LEI: 549300HNDSDQWQ3L2P80 | Long             | LON              | CORP              | US        |    1072672 | PA      | $1028960.47    | 0.01%             | 2027-02-13      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO LLC                                                      | ALLIED UNIVERSAL TERM B 1LN 05/14/2028                                                                   | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |    3930839 | PA      | $3710633.66    | 0.02%             | 2028-05-14      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| DEL MONTE FOODS INC                                                              | DEL MONTE FOODS TERM B 1LN 05/16/2029                                                                    | CUSIP: 24521TAJ5<br>LEI: 549300U9K7TD84Q24R17 | Long             | LON              | CORP              | US        |    3115000 | PA      | $3015070.80    | 0.02%             | 2029-05-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    1840000 | NC      | $25172.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 07/51#MA7473                                                                                  | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6137779 | PA      | $5573824.48    | 0.03%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 9/28 #486540                                                                                  | CUSIP: 36210APZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         78 | PA      | $79.88         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                             | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  111477000 | PA      | $77772625.78   | 0.41%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/28 #433788                                                                                  | CUSIP: 36207J2V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $99.66         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 2.55% 03/21/2031                                                              | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   30387000 | PA      | $25333354.14   | 0.13%             | 2031-03-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-VOLT                                                                     | BX 2021-VOLT G 1ML+295 09/15/2023 144A                                                                   | CUSIP: 05609VAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1440000 | PA      | $1315944.29    | 0.01%             | 2036-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 08/20/2045#MA3035                                                                           | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1447353 | PA      | $1414004.79    | 0.01%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARLOTTE BUYER INC                                                              | KINDRED TERM B 1LN 02/12/2028                                                                            | CUSIP: 12568YAD6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     890000 | PA      | $842536.30     | 0.00%             | 2028-02-12      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| CPT MORTGAGE TRUST 2019                                                          | CPT MORTGAGE TRUST 2019 CSTR 11/13/2039 144A                                                             | CUSIP: 12654YAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     714000 | PA      | $485312.30     | 0.00%             | 2039-11-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MARRIOTT OWNERSHIP RESORTS INC                                                   | MARRIOTT OWNERSHIP RESORTS TERM B 1LN 08/31/2025                                                         | CUSIP: 57163KAH1<br>LEI: BW4532OH033VURR0IT68 | Long             | LON              | CORP              | US        |    1050985 | PA      | $1036008.90    | 0.01%             | 2025-08-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/40#AE6588                                                                                | CUSIP: 31419HKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57209 | PA      | $55340.44      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 7/26 #256310                                                                                  | CUSIP: 31371MVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        692 | PA      | $699.17        | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 8/37 #G06089                                                                                  | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64953 | PA      | $68125.62      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/28 #434101                                                                                 | CUSIP: 36207KGJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         60 | PA      | $60.30         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.7% 02/16/2032                                                                      | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   11667000 | PA      | $8993506.95    | 0.05%             | 2032-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CA MAGNUM HOLDINGS                                                               | CA MAGNUM HOLDINGS 5.375% 10/31/2026 144A                                                                | CUSIP: 12674CAA1<br>LEI: 549300ZRDHFR078MFZ78 | Long             | DBT              | CORP              | MU        |     945000 | PA      | $831600.00     | 0.00%             | 2026-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 07/01/2033#709470                                                                           | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86386 | PA      | $86992.06      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 04/01/2043#G07345                                                                         | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     850176 | PA      | $832565.25     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ULTIMATE SOFTWARE GROUP INC                                                      | UKG TERM 1LN 05/03/2026                                                                                  | CUSIP: N/A<br>LEI: 529900FKHWSTQ1GXK240       | Long             | LON              | CORP              | US        |    7485976 | PA      | $7220822.96    | 0.04%             | 2026-05-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2.5% 12/01/2037 #TBA                                                                           | CUSIP: 01F0224C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -76200000 | PA      | $-70377847.56  | -0.37%            | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| CD 2017-CD3 MTG TR                                                               | CD 2017-CD3 MTG TR CSTR 02/10/2050                                                                       | CUSIP: 12515GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     813000 | PA      | $664814.08     | 0.00%             | 2050-02-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HYLAND SOFTWARE INC                                                              | HYLAND SOFTWARE TERM B 1LN AO 07/01/2024                                                                 | CUSIP: 44908XAT5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3152621 | PA      | $3103377.07    | 0.02%             | 2024-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                                                  | CITIGROUP COML MTG TR 2019-GC41 D 3% 08/10/2056 144A                                                     | CUSIP: 17328FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     546000 | PA      | $365301.85     | 0.00%             | 2056-08-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                             | BWX TECHNOLOGIES INC 4.125% 04/15/2029 144A                                                              | CUSIP: 05605HAC4<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |    1935000 | PA      | $1702800.00    | 0.01%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC29                                                  | CITIGROUP COML MTG TR 2015-GC29 XA CSTR 04/10/2048                                                       | CUSIP: 17323VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18411637 | PA      | $345453.86     | 0.00%             | 2048-04-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LEIGHTON FIN USA PTY LTD                                                         | LEIGHTON FIN USA PTY LTD 1.5% 05/28/2029 REGS                                                            | CUSIP: N/A<br>LEI: 213800SWJBM5VMCQJW54       | Long             | DBT              | CORP              | AU        |    3255000 | PA      | $2603975.48    | 0.01%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                        | CAESARS ENTERTAINMENT INC 6.25% 07/01/2025 144A                                                          | CUSIP: 28470RAH5<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |    2405000 | PA      | $2376867.46    | 0.01%             | 2025-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COVANTA HLDG CORP                                                                | COVANTA TERM B 1LN 11/30/2028                                                                            | CUSIP: N/A<br>LEI: 40XIFLS8XDQGGHGPGC04       | Long             | LON              | CORP              | US        |    1462546 | PA      | $1432081.16    | 0.01%             | 2028-11-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KNDR 2021-KIND F                                                                 | KNDR 2021-KIND F 1ML+405 08/15/2026 144A                                                                 | CUSIP: 482606AS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1105014 | PA      | $975466.75     | 0.01%             | 2038-08-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.0% 02/01/2045#AX6813                                                                              | CUSIP: 3138Y8SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46887 | PA      | $45537.45      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NETWORK I2I LTD                                                                  | NETWORK I2I LTD 5.65%/VAR PERP 144A                                                                      | CUSIP: 64132NAA4<br>LEI: 2549003L8M1FGHLHOX45 | Long             | EP               | CORP              | MU        |    1015000 | PA      | $962321.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/32 #653555                                                                                  | CUSIP: 31390RBY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1545 | PA      | $1653.42       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LSB INDUSTRIES INC                                                               | LSB INDUSTRIES INC 6.25% 10/15/2028 144A                                                                 | CUSIP: 502160AN4<br>LEI: 5493001H215A0HG0MI71 | Long             | DBT              | CORP              | US        |    2910000 | PA      | $2717707.20    | 0.01%             | 2028-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 5/39 #A86399                                                                                  | CUSIP: 312933DC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14473 | PA      | $14384.60      | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 11/41 #489862                                                                                 | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232382 | PA      | $224458.88     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY MORTGAGE TRUST                                                  | INTOWN 2022-STAY MORTGAGE TRUST TSFR1M+223.92 08/15/2037 144A                                            | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17389000 | PA      | $17214689.19   | 0.09%             | 2039-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 6/26 #342531                                                                                  | CUSIP: 31375RPQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $112.88        | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2043#Q23023                                                                         | CUSIP: 3132M3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270825 | PA      | $265214.61     | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 2/42 #Q06162                                                                                  | CUSIP: 3132GRFB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2017 | PA      | $1952.29       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 6.4% 06/05/2049 144A                                                                  | CUSIP: 25714PEB0<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     230000 | PA      | $186271.25     | 0.00%             | 2049-06-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ADECOAGRO SA                                                                     | ADECOAGRO SA 6% 09/21/2027 144A                                                                          | CUSIP: 00676LAA4<br>LEI: 529900Q00UR5LFELO811 | Long             | DBT              | CORP              | LU        |    1325000 | PA      | $1230014.06    | 0.01%             | 2027-09-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 06/47#Q48877                                                                                | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3412226 | PA      | $3317018.41    | 0.02%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/27 #404846                                                                                 | CUSIP: 31378PWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $51.25         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                                            | HUB TERM B 1LN 04/25/2025                                                                                | CUSIP: 44332EAU0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |    4036700 | PA      | $3967228.04    | 0.02%             | 2025-04-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 08/01/2043#Q20763                                                                         | CUSIP: 3132JMZ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34741 | PA      | $33858.12      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                | BENCHMARK 2020-B18 MORTGAGE TRUST 4.534% 07/15/2053 144A                                                 | CUSIP: 08163ABT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1113000 | PA      | $896049.14     | 0.00%             | 2053-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-EXCL                                                               | BX TRUST 2019-IMC G 1ML+360 04/15/2034 144A                                                              | CUSIP: 05608BAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     861000 | PA      | $792475.33     | 0.00%             | 2034-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 5.95% 01/25/2027 144A                                                                 | CUSIP: 25714PDT2<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    1164000 | PA      | $1131844.50    | 0.01%             | 2027-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HERSCHEND ENTERTAINMENT CO LLC                                                   | HERSCHEND FAMILY TERM B 1LN 08/27/2028                                                                   | CUSIP: 42778EAF8<br>LEI: 54930087KQ7RPDXK0716 | Long             | LON              | CORP              | US        |     697950 | PA      | $687480.75     | 0.00%             | 2028-08-27      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| TRITON WATER HOLDINGS                                                            | TRITON WATER HOLDINGS TERM B 1LN 03/31/2028                                                              | CUSIP: 89678QAB2<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | LON              | CORP              | US        |    5201030 | PA      | $4784947.90    | 0.03%             | 2028-03-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 5/40 #736729                                                                                  | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76650 | PA      | $75922.26      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 4/26 #313275                                                                                  | CUSIP: 31374F6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        337 | PA      | $343.56        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                          | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    3770000 | NC      | $51575.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #745196                                                                                  | CUSIP: 3620C03D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51104 | PA      | $50618.56      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2046#AL8990                                                                         | CUSIP: 3138ET7C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2466571 | PA      | $2319260.66    | 0.01%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ADANI ELECTRICITY MUMBAI LTD                                                     | ADANI ELECTRICITY MUMBAI LTD 3.867% 07/22/2031 144A                                                      | CUSIP: 00654GAB9<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | IN        |     470000 | PA      | $331758.90     | 0.00%             | 2031-07-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 2/35 #808051                                                                                  | CUSIP: 31406EWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4933 | PA      | $4882.15       | 0.00%             | 2035-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                         | CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034                                                            | CUSIP: 162665AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15924750 | PA      | $15614074.39   | 0.08%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 3.5% 09/01/2030                                                                                  | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   20318000 | PA      | $17462711.46   | 0.09%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2019                                                      | JPMDB COML MTG SECS TR 2019 2.5% 11/13/2052 144A                                                         | CUSIP: 48129RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315000 | PA      | $211037.02     | 0.00%             | 2052-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                                                 | TRINET GROUP INC 3.5% 03/01/2029 144A                                                                    | CUSIP: 896288AA5<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |    2865000 | PA      | $2381531.25    | 0.01%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEXION HOLDINGS CORPORATION                                                      | HEXION TERM 1LN 03/15/2029                                                                               | CUSIP: 00217XAB2<br>LEI: 549300LBB370MUHGLV84 | Long             | LON              | CORP              | US        |    3960075 | PA      | $3377943.98    | 0.02%             | 2029-03-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 04/01/2043#Q16915                                                                         | CUSIP: 3132J8DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32484 | PA      | $29818.15      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENCENT HLDGS LTD                                                                | TENCENT HLDGS LTD 2.39% 06/03/2030 144A                                                                  | CUSIP: 88032WAU0<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     435000 | PA      | $351262.50     | 0.00%             | 2030-06-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                   | OMAN SULTANATE 6% 08/01/2029 144A                                                                        | CUSIP: 68205LAB9<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     720000 | PA      | $711000.00     | 0.00%             | 2029-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/30 #549602                                                                                  | CUSIP: 31385QRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $193.73        | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/45#AY3962                                                                                | CUSIP: 3138YHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28600 | PA      | $27722.82      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                              | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1.75% 01/14/2025 REGS                                                | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | DBT              | CORP              | SE        |    1271000 | PA      | $1107454.83    | 0.01%             | 2025-01-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | ONEMAIN FINANCE CORP 5.375% 11/15/2029                                                                   | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1670400.00    | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROLLER BEARING CO OF AMERICA                                                     | ROLLER BEARING CO OF AMERICA 4.375% 10/15/2029 144A                                                      | CUSIP: 775631AD6<br>LEI: 254900U9XW6S76H2P167 | Long             | DBT              | CORP              | US        |    2085000 | PA      | $1825938.75    | 0.01%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | UNUM GROUP 4% 06/15/2029                                                                                 | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    8872000 | PA      | $8048633.06    | 0.04%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 1/29 #323500                                                                                  | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        231 | PA      | $237.41        | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 11/1/42 #Q13479                                                                             | CUSIP: 3132HP2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9115 | PA      | $8367.14       | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RES L P / EER FIN INC                                            | ENDEAVOR ENERGY RES L P / EER FIN INC 5.75% 01/30/2028 144A                                              | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2199000 | PA      | $2164255.80    | 0.01%             | 2028-01-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RLJ LODGING TR                                                                   | RLJ LODGING TR SER A PC 1.95% PERP                                                                       | CUSIP: 74965L200<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      11325 | NS      | $279727.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 04/01/2043#Q16749                                                                         | CUSIP: 3132J75K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11678 | PA      | $11388.24      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 3.797%/VAR 07/23/2024                                                              | CUSIP: 46647PAU0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   25215000 | PA      | $24948673.62   | 0.13%             | 2024-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2016-P4                                                    | CITIGROUP COML MTG TR 2016-P4 D CSTR 07/10/2049                                                          | CUSIP: 29429EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     965000 | PA      | $757273.81     | 0.00%             | 2049-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| KKR CLO 41 LTD                                                                   | KKR CLO 41 LTD 22-41A A1 TSFR3M+133 04/15/2035 144A                                                      | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   21121000 | PA      | $20194147.16   | 0.11%             | 2035-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/30 #493519                                                                                 | CUSIP: 36210JG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        332 | PA      | $344.93        | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 8/27 #780622                                                                                  | CUSIP: 36225AVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        136 | PA      | $140.63        | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| COLGATE ENERGY PARTNERS III LLC                                                  | COLGATE ENERGY PARTNERS III LLC 7.75% 02/15/2026 144A                                                    | CUSIP: 19416MAA7<br>LEI: 549300QRLZK0B17DH791 | Long             | DBT              | CORP              | US        |     910000 | PA      | $902103.03     | 0.00%             | 2026-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/39 #713199                                                                                  | CUSIP: 36297JKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3356 | PA      | $3380.97       | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/25 #329280                                                                                 | CUSIP: 31375AXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $142.47        | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 7/32 #254379                                                                                  | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        869 | PA      | $923.05        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/41 #AJ4198                                                                                 | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78925 | PA      | $76293.01      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCIL IV LLC / SCIL USA HOLDINGS LLC                                              | SCIL IV LLC / SCIL USA HOLDINGS LLC 5.375% 11/01/2026 144A                                               | CUSIP: 78397UAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $921514.00     | 0.00%             | 2026-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                             | EMIRATE OF ABU DHABI 3.875% 04/16/2050 144A                                                              | CUSIP: 29135LAJ9<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    9890000 | PA      | $8207463.75    | 0.04%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG ENERGY INC 3.375% 02/15/2029 144A                                                                    | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1830000 | PA      | $1520463.33    | 0.01%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FINANCE BV                                                     | TRIVIUM PACKAGING FINANCE BV 5.5% 08/15/2026 144A                                                        | CUSIP: 89686QAA4<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | CORP              | NL        |    4023000 | PA      | $3761353.41    | 0.02%             | 2026-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 10/01/2042#AB6723                                                                         | CUSIP: 31417DPH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42589 | PA      | $41128.93      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC17 MTG TR                                                            | COMM 2014-LC17 XA CSTR 10/47                                                                             | CUSIP: 12592MBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21172947 | PA      | $198263.47     | 0.00%             | 2047-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2047#BE5550                                                                         | CUSIP: 3140FREY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87960 | PA      | $87259.52      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                 | HILTON DOMESTIC OPERATING CO INC 5.75% 05/01/2028 144A                                                   | CUSIP: 432833AH4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     230000 | PA      | $225464.40     | 0.00%             | 2028-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/28 #433616                                                                                  | CUSIP: 36207JVH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        294 | PA      | $300.44        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2.5% 10/01/2037#BM1951                                                                         | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     898643 | PA      | $831891.82     | 0.00%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                                 | MISYS LIMITED TERM 2LN 06/13/2025                                                                        | CUSIP: 02034DAF4<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |     697000 | PA      | $532772.86     | 0.00%             | 2025-06-13      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS HEALTH CORP 3.625% 04/01/2027                                                                        | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3769000 | PA      | $3614626.13    | 0.02%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 8/33 #A12833                                                                                  | CUSIP: 31296MEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4164 | PA      | $4203.36       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                      | PETROBRAS GLOBAL FINANCE BV 6.75% 06/03/2050                                                             | CUSIP: 71647NBG3<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     860000 | PA      | $732333.00     | 0.00%             | 2050-06-03      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TR 2022-LBA6                                                                  | BX TR 2022-LBA6 TSFR1M+160 01/15/2039 144A                                                               | CUSIP: 12433EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     577000 | PA      | $538420.34     | 0.00%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/25 #328609                                                                                 | CUSIP: 31375AAJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.97         | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2043#AV0047                                                                         | CUSIP: 3138XBBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5736 | PA      | $5742.55       | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 07/01/2035#                                                                                 | CUSIP: 31297R4W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        897 | PA      | $906.98        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 01/01/2052#RA6622                                                                         | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8640088 | PA      | $7427248.42    | 0.04%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 6.375% 10/14/2025                                                                     | CUSIP: 900123CZ1<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     220000 | PA      | $210100.00     | 0.00%             | 2025-10-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                     | CHS/CMNTY HEALTH SYSTEMS INC 8% 12/15/2027 144A                                                          | CUSIP: 12543DBD1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1771410.00    | 0.01%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/32 #576466                                                                                  | CUSIP: 36200YMP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        182 | PA      | $189.73        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                                                    | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1147558 | PA      | $1057641.86    | 0.01%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2020-SFR1 TR                                                | PROGRESS RESIDENTIAL 2020-SFR1 TR 4.028% 04/17/2037 144A                                                 | CUSIP: 74331CAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     378000 | PA      | $341893.33     | 0.00%             | 2037-04-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 11/01/2051#QD0399                                                                           | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     523045 | PA      | $432879.97     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                        | EGYPT (ARAB) REPUBLIC OF 5.8% 09/30/2027 144A                                                            | CUSIP: 03846JAD2<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     540000 | PA      | $444825.00     | 0.00%             | 2027-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG 4.988%/VAR 08/05/2033 REGS                                                                  | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |     500000 | PA      | $465835.30     | 0.00%             | 2033-08-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/45#AS5892                                                                              | CUSIP: 3138WFRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29342 | PA      | $27616.91      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE8135                                                                           | CUSIP: 31419KBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30056 | PA      | $29037.83      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                    | CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA                                                             | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6805000 | PA      | $8744686.99    | 0.05%             | 2039-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT                              | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT E 1ML+320 03/15/2034 144A                            | CUSIP: 05525DAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     567000 | PA      | $522228.49     | 0.00%             | 2034-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| KUEHG CORP                                                                       | KINDERCARE TERM B EXT 02/21/2025                                                                         | CUSIP: 48244EAJ3<br>LEI: 549300YNT566T1NYJX62 | Long             | LON              | CORP              | US        |    2601138 | PA      | $2488560.58    | 0.01%             | 2025-02-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/33 #781769                                                                                 | CUSIP: 36225B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2125 | PA      | $2125.22       | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 11/15/2041#656540                                                                           | CUSIP: 36294QLV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1634 | PA      | $1595.64       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 9/41 #AH4609                                                                                  | CUSIP: 3138A6DP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8780 | PA      | $8490.41       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 1/28 #549726                                                                                  | CUSIP: 31385QVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        572 | PA      | $584.06        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/40 #A91160                                                                                  | CUSIP: 312939JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5046 | PA      | $5019.56       | 0.00%             | 2040-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EP ENERGY CORP                                                                   | EP ENERGY CORP ESCROW                                                                                    | CUSIP: N/A<br>LEI: 549300Z6HPQS1H5IYQ07       | Long             | EC               | CORP              | US        |       3729 | NS      | $31211.73      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/27 #368817                                                                                  | CUSIP: 31376XVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1145 | PA      | $1181.19       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2022-GC48                                                  | CITIGROUP COML MTG TR 2022-GC48 2.5% 06/15/2055 144A                                                     | CUSIP: 29426VAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1029000 | PA      | $594178.76     | 0.00%             | 2055-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2041#A96822                                                                           | CUSIP: 312945SK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     391131 | PA      | $378466.25     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 8/33 #G01584                                                                                  | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1525 | PA      | $1537.19       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 7.00% 8/26 #256430                                                                             | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2421 | PA      | $2464.45       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/32 #584361                                                                                  | CUSIP: 36201JFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        279 | PA      | $290.27        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 02/01/2044#AV5017                                                                         | CUSIP: 3138XGSF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63367 | PA      | $61661.75      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/48#CA1564                                                                              | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216317 | PA      | $213986.29     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 03/01/2033#BM4614                                                                           | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     737878 | PA      | $705552.87     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIGITALBRIDGE ISSUER LLC / DIGITALBRIDGE CO-ISSUER LLC                           | DIGITALBRIDGE ISSUER LLC / DIGITALBRIDGE CO-ISSUER LLC 3.933% 09/25/2051 144A                            | CUSIP: 25402JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     557000 | PA      | $471191.37     | 0.00%             | 2051-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                                        | EQM MIDSTREAM PARTNERS LP 7.5% 06/01/2027 144A                                                           | CUSIP: 26885BAM2<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     650000 | PA      | $656896.50     | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/40 #704995                                                                                  | CUSIP: 36296YGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13247 | PA      | $13376.04      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2018-TECH                                               | NATIXIS COML MTG SECS TR 2018 1ML+300 11/15/2034 144A                                                    | CUSIP: 63874LAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138000 | PA      | $129527.78     | 0.00%             | 2034-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 6/41 #768770                                                                                  | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15949 | PA      | $15403.80      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 5% 12/01/2052 #TBA                                                                             | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   58450000 | PA      | $58194252.03   | 0.30%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                   | EXTENDED STAY AMER TR 2021-ESH A 1ML+108 07/15/2038 144A                                                 | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7387823 | PA      | $7105356.72    | 0.04%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/37 #942981                                                                                  | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7667 | PA      | $8061.93       | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KAZMUAIGAZ NATIONAL CO JSC                                                       | KAZMUNAYGAS NATIONAL CO JSC 4.75% 04/24/2025 144A                                                        | CUSIP: 48667QAR6<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     152000 | PA      | $146043.50     | 0.00%             | 2025-04-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 3/31 #489936                                                                                  | CUSIP: 36210EHM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        561 | PA      | $595.02        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                                      | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   42674000 | PA      | $38474878.40   | 0.20%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENEZUELA, REPUBLIC OF                                                           | VENEZUELA REPUBLIC OF 12.75% 12/31/2049 REGS                                                             | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | VE        |     199600 | PA      | $13972.00      | 0.00%             | 2049-12-31      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2002-18 FD 1ML+80 2/32                                                                               | CUSIP: 31392CHM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       2716 | PA      | $2731.34       | 0.00%             | 2032-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                       | DCP MIDSTREAM LLC 5.85%/VAR 05/21/2043 144A                                                              | CUSIP: 23311RAH9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    9176000 | PA      | $8976901.26    | 0.05%             | 2043-05-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 05/01/2029#                                                                                 | CUSIP: 31293PXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        533 | PA      | $545.24        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KENYA REPUBLIC OF                                                                | KENYA REPUBLIC OF 7% 05/22/2027 144A                                                                     | CUSIP: 491798AJ3<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |     485000 | PA      | $433468.75     | 0.00%             | 2027-05-22      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2048#Q55141                                                                           | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21898 | PA      | $21163.86      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/30 #515361                                                                                  | CUSIP: 36211KQN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        251 | PA      | $261.97        | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 6/34 #783691                                                                                  | CUSIP: 31405AUQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24390 | PA      | $24123.29      | 0.00%             | 2034-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.25% 01/15/2034 144A                                                             | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2275000 | PA      | $1772225.00    | 0.01%             | 2034-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/29 #781272                                                                                  | CUSIP: 36225BMV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        157 | PA      | $162.13        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#737832                                                                         | CUSIP: 31402TVZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23402 | PA      | $23137.43      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 7/29 #323819                                                                                  | CUSIP: 31374TVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        315 | PA      | $328.40        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/26 #256546                                                                                 | CUSIP: 31371M5F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        606 | PA      | $617.87        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRA HEALTH SCIENCES INC                                                          | ICON TERM B 1LN 07/03/2028                                                                               | CUSIP: N/A<br>LEI: 549300R1HR1VWWHIAK47       | Long             | LON              | CORP              | US        |    1148445 | PA      | $1142048.48    | 0.01%             | 2028-07-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT 2015-SFR1 TR                                               | AMERICAN HOMES 4 RENT 2015-SFR1 E TR 5.639% 04/17/2052 144A                                              | CUSIP: 02666AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     595000 | PA      | $576670.13     | 0.00%             | 2052-04-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#727060                                                                         | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13483 | PA      | $13329.32      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS-BAMLL TR 2012-WRM                                                            | UBSBM 2012-WRM E CSTR 6/30                                                                               | CUSIP: 90269PAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478000 | PA      | $372931.11     | 0.00%             | 2030-06-10      | Variable      | 0.04%                 | No            |                  3 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 11/39 #723430                                                                                 | CUSIP: 3620A9VX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1018 | PA      | $1007.82       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 04/01/2046#Q39717                                                                           | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103382 | PA      | $94090.12      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/32 #581860                                                                                  | CUSIP: 36201FMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        361 | PA      | $376.60        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                          | JANE STREET GRP/JSG FIN 4.5% 11/15/2029 144A                                                             | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     680000 | PA      | $596992.40     | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/27 #449600                                                                                  | CUSIP: 36208FNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         89 | PA      | $92.11         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITX                                                                   | CSMC 2019-UVIL E CSTR 12/15/2041 144A                                                                    | CUSIP: 12656DAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     525000 | PA      | $349040.53     | 0.00%             | 2041-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.75% 03/01/2030 144A                                                             | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2063335.10    | 0.01%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WP GLIMCHER MALL TR 15-WPG                                                       | JPMDB 2015-WPG PR2 CSTR 06/35                                                                            | CUSIP: 92939VAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     755000 | PA      | $560119.10     | 0.00%             | 2035-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                                       | FNS 384 6 5% 7/37                                                                                        | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      97330 | PA      | $16830.33      | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2051#FM9633                                                                           | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6452224 | PA      | $5748881.64    | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2039#AB0988                                                                         | CUSIP: 31416WC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18064 | PA      | $17857.94      | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/35 #803376                                                                                 | CUSIP: 31405YQ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2633 | PA      | $2760.21       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEITUAN                                                                          | MEITUAN 3.05% 10/28/2030 144A                                                                            | CUSIP: 58533EAC7<br>LEI: 21380033K525E5JLIA77 | Long             | DBT              | CORP              | KY        |     665000 | PA      | $490354.38     | 0.00%             | 2030-10-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MTG ASSN HECM 1ML+ 06/20/2064                                                             | CUSIP: 38375UKG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1371809 | PA      | $1359590.94    | 0.01%             | 2064-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/39 #710482                                                                                 | CUSIP: 36297FJ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25007 | PA      | $24187.84      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 0.0% 10/01/2041#AI6819                                                                          | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4324 | PA      | $4286.59       | 0.00%             | 2041-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SRI LANKA GOVT DEMOCRATIC SOCIALIST REP                                          | SRI LANKA GOVT DEMOC SOCIA REP 6.825% 07/18/2026 144A                                                    | CUSIP: 85227SAR7<br>LEI: 254900HXCCIOHM74FA02 | Long             | DBT              | NUSS              | LK        |     125000 | PA      | $38695.95      | 0.00%             | 2026-07-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA                                                        | PETROLEOS DE VENEZUELA SA 6% 11/15/2026 144A                                                             | CUSIP: 716558AF8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    1619833 | PA      | $85851.15      | 0.00%             | 2026-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 01/01/2043#AL7626                                                                           | CUSIP: 3138EQPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3125621 | PA      | $3019969.67    | 0.02%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | CARVANA CO 5.875% 10/01/2028 144A                                                                        | CUSIP: 146869AD4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     390000 | PA      | $136870.50     | 0.00%             | 2028-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/32 #634194                                                                                  | CUSIP: 31389SRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $80.24         | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 09/49#BJ9513                                                                              | CUSIP: 3140HBSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2005450 | PA      | $1871420.99    | 0.01%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WYNDHAM HOTELS and RESORTS INC                                                   | WYNDHAM HOTELS and RESORTS INC 4.375% 08/15/2028 144A                                                    | CUSIP: 98311AAB1<br>LEI: 549300FE3MQ4RVXXC673 | Long             | DBT              | CORP              | US        |    1345000 | PA      | $1202781.65    | 0.01%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 19TH HOLDINGS GOLF LLC                                                           | TAYLOR MADE TERM B 1LN 02/07/2029                                                                        | CUSIP: 68250XAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2648362 | PA      | $2416630.78    | 0.01%             | 2029-02-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 08/01/2045#AZ3728                                                                         | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58882 | PA      | $53668.65      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM LLC                                                             | ENLINK MIDSTREAM LLC 5.625% 01/15/2028 144A                                                              | CUSIP: 29336TAC4<br>LEI: 54930000GY1H533OBE23 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4387500.00    | 0.02%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 7.00% 1/36 #A54473                                                                                  | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12884 | PA      | $13708.19      | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 4.95% 03/31/2030                                                                       | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3002000 | PA      | $2877054.96    | 0.02%             | 2030-03-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HARBOURVEST PARTNERS LP                                                          | HARBOURVEST TERM B 1LN 03/01/2025                                                                        | CUSIP: 41165QAG2<br>LEI: 5493001MCDH7I6NIXC24 | Long             | LON              | CORP              | US        |    1853102 | PA      | $1825769.24    | 0.01%             | 2025-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/40 #AE2970                                                                                  | CUSIP: 31419DJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7370 | PA      | $7326.22       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044                                                   | CUSIP: 38378YG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2112377 | PA      | $1945652.31    | 0.01%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR5                                                   | PROGRESS RESIDENTIAL 2022-SFR2 TR 6.618% 06/17/2039 144A                                                 | CUSIP: 74332YAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     519000 | PA      | $473881.88     | 0.00%             | 2039-06-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VS BUYER LLC                                                                     | VEEAM SOFTWARE TERM B 1LN 02/28/2027                                                                     | CUSIP: 91834WAC4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3212227 | PA      | $3147982.50    | 0.02%             | 2027-02-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                                                    | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3840024 | PA      | $3749028.21    | 0.02%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 1/1/43 #AB7568                                                                            | CUSIP: 31417EMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15284 | PA      | $14017.04      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #374580                                                                                  | CUSIP: 36204NCR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        147 | PA      | $148.61        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 04/01/2041#                                                                                 | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21140 | PA      | $18063.68      | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AASET 2019-1 TRUST                                                               | AASET 2019-1 TRUST 3.844% 05/15/2039 144A                                                                | CUSIP: 00256DAA0<br>LEI: 549300TXM3PCKZJKD061 | Long             | ABS-CBDO         | CORP              | US        |    4203386 | PA      | $2792058.97    | 0.01%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/31 #551116                                                                                  | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        183 | PA      | $191.38        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES 2020                                                       | TRICON AMERICAN HOMES 2020 4.882% 07/17/2038 144A                                                        | CUSIP: 89613GAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     151000 | PA      | $133515.85     | 0.00%             | 2038-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AGELLAN PORTFOLIO                                                                | AGELLAN PORTFOLIO MEZZ 9% 08/07/2025                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     239000 | PA      | $239000.00     | 0.00%             | 2025-08-07      | Variable      | 0.09%                 | No            |                  3 | On Loan: No      |
| INTOWN 2022-STAY MTG TR                                                          | INTOWN 2022-STAY MTG TR TSFR1M+503.14 08/15/2037 144A                                                    | CUSIP: 46117NAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     614000 | PA      | $594453.31     | 0.00%             | 2039-08-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| YUM BRANDS INC                                                                   | YUM BRANDS INC 4.625% 01/31/2032                                                                         | CUSIP: 988498AP6<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |    2570000 | PA      | $2261403.63    | 0.01%             | 2032-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 8/35 #830989                                                                                  | CUSIP: 31407HF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3327 | PA      | $3472.27       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AK6409                                                                                  | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34820 | PA      | $33626.51      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | EXELON CORP 3.35% 03/15/2032 144A                                                                        | CUSIP: 30161NBC4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    8005000 | PA      | $7033107.19    | 0.04%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #745094                                                                                  | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146185 | PA      | $144777.99     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FGLMC 3871 KB 5.5% 06/41                                                                                 | CUSIP: 3137AC7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     719131 | PA      | $748043.11     | 0.00%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #735358                                                                                  | CUSIP: 3620AN5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33738 | PA      | $33415.32      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2.5% 12/01/2037 #TBA                                                                           | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   76200000 | PA      | $70377847.56   | 0.37%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 08/01/2043#Q20785                                                                         | CUSIP: 3132JM2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30127 | PA      | $29361.49      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENSEMBLE RCM LLC                                                                 | ENSEMBLE HEALTH TERM 1LN 08/01/2026                                                                      | CUSIP: 29359BAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1671109 | PA      | $1619588.85    | 0.01%             | 2026-08-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR ENERGY INC 5.75% 02/15/2028 144A                                                                     | CUSIP: 12662PAD0<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |    4843000 | PA      | $4356956.52    | 0.02%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2020                                         | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020- 420K E CSTR 11/10/2042 144A                                    | CUSIP: 17328QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     567000 | PA      | $398649.99     | 0.00%             | 2042-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                                        | EQM MIDSTREAM PARTNERS LP 7.5% 06/01/2030 144A                                                           | CUSIP: 26885BAN0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2673147.75    | 0.01%             | 2030-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 01/01/2041#                                                                               | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14188 | PA      | $14104.55      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| API GROUP DE INC                                                                 | API GROUP DE TERM B 1LN 01/03/2029                                                                       | CUSIP: 00186XAJ2<br>LEI: 549300PF7K5YYDIK7Y13 | Long             | LON              | CORP              | US        |    2564482 | PA      | $2535631.72    | 0.01%             | 2029-01-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 06/01/2045#AY8096                                                                           | CUSIP: 3138YM7J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93105 | PA      | $90337.13      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDR COML MTG TR 2022-SNAI                                                       | CEDR COML MTG TR 2022-SNAI TSFR1M+338.47 02/15/2039 144A                                                 | CUSIP: 12524AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2211000 | PA      | $1915864.00    | 0.01%             | 2039-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | CONSTELLATION BRANDS INC 4.75% 05/09/2032                                                                | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $19336915.80   | 0.10%             | 2032-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                                            | HUB INTERNATIONAL TERM B 1LN 11/10/2029                                                                  | CUSIP: N/A<br>LEI: 549300JQT6ATTUNS5E06       | Long             | LON              | CORP              | US        |    1020000 | PA      | $1003425.00    | 0.01%             | 2029-11-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 11/39 #726467                                                                                 | CUSIP: 3620ADCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1672 | PA      | $1655.29       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                     | CHARLES RIVER LABS INTL INC 4.25% 05/01/2028 144A                                                        | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     280000 | PA      | $255500.00     | 0.00%             | 2028-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    2390000 | NC      | $32696.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 31 LTD                                                         | COLUMBIA CENT CLO 31A A1 LTD 3ML+120 04/20/2034 144A                                                     | CUSIP: 19737LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   24335000 | PA      | $23495272.16   | 0.12%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-NXS6                                                | WELLS FARGO COML MTG TR 2016-NXS6 D 3.059% 11/15/2049 144A                                               | CUSIP: 95000KAJ4<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |     733000 | PA      | $554838.63     | 0.00%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 7.253% 03/15/2035 144A                                                                | CUSIP: 903724BY7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1495000 | PA      | $310025.63     | 0.00%             | 2035-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 6.36% 7/36 #1B7105                                                                              | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13601 | PA      | $13764.06      | 0.00%             | 2036-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 5% 12/01/2052 #TBA                                                                             | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -46500000 | PA      | $-46296539.25  | -0.24%            | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/33 #615432                                                                                  | CUSIP: 36290RVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5162 | PA      | $5164.90       | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.45% 10/29/2026                                      | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    8002000 | PA      | $7036121.79    | 0.04%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FB INCOME ADVISOR LLC                                                            | FRANKLIN SQUARE TERM B 08/03/2025                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1072077 | PA      | $1058676.33    | 0.01%             | 2025-08-03      | Variable      | 0.06%                 | No            |                  3 | On Loan: No      |
| HILTON USA TR 2016-SFP                                                           | HILTON USA TR 2016-SFP D 4.926925% 11/05/2035 144A                                                       | CUSIP: 43289VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399000 | PA      | $374382.86     | 0.00%             | 2035-11-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 2.625% 08/01/2031                                                                           | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    7320000 | PA      | $5755130.40    | 0.03%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                         | COOPERATIEVE RABOBANK UA 4.375% 08/04/2025                                                               | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    9413000 | PA      | $9147490.05    | 0.05%             | 2025-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #710848                                                                                  | CUSIP: 36297FWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20401 | PA      | $20572.13      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                     | ROCKIES EXPRESS PIPELINE LLC 4.95% 07/15/2029 144A                                                       | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    1290000 | PA      | $1159984.87    | 0.01%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SPIN HOLDCO INC                                                                  | CSC SERVICEWORKS TERM B 1LN 03/04/2028                                                                   | CUSIP: 84850XAK8<br>LEI: 549300QAS44U2GUXGK45 | Long             | LON              | CORP              | US        |   13355908 | PA      | $11914538.71   | 0.06%             | 2028-03-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                        | FNS 348 14 6.5% 8/34                                                                                     | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      15773 | PA      | $3170.24       | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#729380                                                                         | CUSIP: 31402HJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32016 | PA      | $31663.25      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | VIATRIS INC 2.7% 06/22/2030                                                                              | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   40521000 | PA      | $32321508.39   | 0.17%             | 2030-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                           | EQUITABLE HOLDINGS INC 3.9% 04/20/2023                                                                   | CUSIP: 054561AC9<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    1202000 | PA      | $1196959.27    | 0.01%             | 2023-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYLAND SOFTWARE INC                                                              | HYLAND SOFTWARE TERM INCR 2LN 07/10/2025                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     126720 | PA      | $119513.43     | 0.00%             | 2025-07-10      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HLDGS INC                                                             | ZAYO TERM 1LN 03/09/2027                                                                                 | CUSIP: 98919XAB7<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | LON              | CORP              | US        |    7691809 | PA      | $5780240.79    | 0.03%             | 2027-03-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/34 #357634                                                                                 | CUSIP: 31376KHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30323 | PA      | $31539.95      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/29 #513722                                                                                  | CUSIP: 36211HVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $34.79         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 9/24 #403965                                                                                  | CUSIP: 36205XW26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         96 | PA      | $97.18         | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/28 #454375                                                                                  | CUSIP: 36208LXC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        174 | PA      | $178.78        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/26 #358481                                                                                 | CUSIP: 31376LFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $61.03         | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                      | SUNOCO LP / SUNOCO FIN CORP 5.875% 03/15/2028                                                            | CUSIP: 86765LAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1209605.72    | 0.01%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 05/01/2045#Q33468                                                                         | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44080 | PA      | $40214.69      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGNETITE IX LTD / MAGNETITE IX LLC                                              | MAGNETITE IX LTD /LLC 3ML+113 10/25/2034 144A                                                            | CUSIP: 55953UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15155000 | PA      | $14689408.09   | 0.08%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 4.87% 10/35 #1M1052                                                                             | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12456 | PA      | $12485.70      | 0.00%             | 2035-10-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 4/39 #711961                                                                                  | CUSIP: 36297G5W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1500 | PA      | $1533.68       | 0.00%             | 2039-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 10/41 #Q03643                                                                                 | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171187 | PA      | $171854.33     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/30 #545022                                                                                 | CUSIP: 36212VPF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        173 | PA      | $178.50        | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #443837                                                                                  | CUSIP: 36207WBE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        196 | PA      | $200.91        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | VIATRIS INC 1.65% 06/22/2025                                                                             | CUSIP: 92556VAB2<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $1873849.95    | 0.01%             | 2025-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2042#AB7124                                                                         | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1540225 | PA      | $1453532.87    | 0.01%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DEL NORTE SA CAYMAN ISLANDS BRANCH                               | BANCO MERCANTIL DEL NORTE SA GRAND CAYMAN BRH 6.75%/VAR PERP 144A                                        | CUSIP: 05971PAA6<br>LEI: 549300QTVYRPFHS0J362 | Long             | EP               | CORP              | KY        |    1240000 | PA      | $1185440.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 12/34 #605777                                                                                 | CUSIP: 36200N6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        846 | PA      | $878.41        | 0.00%             | 2034-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 6/25 #410041                                                                                  | CUSIP: 36206FP22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.61         | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                                                   | BANK 2021-BN35 2.285% 06/15/2064                                                                         | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27000 | PA      | $21682.12      | 0.00%             | 2064-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2043#Q21526                                                                         | CUSIP: 3132JNVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34425 | PA      | $33528.98      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2154 PT 6% 5/29                                                                                      | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      28642 | PA      | $29135.34      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                 | BERRY GLOBAL TERM Z 1LN 07/01/2026                                                                       | CUSIP: 08579JBG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | LON              | CORP              | US        |    2530575 | PA      | $2497677.06    | 0.01%             | 2026-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #728738                                                                                  | CUSIP: 31402GS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39140 | PA      | $38690.59      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 9/40 #747264                                                                                  | CUSIP: 3620C3FD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4852 | PA      | $4806.24       | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/41 #AB3687                                                                                 | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     515433 | PA      | $498031.84     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2045#G61796                                                                         | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     225525 | PA      | $224291.84     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2015-C32                                                  | JPMBB COML MTG SECS TR 2015-C32 C CSTR 11/15/2048                                                        | CUSIP: 46590JBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1368000 | PA      | $989913.39     | 0.01%             | 2048-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 4/35 #A54855                                                                                  | CUSIP: 3128KHMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46179 | PA      | $46595.45      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 12/33 #783571                                                                                 | CUSIP: 36241L6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2280 | PA      | $2280.68       | 0.00%             | 2033-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                                         | DIAMOND SPORTS GROUP TERM 2LN 08/24/2026                                                                 | CUSIP: 25277BAG3<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |    8477530 | PA      | $1340551.88    | 0.01%             | 2026-08-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ISHARES CORE TOTAL USD BOND MARKET ETF                                           | ISHARES IBOXX HIGH YLD CORP ETF                                                                          | CUSIP: 464288513<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |     177800 | NS      | $13452348.00   | 0.07%             |  |  |  | No            |                  1 | On Loan: —       |
| BX TR 2021-ARIA                                                                  | BX TR 2021-ARIA G 1ML+320 10/15/2036 144A                                                                | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2109000 | PA      | $1826062.04    | 0.01%             | 2036-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 4.3% 02/15/2030                                                                             | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    5781000 | PA      | $5492507.52    | 0.03%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 7/40#V81831                                                                               | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106169 | PA      | $100019.54     | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #443709                                                                                  | CUSIP: 36207V3S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        100 | PA      | $102.15        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/42#AO9948                                                                                | CUSIP: 3138M2BS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7285 | PA      | $7035.33       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                                     | BX 2021-MFM1 1ML+300 01/15/2034 144A                                                                     | CUSIP: 05608VAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2119000 | PA      | $1958076.78    | 0.01%             | 2034-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2048#Q55504                                                                           | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172200 | PA      | $166426.96     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 06/01/2032#C91456                                                                         | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2099194 | PA      | $2031371.77    | 0.01%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                                                | CUSIP: 31394FGT6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     301611 | PA      | $306057.71     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CROWN FINANCE US INC                                                             | CINEWORLD TERM B 1LN 02/28/2025                                                                          | CUSIP: 22834KAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2860397 | PA      | $608721.17     | 0.00%             | 2025-02-28      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US LONG BOND(CBT) FUT MAR23 USH3                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -1028 | NC      | $-1261888.42   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/25 #303555                                                                                 | CUSIP: 31373UE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $153.08        | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2019                                                      | JPMDB COML MTG SECS 2019 CORE6 E 2.5% 11/13/2052 144A                                                    | CUSIP: 48129RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     609000 | PA      | $379992.49     | 0.00%             | 2052-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                      | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                                    | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    5339000 | PA      | $4385053.00    | 0.02%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMN HEALTHCARE                                                                   | AMN HEALTHCARE 4% 04/15/2029 144A                                                                        | CUSIP: 00175PAC7<br>LEI: 549300H27NUKBFFQEE84 | Long             | DBT              | CORP              | US        |    2270000 | PA      | $1991584.50    | 0.01%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIONAL EXPRESS GROUP PLC                                                       | NATIONAL EXPRESS GROUP 4.25%/VAR PERP REGS                                                               | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | EP               | CORP              | GB        |     900000 | PA      | $878952.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/41 #AH2152                                                                                  | CUSIP: 3138A3MA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12811 | PA      | $12396.64      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC               | FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC 6.75% 01/15/2030 144A                 | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4230000 | PA      | $3562929.00    | 0.02%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 04/01/2035#                                                                                 | CUSIP: 3128MJBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10766 | PA      | $10892.69      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 4% 12/01/2052 #TBA                                                                             | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   75950000 | PA      | $71867687.50   | 0.38%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC                              | MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC 3ML+120 01/22/2031 144A                              | CUSIP: 55817AAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3536000 | PA      | $3425888.96    | 0.02%             | 2031-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8% 09/01/2030#                                                                                 | CUSIP: 31298AYN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $35.24         | 0.00%             | 2030-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                                                           | VMED O2 UK FINANCING I 4.25% 01/31/2031 144A                                                             | CUSIP: 92858RAA8<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    2770000 | PA      | $2223617.50    | 0.01%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WMB HOLDINGS INC                                                                 | CORPORATION SERVICE COMPANY TERM B 1LN 11/03/2029                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1135000 | PA      | $1116556.25    | 0.01%             | 2029-11-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 07/01/2051#RA5574                                                                         | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4990118 | PA      | $4298214.74    | 0.02%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/32 #781605                                                                                  | CUSIP: 36225BYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        372 | PA      | $390.05        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                               | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                        | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16119000 | PA      | $15513006.20   | 0.08%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 10/01/2044#G60319                                                                         | CUSIP: 31335AK80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1211557 | PA      | $1215143.74    | 0.01%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2007-37 TS -1ML+669 6/37                                                                             | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      61206 | PA      | $6910.29       | 0.00%             | 2037-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SBA SENIOR FINANCE II LLC                                                        | SBA COMMUNICATIONS TERM B 04/11/2025                                                                     | CUSIP: N/A<br>LEI: 549300PVT2ADFWMYEW87       | Long             | LON              | CORP              | US        |    1085647 | PA      | $1078047.03    | 0.01%             | 2025-04-11      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DBJPM 2016-C3 MTG TR                                                             | DBJPM 2016-C3 C CSTR 09/10/2049                                                                          | CUSIP: 23312VAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218000 | PA      | $183312.80     | 0.00%             | 2049-08-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                               | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                        | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33586000 | PA      | $32575823.80   | 0.17%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2021-SDMF                                                                     | BX 2021-SDMF 1ML+193.7 09/15/2023 144A                                                                   | CUSIP: 12434CAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441000 | PA      | $406735.80     | 0.00%             | 2034-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 7.875% 10/01/2029                                                                              | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    8500000 | PA      | $9516004.15    | 0.05%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/23 #184077                                                                                  | CUSIP: 362165M25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $6.93          | 0.00%             | 2023-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| QATAR PETROLEUM                                                                  | QATAR PETROLEUM 2.25% 07/12/2031 144A                                                                    | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    1865000 | PA      | $1550281.25    | 0.01%             | 2031-07-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 05/15/2042#AA1859                                                                           | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10934 | PA      | $10556.62      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                                                               | LEVIATHAN BOND LTD 6.125% 06/30/2025 144A REGS                                                           | CUSIP: N/A<br>LEI: 254900D9T8VKYVQNZ220       | Long             | DBT              | CORP              | IL        |    1085000 | PA      | $1064660.59    | 0.01%             | 2025-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AHP HEALTH PARTNERS INC                                                          | ARDENT TERM B 1LN 08/23/2028                                                                             | CUSIP: 00130MAJ3<br>LEI: 549300QMM8MQ6SM5KX05 | Long             | LON              | CORP              | US        |    1251066 | PA      | $1216135.98    | 0.01%             | 2028-08-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 10/40 #AE3832                                                                                 | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20955 | PA      | $20842.08      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS HEALTH CORP 3% 08/15/2026                                                                            | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1290000 | PA      | $1212631.57    | 0.01%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                      | PHILLIPS 66 3.85% 04/09/2025                                                                             | CUSIP: 718546AV6<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    1307000 | PA      | $1278077.20    | 0.01%             | 2025-04-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 3% 02/15/2047                                                                | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  245214000 | PA      | $205989338.06  | 1.08%             | 2047-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 11/39 #710499                                                                                 | CUSIP: 36297FKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24571 | PA      | $24323.01      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/29 #499474                                                                                  | CUSIP: 36210Q2F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        657 | PA      | $678.40        | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 06/15/2043#AD3626                                                                         | CUSIP: 36180FA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33032 | PA      | $30606.33      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/47#V84700                                                                              | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39315 | PA      | $36963.90      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                   | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                                 | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9233768 | PA      | $6977312.01    | 0.04%             | 2038-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                          | SAUDI ARABIA KINGDOM OF 3.75% 01/21/2055 144A                                                            | CUSIP: 80413TAR0<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     975000 | PA      | $754406.25     | 0.00%             | 2055-01-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                         | ARES CLO 2019-54A A 3ML+132 10/15/2032 144A                                                              | CUSIP: 04017WAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11120000 | PA      | $10872201.92   | 0.06%             | 2032-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2013-LC6 MTG TR                                                             | COMM 2013-LC6 E MTG TR 3.5% 01/10/2046 144A                                                              | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     527000 | PA      | $451026.89     | 0.00%             | 2046-01-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PINE STR TR I                                                                    | PINE STR TR I 4.572% 02/15/2029 144A                                                                     | CUSIP: 722844AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11350000 | PA      | $10549521.96   | 0.06%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.0% 06/20/2042#783637                                                                           | CUSIP: 3622A2BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165080 | PA      | $151601.57     | 0.00%             | 2042-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 5/40 #731980                                                                                  | CUSIP: 3620AKFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2386 | PA      | $2413.54       | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/28 #190294                                                                                  | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $500.63        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                             | EMIRATE OF ABU DHABI 3% 09/15/2051 144A                                                                  | CUSIP: 29135LAR1<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    1015000 | PA      | $717985.63     | 0.00%             | 2051-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 09/01/2039#                                                                               | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1253 | PA      | $1246.53       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 0.0% 07/01/2041#1B8505                                                                          | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40028 | PA      | $40319.16      | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                   | SERVICE CORP INTERNATIONAL INC 5.125% 06/01/2029                                                         | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2311131.40    | 0.01%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUNTER US BIDCO INC                                                              | UDG HEALTHCARE TERM B 1LN 08/19/2028                                                                     | CUSIP: 12509YAE6<br>LEI: 549300KXGY77REE4ZR63 | Long             | LON              | CORP              | US        |    1990506 | PA      | $1940743.59    | 0.01%             | 2028-08-19      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8% 08/01/2030#                                                                                 | CUSIP: 31297YK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1190 | PA      | $1264.87       | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 3/26 #250495                                                                                  | CUSIP: 31371FGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $135.03        | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARNIVAL FINANCE LLC                                                             | CARNIVAL TERM B 1LN 10/18/2028                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    4498787 | PA      | $4215723.76    | 0.02%             | 2028-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/40 #711223                                                                                  | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141577 | PA      | $140175.82     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Arc Falcon I Inc                                                                 | ARCLIN TERM B 2LN 09/22/2029                                                                             | CUSIP: 03880YAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     345000 | PA      | $301012.50     | 0.00%             | 2029-09-22      | Variable      | 0.11%                 | No            |                  3 | On Loan: No      |
| TNT CRANE and RIGGING LLC                                                        | TNT CRANE and RIGGING LLC                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      47366 | NS      | $319246.84     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                          | CORPORACION NACIONAL DEL COBRE DE CHILE 3% 09/30/2029 144A                                               | CUSIP: 21987BAZ1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     155000 | PA      | $136138.44     | 0.00%             | 2029-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2019-C3                                                             | BBCMS MTG TR 2019-C3 4.178% 05/15/2052                                                                   | CUSIP: 05550MAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273000 | PA      | $225522.54     | 0.00%             | 2052-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                                        | AADVANTAGE TERM B 1LN 04/20/2028                                                                         | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |    5395000 | PA      | $5357450.80    | 0.03%             | 2028-04-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| KONDOR FINANCE PLC                                                               | KONDOR FIN PLC 7.625% 11/08/2026 144A                                                                    | CUSIP: 50050MAB1<br>LEI: 213800PUC1T9GI6EIO63 | Long             | DBT              | CORP              | GB        |     305000 | PA      | $54900.00      | 0.00%             | 2026-11-08      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 06/01/2051#QC3131                                                                         | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76731 | PA      | $59736.11      | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EMIRATES NBD BANK PJSC                                                           | EMIRATES NBD PJSC 6.125%/VAR PERP REGS                                                                   | CUSIP: N/A<br>LEI: 54930029BCN8HF3B1286       | Long             | EP               | CORP              | AE        |     980000 | PA      | $955683.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE1 MTG TR                                                           | COMM 2012-CR1 C CSTR 5/45                                                                                | CUSIP: 12624BAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426000 | PA      | $383398.08     | 0.00%             | 2045-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 11/39 #722699                                                                                 | CUSIP: 3620A83G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9795 | PA      | $9700.36       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 01/01/2052#FS0286                                                                           | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12698328 | PA      | $10505360.15   | 0.05%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                                                 | LENOVO GROUP LTD 5.875% 04/24/2025 REGS                                                                  | CUSIP: N/A<br>LEI: 254900VUZRGD5U73RE46       | Long             | DBT              | CORP              | HK        |     200000 | PA      | $194970.00     | 0.00%             | 2025-04-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 6/28 #432548                                                                                  | CUSIP: 31379XP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1849 | PA      | $1924.29       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 05/20/2049#BN2615                                                                             | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1060500 | PA      | $1021151.83    | 0.01%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/25 #415993                                                                                  | CUSIP: 36206NC60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        862 | PA      | $877.58        | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                       | EATON 2019-1A AR 3ML+108 04/15/2031 144A                                                                 | CUSIP: 27830XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6808000 | PA      | $6659864.73    | 0.03%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | AMERICAN TOWER CORP 4.05% 03/15/2032                                                                     | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     714000 | PA      | $649220.38     | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                                          | GSMS 2011-GC5 C 5.47 8/44                                                                                | CUSIP: 36191YAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     505077 | PA      | $388680.54     | 0.00%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 12/20/2051#MA7767                                                                           | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     440457 | PA      | $387471.85     | 0.00%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2.5% 12/01/2052 #TBA                                                                           | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  323950000 | PA      | $276825382.24  | 1.45%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2045#Q37070                                                                         | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41071 | PA      | $38691.79      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 8/37 #AE0265                                                                                  | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216823 | PA      | $224991.86     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/45#Q37255                                                                                | CUSIP: 3132QUBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23613 | PA      | $22976.74      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 7/39 #931504                                                                                  | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196072 | PA      | $194773.34     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/25 #326888                                                                                 | CUSIP: 31374XCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.09          | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WOLVERINE WORLD WIDE INC                                                         | WOLVERINE WORLD WIDE INC 4% 08/15/2029 144A                                                              | CUSIP: 978097AG8<br>LEI: 549300OVC7PK14LQ8D87 | Long             | DBT              | CORP              | US        |    2280000 | PA      | $1687200.00    | 0.01%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/27 #452321                                                                                  | CUSIP: 36208JPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        523 | PA      | $541.55        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 04/01/2051#FM6944                                                                           | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4180900 | PA      | $3468014.92    | 0.02%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2010-H17 FA 1ML+33 7/60                                                                              | CUSIP: 38375BDY5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     116008 | PA      | $114438.20     | 0.00%             | 2060-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                        | BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061                                                      | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16792065 | PA      | $543147.72     | 0.00%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 10/01/2049#CA4406                                                                           | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9973653 | PA      | $8992417.97    | 0.05%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/32 #579242                                                                                  | CUSIP: 36201CP32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2110 | PA      | $2213.69       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/31 #564543                                                                                 | CUSIP: 36213UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         78 | PA      | $81.58         | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LTD / US LLC                                          | THUNDERBOLT AIRCRAFT LEASE LTD / US LLC 4.212% 05/17/2032 144A                                           | CUSIP: 88606WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5476704 | PA      | $4600540.94    | 0.02%             | 2032-05-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VFH PARENT LLC                                                                   | VIRTU FINANCIAL TERM B 1LN 01/13/2029                                                                    | CUSIP: N/A<br>LEI: 549300FRO9M476YHHY64       | Long             | LON              | CORP              | US        |    3895000 | PA      | $3778150.00    | 0.02%             | 2029-01-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 12/15/2040#737712                                                                         | CUSIP: 3620ARR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6015 | PA      | $5809.66       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIKING OCEAN CRUISES SHIP VII LTD                                                | VIKING OCEAN CRUISES SHIP VII LTD 5.625% 02/15/2029 144A                                                 | CUSIP: 92682RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     475000 | PA      | $380000.00     | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/27 #455818                                                                                 | CUSIP: 36208NK77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         68 | PA      | $70.17         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                                      | BX 2021-LBA FJV 1ML+225 02/15/2028 144A                                                                  | CUSIP: 05609BAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     331000 | PA      | $292730.64     | 0.00%             | 2036-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 9/25 #780247                                                                                  | CUSIP: 36225AHY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         52 | PA      | $52.54         | 0.00%             | 2025-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/01/2042#AP4319                                                                         | CUSIP: 3138M7YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26278 | PA      | $24798.54      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#CB2349                                                                           | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9320302 | PA      | $7710710.48    | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/27 #397106                                                                                  | CUSIP: 31378FDK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $47.22         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 5/34 #616423                                                                                  | CUSIP: 36290SYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1353 | PA      | $1386.06       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                    | CA ST BUILD AMERICA BONDS                                                                                | CUSIP: 13063BBU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     960000 | PA      | $1189628.35    | 0.01%             | 2039-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                     | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                             | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    8306000 | PA      | $6462539.45    | 0.03%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 1999-33 PK 6% 7/29                                                                                   | CUSIP: 31359WKN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      25236 | PA      | $25610.81      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/41#AI4294                                                                              | CUSIP: 3138AHXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     793960 | PA      | $789724.82     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS INC                                                              | ASSUREDPARTNERS TERM B 1LN 02/13/2027                                                                    | CUSIP: 04621HAU7<br>LEI: 549300HNDSDQWQ3L2P80 | Long             | LON              | CORP              | US        |    1595000 | PA      | $1564104.85    | 0.01%             | 2027-02-13      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/24 #190257                                                                                  | CUSIP: 31368HJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.33         | 0.00%             | 2024-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/01/2047#AS9968                                                                           | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745441 | PA      | $721415.04     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 07/47#MA4587                                                                                  | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1144974 | PA      | $1109290.23    | 0.01%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 10/01/2051#QD0109                                                                           | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     553588 | PA      | $458157.57     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                         | AES CORP 3.3% 07/15/2025 144A                                                                            | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   36313000 | PA      | $33986257.96   | 0.18%             | 2025-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                          | PHILIPPINES REPUBLIC OF 2.65% 12/10/2045                                                                 | CUSIP: 718286CL9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     665000 | PA      | $445623.15     | 0.00%             | 2045-12-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                           | CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030                                                            | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    1658000 | PA      | $1497586.29    | 0.01%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 04/01/2034#G16829                                                                           | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     728453 | PA      | $694640.31     | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FINCO I LLC                                                                      | FORTRESS INVESTMENT GROUP TERM B 1LN 06/27/2025                                                          | CUSIP: 31774BAE4<br>LEI: 5493001RSEZ0X6VJMC68 | Long             | LON              | CORP              | US        |     594253 | PA      | $590912.88     | 0.00%             | 2025-06-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/32 #573592                                                                                  | CUSIP: 36200VF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2571 | PA      | $2705.25       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 07/01/2032#J37270                                                                           | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65469 | PA      | $62655.01      | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 6/27 #256789                                                                             | CUSIP: 31371NF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9597 | PA      | $9750.76       | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/01/2045#Q33791                                                                         | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135302 | PA      | $127550.31     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 07/20/2043#MA1374                                                                           | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     463740 | PA      | $427361.52     | 0.00%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUPERMOOSE BORROWER LLC                                                          | SUPERION / APTEAN TERM B 1LN 08/29/2025                                                                  | CUSIP: 86845PAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     838338 | PA      | $724114.02     | 0.00%             | 2025-08-29      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3% 2/1/43 #Q15788                                                                                   | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48425 | PA      | $44451.32      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/29 #502341                                                                                  | CUSIP: 36210UBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        495 | PA      | $511.90        | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 8/34 #G02758                                                                                  | CUSIP: 3128M4MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64615 | PA      | $65241.96      | 0.00%             | 2034-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROJECT BOOST PURCHASER LLC                                                      | AUTODATA TERM 1LN 05/30/2026                                                                             | CUSIP: 74339NAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1717392 | PA      | $1657644.30    | 0.01%             | 2026-05-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CAMELOT FIN S A                                                                  | CLARIVATE TERM INCR B 1LN 10/31/2026                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | LU        |    3289219 | PA      | $3232677.08    | 0.02%             | 2026-10-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NISOURCE INC 2.95% 09/01/2029                                                                            | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   17668000 | PA      | $15490583.31   | 0.08%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2040#                                                                               | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23654 | PA      | $23558.00      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032 144A                                                            | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    7187000 | PA      | $6337541.23    | 0.03%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 4.5% 04/15/2024                                                                       | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2483000 | PA      | $2451831.87    | 0.01%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TGP HOLDINGS III LLC                                                             | TRAEGER GRILLS TERM DD 1LN 06/29/2028                                                                    | CUSIP: 87251RAL7<br>LEI: 549300LURVM6CQ1MNO41 | Long             | LON              | CORP              | US        |      90625 | PA      | $72534.44      | 0.00%             | 2028-06-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 02/01/2051#SD7532                                                                           | CUSIP: 3132DVLM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10263114 | PA      | $8542016.56    | 0.04%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 1/35 #805252                                                                                  | CUSIP: 31406BTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2659 | PA      | $2632.84       | 0.00%             | 2035-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 08/01/2035#                                                                                 | CUSIP: 31297SPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4556 | PA      | $4603.66       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 1999-32 PL 6% 7/29                                                                                   | CUSIP: 31359WHX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      34233 | PA      | $34756.96      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/28 #469132                                                                                  | CUSIP: 36209EED0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        577 | PA      | $594.53        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                             | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   21238000 | PA      | $20028390.13   | 0.10%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/25 #250383                                                                                 | CUSIP: 31371FCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $81.30         | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT OF                                                            | BERMUDA GOVERNMENT OF 3.375% 08/20/2050 144A                                                             | CUSIP: 085209AH7<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     230000 | PA      | $154071.25     | 0.00%             | 2050-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.5% 05/01/2032                                                                   | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4654000 | PA      | $3840783.31    | 0.02%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SRI LANKA GOVT DEMOCRATIC SOCIALIST REP                                          | SRI LANKA GOVT DEMOC SOCIA REP 7.85% 03/14/2029 144A                                                     | CUSIP: 85227SAZ9<br>LEI: 254900HXCCIOHM74FA02 | Long             | DBT              | NUSS              | LK        |     865000 | PA      | $258851.25     | 0.00%             | 2029-03-14      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 2017-PANW D 1ML+1000 12/20/2040                                           | CUSIP: 38377RBW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     860504 | PA      | $745655.91     | 0.00%             | 2040-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/25 #250407                                                                                  | CUSIP: 31371FDL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $45.28         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                                          | ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS                                                       | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |    2769000 | PA      | $2499077.88    | 0.01%             | 2052-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OWENS and MINOR INC                                                              | OWENS and MINOR INC 4.5% 03/31/2029 144A                                                                 | CUSIP: 690732AF9<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |     750000 | PA      | $615442.50     | 0.00%             | 2029-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2034#255310                                                                         | CUSIP: 31371LR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22416 | PA      | $22180.63      | 0.00%             | 2034-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAVERSE MIDSTREAM PARTNERS LLC                                                  | TRAVERSE MIDSTREAM TERM B 09/27/2024                                                                     | CUSIP: N/A<br>LEI: 549300DHTM8B2X5QMJ22       | Long             | LON              | CORP              | US        |     813969 | PA      | $807864.18     | 0.00%             | 2024-09-27      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#738095                                                                         | CUSIP: 31402T7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8729 | PA      | $8635.63       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B6 MORTGAGE TRUST                                                 | BENCHMARK 2018-B6 D MORTGAGE TRUST CSTR 11/10/2051 144A                                                  | CUSIP: 08162CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     613000 | PA      | $442774.50     | 0.00%             | 2051-10-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2011-C3                                                  | MSC 2011-C3 E CSTR 7/15/49 144A                                                                          | CUSIP: 61760RAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     666000 | PA      | $588614.66     | 0.00%             | 2049-07-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| UNITED PF HOLDINGS LLC                                                           | UNITED PLANET FITNESS TERM 2LN 12/30/2027                                                                | CUSIP: N/A<br>LEI: 2549002AF6PASVP2G486       | Long             | LON              | CORP              | US        |     300000 | PA      | $273375.00     | 0.00%             | 2027-12-30      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A97151                                                                                  | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15652 | PA      | $15579.99      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LES SCHWAB TIRE CENTERS                                                          | LES SCHWAB TIRE TERM B 1LN 11/02/2027                                                                    | CUSIP: 50220KAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1901138 | PA      | $1858361.91    | 0.01%             | 2027-11-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PILOT TRAVEL CTRS LLC                                                            | PILOT TRAVEL CENTERS TERM B 1LN 08/04/2028                                                               | CUSIP: 72165NBH1<br>LEI: 549300115UILLXNE1Z49 | Long             | LON              | CORP              | US        |    4054300 | PA      | $3991782.69    | 0.02%             | 2028-08-04      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 12/30 #563583                                                                                 | CUSIP: 31386HCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        708 | PA      | $755.93        | 0.00%             | 2030-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NISOURCE INC 5.25% 02/15/2043                                                                            | CUSIP: 65473QBB8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    4623000 | PA      | $4360310.78    | 0.02%             | 2043-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2033#721434                                                                         | CUSIP: 31401XPT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35943 | PA      | $35521.53      | 0.00%             | 2033-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/27 #404745                                                                                 | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $183.97        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE9 MTG TR                                                           | COMM 2013-CCRE9 MTG TR VAR 07/10/2045 144A                                                               | CUSIP: 12625UAG8<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |     190538 | PA      | $180979.72     | 0.00%             | 2045-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2046#BD3088                                                                         | CUSIP: 3140FANE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29469 | PA      | $27690.30      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                 | PUGET ENERGY INC 4.224% 03/15/2032                                                                       | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   23786000 | PA      | $21222091.60   | 0.11%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #726298                                                                                  | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6685 | PA      | $6740.28       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/25 #303505                                                                                  | CUSIP: 31373UDJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.26         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #399824                                                                                  | CUSIP: 31378JD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $103.86        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/29 #252806                                                                                 | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $317.81        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ILPT COML MTG TR 2022-LPF2                                                       | ILPT COML MTG TR 2022-LPF2 E TSFR1M+594 10/15/2039 144A                                                  | CUSIP: 449652AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     777000 | PA      | $765621.92     | 0.00%             | 2039-10-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                | BENCHMARK 2020-B18 MORTGAGE TRUST 2.25% 07/15/2053 144A                                                  | CUSIP: 08163AAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     777000 | PA      | $485993.30     | 0.00%             | 2053-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEWS CORP NEW                                                                    | NEWS CORP NEW 5.125% 02/15/2032 144A                                                                     | CUSIP: 65249BAB5<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |    1225000 | PA      | $1122957.50    | 0.01%             | 2032-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDY US BIDCO LLC                                                                | NIELSENIQ TERM B 1LN 03/05/2028                                                                          | CUSIP: 45674PAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1132808 | PA      | $989790.57     | 0.01%             | 2028-03-05      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                          | NEW FORTRESS ENERGY INC 6.75% 09/15/2025 144A                                                            | CUSIP: 644393AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13499000 | PA      | $13184878.27   | 0.07%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 10/01/2033#                                                                                 | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16660 | PA      | $16809.92      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2016-BNK2                                                | MSC 2016-BNK2 C CSTR 11/49                                                                               | CUSIP: 61690YBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     343000 | PA      | $284717.65     | 0.00%             | 2049-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/33 #614932                                                                                  | CUSIP: 36290RED1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2228 | PA      | $2230.40       | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2033#722261                                                                         | CUSIP: 31401YMJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3933 | PA      | $3882.55       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ARIA                                                                  | BX TR 2021-ARIA 1ML+259.35 10/15/2036 144A                                                               | CUSIP: 05608RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1385000 | PA      | $1212343.96    | 0.01%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/27 #780570                                                                                  | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $34.93         | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA BRISTOL LLC                                                         | VIRGIN MEDIA TERM N 01/31/2028                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    2000000 | PA      | $1947180.00    | 0.01%             | 2028-01-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                   | SERVICE CORP INTERNATIONAL INC 4% 05/15/2031                                                             | CUSIP: 817565CG7<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    1850000 | PA      | $1585061.50    | 0.01%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/26 #780481                                                                                 | CUSIP: 36225ARA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $30.77         | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 03/01/2041#A97520                                                                         | CUSIP: 312946K96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4132 | PA      | $4213.21       | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 10/01/2040#V81966                                                                         | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146999 | PA      | $138484.75     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/27 #251298                                                                                 | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        401 | PA      | $415.28        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                              | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624/VAR PERP REGS                                                  | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | EP               | CORP              | SE        |    2605000 | PA      | $1074139.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 11/40 #749953                                                                                 | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30704 | PA      | $29683.66      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMER MERRILL LYNCH COML MTG TR 2017-BNK3                                 | BACM 2017-BNK3 D 3.25% 02/15/2050 144A                                                                   | CUSIP: 06427DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675000 | PA      | $509065.56     | 0.00%             | 2050-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 04/01/2046#Q40165                                                                           | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138863 | PA      | $126382.85     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZELIS PAYMENTS BUYER INC                                                         | ZELIS TERM B 1LN 09/30/2026                                                                              | CUSIP: 98932TAD5<br>LEI: 549300U8NGLZN5R1Y309 | Long             | LON              | CORP              | US        |    2768842 | PA      | $2731767.39    | 0.01%             | 2026-09-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 4/24 #390868                                                                                  | CUSIP: 36205HFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $14.01         | 0.00%             | 2024-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.8% 03/01/2050          | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $3751492.00    | 0.02%             | 2050-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 11/01/2042#G07368                                                                           | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1548248 | PA      | $1497859.40    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 08/01/2051#CB1384                                                                         | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7508684 | PA      | $6465223.37    | 0.03%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                 | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A                                              | CUSIP: 05530SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1792000 | PA      | $1707623.68    | 0.01%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                           | MPT OPER PARTNERSHIP LP/CORP 3.5% 03/15/2031                                                             | CUSIP: 55342UAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4610000 | PA      | $3250050.00    | 0.02%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 7/40 #A92914                                                                                  | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11745 | PA      | $11952.19      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2017-C33                                 | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2017-C33 3.356% 05/15/2050 144A                                  | CUSIP: 61767CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     520000 | PA      | $388600.94     | 0.00%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 06/01/2040#                                                                               | CUSIP: 3129404Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9179 | PA      | $9134.41       | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 10/01/2041#                                                                                 | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3374961 | PA      | $2865941.63    | 0.01%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M MTG TR                                                             | MKT 2020-525M MTG TR CSTR 02/12/2040 144A                                                                | CUSIP: 55316PAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455000 | PA      | $249147.31     | 0.00%             | 2040-02-12      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 4.889%/VAR 07/20/2033                                                                     | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   44206000 | PA      | $42168035.76   | 0.22%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 04/01/2041#                                                                               | CUSIP: 3132GDQH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1963 | PA      | $1955.34       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                                          | GSMS 2011-GC5 E CSTR 8/44                                                                                | CUSIP: 36191YAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     424043 | PA      | $36555.52      | 0.00%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| ILLINOIS ST                                                                      | ILLINOIS ST TXBL                                                                                         | CUSIP: 452151LF8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   22880000 | PA      | $22055558.10   | 0.12%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                         | QATAR ST 4.4% 04/16/2050 144A                                                                            | CUSIP: 74727PBE0<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |   17470000 | PA      | $15875862.50   | 0.08%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                               | HOWARD HUGHES CORP 4.375% 02/01/2031 144A                                                                | CUSIP: 44267DAF4<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     990000 | PA      | $813037.50     | 0.00%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                                           | HILTON USA TR 2016-HHV VAR 11/05/2038 144A                                                               | CUSIP: 43300LAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1881000 | PA      | $1609234.81    | 0.01%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2047#BH3646                                                                         | CUSIP: 3140GSBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32552 | PA      | $32262.26      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                          | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   19138000 | PA      | $14032767.41   | 0.07%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 3/36 #003828                                                                               | CUSIP: 36202EHD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7931 | PA      | $7854.03       | 0.00%             | 2036-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 01/01/2044#Q24255                                                                         | CUSIP: 3132M4MC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6278 | PA      | $6116.12       | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/29 #323542                                                                                  | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1995 | PA      | $2062.96       | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING LLC                                               | DIAMOND INFRASTRUCTURE FUNDING LLC 3.475% 04/15/2049 144A                                                | CUSIP: 25265LAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     214000 | PA      | $165737.69     | 0.00%             | 2049-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2046#BC0880                                                                         | CUSIP: 3140EU6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3392936 | PA      | $3189239.44    | 0.02%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 09/45#MA3106                                                                                | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9487 | PA      | $9268.01       | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRASS NO 10 PLC                                                                  | BRASS NO 10 PLC VAR 04/16/2069 144A                                                                      | CUSIP: 10554PAA1<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-CBDO         | CORP              | GB        |    4597348 | PA      | $4367627.50    | 0.02%             | 2069-04-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| TV AZTECA SAB DE CV                                                              | TV AZTECA SAB DE CV 8.25% 08/09/2024 REGS                                                                | CUSIP: N/A<br>LEI: 549300H2ZXE4KL0NUV88       | Long             | DBT              | CORP              | MX        |    2133000 | PA      | $1016395.83    | 0.01%             | 2024-08-09      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 5/29 #C00764                                                                                  | CUSIP: 31292GZ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $118.29        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.00% 11/39 #720602                                                                                 | CUSIP: 3620A6RX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1636 | PA      | $1721.06       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | HUMANA INC 3.7% 03/23/2029                                                                               | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    5638000 | PA      | $5191875.15    | 0.03%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA PWR CO                                                               | MONONGAHELA PWR CO 4.1% 04/15/2024 144A                                                                  | CUSIP: 610202BN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1445000 | PA      | $1417105.04    | 0.01%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #778899                                                                                  | CUSIP: 31404UKL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22265 | PA      | $22001.51      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2012-C4                                                  | MSC 2012-C4 D 5.711069 3/45                                                                              | CUSIP: 61760VAE3<br>LEI: 5493005SNWQW3UUOQX45 | Long             | ABS-MBS          | CORP              | US        |     126391 | PA      | $116910.48     | 0.00%             | 2045-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 05/15/2043#AD1390                                                                         | CUSIP: 36180CRK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6702 | PA      | $6505.30       | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRAILER WORLD CORP                                                      | AMERICAN TRAILER WORLD TERM B 1LN 03/05/2028                                                             | CUSIP: 03028BAB3<br>LEI: 254900WNYWX3HF6TKT69 | Long             | LON              | CORP              | US        |    1586378 | PA      | $1416841.71    | 0.01%             | 2028-03-05      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 3.5% 06/01/2030                                                           | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   18100000 | PA      | $16715563.22   | 0.09%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/39 #AA7165                                                                                  | CUSIP: 31416Q6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2379 | PA      | $2363.32       | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE PLACE GROUP LTD PARTNERSHIP                                           | PPGLP 2000-C1 A2 7.75% 7/28                                                                              | CUSIP: 743784AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105911 | PA      | $108706.27     | 0.00%             | 2028-07-20      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                      | APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A                                       | CUSIP: 00255UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     551865 | PA      | $237700.03     | 0.00%             | 2040-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAMAICA GOVT OF                                                                  | JAMAICA GOVT OF 6.75% 04/28/2028                                                                         | CUSIP: 470160CA8<br>LEI: 529900Y93KNSXZI8KK56 | Long             | DBT              | NUSS              | JM        |     275000 | PA      | $289660.94     | 0.00%             | 2028-04-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 5/34 #A21977                                                                                  | CUSIP: 31296YFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8729 | PA      | $8811.65       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2043#Q21900                                                                         | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29848 | PA      | $29070.91      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 10/34 #781814                                                                                 | CUSIP: 36241KAP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3231 | PA      | $3232.86       | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/25 #405489                                                                                  | CUSIP: 36206ANE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.54         | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTERRA MOUNTAIN COMPANY                                                         | ALTERRA MOUNTAIN TERM B-2 1LN 08/17/2028                                                                 | CUSIP: 46124CAJ6<br>LEI: 549300C5O4FSVNUEI843 | Long             | LON              | CORP              | US        |    2377331 | PA      | $2341671.44    | 0.01%             | 2028-08-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                                     | PERATON TERM B 1LN 02/01/2028                                                                            | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    9150238 | PA      | $8921481.66    | 0.05%             | 2028-02-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/27 #368821                                                                                  | CUSIP: 31376XVN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        893 | PA      | $922.55        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LAKESHORE INTERMEDIATE LLC                                                       | LAKESHORE LEARNING TERM 1LN 10/01/2028                                                                   | CUSIP: 51207KAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     679862 | PA      | $661166.28     | 0.00%             | 2028-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | NATWEST GRP PLC(UNGTD) 2.105/VAR 11/28/2031 REGS                                                         | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    3085000 | PA      | $3062826.98    | 0.02%             | 2031-11-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 9/41 #Q03210                                                                                  | CUSIP: 3132GJGT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22104 | PA      | $21396.28      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 12/40 #AB1887                                                                                 | CUSIP: 31416XCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6581 | PA      | $6545.61       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2045#AS6350                                                                           | CUSIP: 3138WGBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     698025 | PA      | $680108.00     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 11/29 #C46106                                                                                 | CUSIP: 31298EYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        254 | PA      | $259.45        | 0.00%             | 2029-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 05/15/2043#AD1015                                                                         | CUSIP: 36180CDU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27826 | PA      | $25782.44      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 3.815% 11/02/2027                                                                     | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1048086.00    | 0.01%             | 2027-11-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-MP                                                  | MORGAN STANLEY CAP I TR 2018-MP VAR 07/11/2040 144A                                                      | CUSIP: 61691DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730000 | PA      | $524247.82     | 0.00%             | 2040-07-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #775526                                                                                  | CUSIP: 31404QSP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        758 | PA      | $750.00        | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 05/01/2043#Q18131                                                                         | CUSIP: 3132J9PR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12262 | PA      | $11950.16      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | POST HLDGS INC 5.5% 12/15/2029 144A                                                                      | CUSIP: 737446AP9<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    1969000 | PA      | $1808457.59    | 0.01%             | 2029-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE4058                                                                           | CUSIP: 31419EQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74318 | PA      | $71838.02      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EINSTEIN MERGER SUB INC                                                          | ECHO GLOBAL LOGISTICS TERM 2LN 11/23/2029                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     780000 | PA      | $776100.00     | 0.00%             | 2029-11-23      | Variable      | 0.11%                 | No            |                  3 | On Loan: No      |
| BAKELITE US HOLDCO INC                                                           | BAKELITE TERM 1LN 05/27/2029                                                                             | CUSIP: 05710LAB9<br>LEI: 549300UCYL2XSFT5Y041 | Long             | LON              | CORP              | US        |     887775 | PA      | $825630.75     | 0.00%             | 2029-05-27      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| OIL AND GAS HOLDING CO BSCC/THE                                                  | OIL AND GAS HOLDING CO BSCC/THE 7.5% 10/25/2027 144A                                                     | CUSIP: 67778M2A7<br>LEI: 549300OBH16L6TS6IW50 | Long             | DBT              | CORP              | BH        |     903000 | PA      | $905709.00     | 0.00%             | 2027-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE7386                                                                           | CUSIP: 31419JF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63885 | PA      | $61729.95      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 05/01/2041#AI2464                                                                         | CUSIP: 3138AFW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29148 | PA      | $29696.27      | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/39 #720070                                                                                  | CUSIP: 3620A56F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6371 | PA      | $6306.24       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 1/35 #804847                                                                                  | CUSIP: 31406BEU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1976 | PA      | $1956.72       | 0.00%             | 2035-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 8/29 #323868                                                                                  | CUSIP: 31374TW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $81.21         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/40#AE8996                                                                                | CUSIP: 31419K7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91542 | PA      | $88477.67      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #451900                                                                                  | CUSIP: 36208H7M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        341 | PA      | $352.00        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2011-C3                                                        | WFRBS 2011-C3 E 5% 3/44                                                                                  | CUSIP: 92935VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     409000 | PA      | $2045.00       | 0.00%             | 2044-03-15      | Fixed         | 0.05%                 | No            |                  3 | On Loan: No      |
| API GROUP DE INC                                                                 | API GROUP DE TERM B 1LN 10/01/2026                                                                       | CUSIP: 00186XAB9<br>LEI: 549300PF7K5YYDIK7Y13 | Long             | LON              | CORP              | US        |    1240993 | PA      | $1227342.37    | 0.01%             | 2026-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 11/32#BJ6650                                                                                | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207469 | PA      | $198185.63     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/31 #564650                                                                                  | CUSIP: 36213UH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3949 | PA      | $4124.03       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/27 #455904                                                                                 | CUSIP: 36208NNV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        324 | PA      | $336.77        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 12/27 #452821                                                                                 | CUSIP: 36208KAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        473 | PA      | $493.85        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 6.54% 4/37 #918912                                                                              | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6628 | PA      | $6599.91       | 0.00%             | 2037-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.4% 06/10/2025                                                                            | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   18137000 | PA      | $17837261.05   | 0.09%             | 2025-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.49% 01/23/2027                                                                     | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   14935000 | PA      | $13513188.00   | 0.07%             | 2027-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/40 #737177                                                                                  | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150041 | PA      | $151327.09     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2043#Q15992                                                                         | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66363 | PA      | $64719.19      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DP WORLD SALAAM                                                                  | DP WORLD SALAAM 6%/VAR PERP REGS                                                                         | CUSIP: N/A<br>LEI: 549300SUYBT9X88E9435       | Long             | EP               | CORP              | KY        |    1015000 | PA      | $1004850.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM TERM E 1LN 5/30/2025                                                                           | CUSIP: 89364MBQ6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     725301 | PA      | $714471.87     | 0.00%             | 2025-05-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN SENTRY LTD                                                            | TRANSOCEAN SENTRY LTD 5.375% 05/15/2023 144A                                                             | CUSIP: 89385AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1706753 | PA      | $1690215.69    | 0.01%             | 2023-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DIGITALBRIDGE GROUP INC                                                          | DIGITALBRIDGE GROUP INC 7.15% SER I PERP PFD                                                             | CUSIP: 25401T405<br>LEI: 549300XG87L902AGBO89 | Long             | EP               | CORP              | US        |      17100 | NS      | $322677.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                           | COMSTOCK RESOURCES INC 5.875% 01/15/2030 144A                                                            | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    2405000 | PA      | $2215846.75    | 0.01%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALPHA TRAINS FINANCE SA                                                          | ALPHA TRAINS FINANCE SA 2.064% 06/30/2030 REGS                                                           | CUSIP: N/A<br>LEI: 529900FR0E130P05IY43       | Long             | DBT              | CORP              | LU        |    2765000 | PA      | $2726749.58    | 0.01%             | 2030-06-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/32 #582054                                                                                  | CUSIP: 36201FTK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        432 | PA      | $452.58        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                        | MILLICOM INTL CELLULAR SA 5.125% 01/15/2028 144A                                                         | CUSIP: 600814AN7<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     441000 | PA      | $398002.50     | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUPERIOR PLUS LP / SUPERIOR GEN PARTNER INC                                      | SUPERIOR PLUS LP / SUPERIOR GEN PARTNER INC 4.5% 03/15/2029 144A                                         | CUSIP: 86828LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     860000 | PA      | $734397.59     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                           | FX Forward: EUR/USD settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |          1 | NC      | $8242.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                | QBE INS GROUP LTD 5.25%/VAR PERP REGS                                                                    | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | EP               | CORP              | AU        |    4059000 | PA      | $3531328.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2021-SAVE                                                | WELLS FARGO COML MTG TR 2021-SAVE D 1ML+250 02/15/2040 144A                                              | CUSIP: 95003LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197258 | PA      | $173826.26     | 0.00%             | 2040-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SPRINGER NATURE DEUTSCHLAND GMBH                                                 | SPRINGER NATURE TERM B18 1LN 08/14/26                                                                    | CUSIP: N/A<br>LEI: 549300WM0X4AUT710770       | Long             | LON              | CORP              | DE        |    1636183 | PA      | $1623404.10    | 0.01%             | 2026-08-14      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/25 #414636                                                                                 | CUSIP: 36206LSZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.67         | 0.00%             | 2025-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LAGARDERE SA                                                                     | LAGARDERE SA 1.75% 10/07/2027 REGS                                                                       | CUSIP: N/A<br>LEI: 969500VX2NV2AQQ65G45       | Long             | DBT              | CORP              | FR        |    1100000 | PA      | $1073370.57    | 0.01%             | 2027-10-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/32 #646799                                                                                 | CUSIP: 31390HRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        239 | PA      | $256.39        | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 6/46#V82414                                                                                 | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1956084 | PA      | $1780279.29    | 0.01%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 11/20/2047#784391                                                                           | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5032958 | PA      | $4730732.02    | 0.02%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KREF HOLDINGS X LLC                                                              | KKR REAL ESTATE FINANCE TERM B 1LN 09/01/2027                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1216544 | PA      | $1201337.67    | 0.01%             | 2027-09-01      | Variable      | 0.07%                 | No            |                  3 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 2.987% 10/30/2056                                                             | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   12327000 | PA      | $7775786.05    | 0.04%             | 2056-10-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                    | DISH DBS CORP 5.75% 12/01/2028 144A                                                                      | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3045000 | PA      | $2469647.25    | 0.01%             | 2028-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2016-C4                                                   | JPMDB COML MTG SECS TR 2016-C4 C 3.0971% 12/15/2049                                                      | CUSIP: 46646RAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     343000 | PA      | $284467.70     | 0.00%             | 2049-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #391630                                                                                 | CUSIP: 36205JA70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        380 | PA      | $384.61        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES LIX CLO LTD                                                                 | ARES LIX CLO LTD 2021-59A A 3ML+103 04/25/2034 144A                                                      | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15787000 | PA      | $15263361.00   | 0.08%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 9/40 #004800                                                                               | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     527103 | PA      | $510447.99     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2046#AL8970                                                                         | CUSIP: 3138ET6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1316378 | PA      | $1237760.04    | 0.01%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                         | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     631051 | PA      | $594895.95     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2.5% 01/01/2038 #TBA                                                                           | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   27600000 | PA      | $25512750.00   | 0.13%             | 2038-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 4/26 #342459                                                                                  | CUSIP: 31375RMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $101.89        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                     | Fidelity Securities Lending Cash Central Fund                                                            | CUSIP: 31635A303<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   22885336 | NS      | $22887625.02   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 4/24 #400217                                                                                  | CUSIP: 36205TSE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        118 | PA      | $119.15        | 0.00%             | 2024-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 05/01/2033#J39066                                                                           | CUSIP: 31307WCB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59584 | PA      | $56799.39      | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TGP HOLDINGS III LLC                                                             | TRAEGER GRILLS TERM B 1LN 06/29/2028                                                                     | CUSIP: 87251RAK9<br>LEI: 549300LURVM6CQ1MNO41 | Long             | LON              | CORP              | US        |     687300 | PA      | $550101.17     | 0.00%             | 2028-06-29      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| STATE OIL COMPANY OF THE AZERBAIJAN REPUBLIC                                     | STATE OIL CO OF THE AZER 4.75% 03/13/2023 REGS                                                           | CUSIP: N/A<br>LEI: 2549002HARR1VE257O76       | Long             | DBT              | CORP              | AZ        |     235000 | PA      | $233134.69     | 0.00%             | 2023-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                             | FRONTIER COMMUNICATIONS HOLDINGS LLC 6% 01/15/2030 144A                                                  | CUSIP: 35908MAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1227420.00    | 0.01%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 01/01/2053 #TBA                                                                               | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  147000000 | PA      | $124933668.30  | 0.65%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                                                  | CITIGROUP COML MTG TR 2019-GC41 E 3% 08/10/2056 144A                                                     | CUSIP: 17328FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     462000 | PA      | $294406.27     | 0.00%             | 2056-08-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 04/20/2050#MA6600                                                                           | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2719500 | PA      | $2551946.17    | 0.01%             | 2050-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 2/28 #416207                                                                                  | CUSIP: 31379DKU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        236 | PA      | $244.29        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MED PARENTCO LP                                                                  | MYEYEDR TERM 1LN 08/31/2026                                                                              | CUSIP: 58401DAC8<br>LEI: 549300660CLPRNK19Z91 | Long             | LON              | CORP              | US        |    1297191 | PA      | $1100342.41    | 0.01%             | 2026-08-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2040#                                                                                 | CUSIP: 312940C49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1243 | PA      | $1205.01       | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC                                                   | ALLIANT TERM B-2 1LN 05/09/2025                                                                          | CUSIP: 01881UAF2<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |     725625 | PA      | $710205.47     | 0.00%             | 2025-05-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK12                                                                  | BANK 2018-BNK12 D 3% 05/15/2061 144A                                                                     | CUSIP: 06541KAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     487000 | PA      | $329680.98     | 0.00%             | 2061-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 6.50% 10/27 #C91134                                                                            | CUSIP: 3128P7HK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1511 | PA      | $1540.58       | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2.5% 12/01/2052 #TBA                                                                           | CUSIP: 01F0226C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -167500000 | PA      | $-143133976.00 | -0.75%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 12/27 #257055                                                                                 | CUSIP: 31371NQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1405 | PA      | $1432.34       | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2502 ZC 6 9/32                                                                                       | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      19989 | PA      | $20617.83      | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 2/23 #328986                                                                                  | CUSIP: 36224HNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.11          | 0.00%             | 2023-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 1/34 #604900                                                                                  | CUSIP: 36200M7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2382 | PA      | $2384.06       | 0.00%             | 2034-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MHC TR 2021-MHC2                                                                 | MHC TR 2021-MHC2 1ML+240 05/15/2023 144A                                                                 | CUSIP: 55293AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1028000 | PA      | $945520.78     | 0.00%             | 2038-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                        | EGYPT (ARAB) REPUBLIC OF 7.6003% 03/01/2029 144A                                                         | CUSIP: 03846JW71<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     560000 | PA      | $457800.00     | 0.00%             | 2029-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #464690                                                                                  | CUSIP: 36208YF79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         86 | PA      | $88.57         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 4.875% 09/23/2032 144A                                                                | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    1460000 | PA      | $1208880.00    | 0.01%             | 2032-09-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/41 #AJ3924                                                                                 | CUSIP: 3138AVLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2825 | PA      | $2730.64       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 07/01/2041#Q02144                                                                           | CUSIP: 3132GFLZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253946 | PA      | $245656.13     | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 11/39 #G05695                                                                                 | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1334 | PA      | $1326.42       | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CROCS INC                                                                        | CROCS TERM B 1LN 02/17/2029                                                                              | CUSIP: 22704NAD4<br>LEI: 549300B0J6YCXD63OG72 | Long             | LON              | CORP              | US        |    7330962 | PA      | $7065215.02    | 0.04%             | 2029-02-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                                                    | TOPBUILD CORP 4.125% 02/15/2032 144A                                                                     | CUSIP: 89055FAC7<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |    2570000 | PA      | $2056767.30    | 0.01%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NISOURCE INC 5.95% 06/15/2041                                                                            | CUSIP: 65473QAX1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    3281000 | PA      | $3314530.84    | 0.02%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 10/27 #256946                                                                                 | CUSIP: 31371NL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4711 | PA      | $4790.92       | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                           | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A                                            | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10501230 | PA      | $9108147.33    | 0.05%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MHI HOLDINGS LLC                                                                 | VIGOR TERM B 1LN 09/20/2026                                                                              | CUSIP: 55303YAA1<br>LEI: 549300XOWJ3ALVFU4F13 | Long             | LON              | CORP              | US        |    1394046 | PA      | $1376620.73    | 0.01%             | 2026-09-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2% 12/01/2037 #TBA                                                                             | CUSIP: 01F0204C0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -107350000 | PA      | $-96433857.61  | -0.50%            | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP                                    | RETAIL OPPTY INVTS PRTNRSHP LP 4% 12/15/2024                                                             | CUSIP: 76132FAB3<br>LEI: 549300KH0PNTJK9NTE57 | Long             | DBT              | CORP              | US        |    1225000 | PA      | $1169185.17    | 0.01%             | 2024-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORAVEL STAYS SINGAPORE PTE LTD                                                   | ORAVEL TERM B 1LN 06/23/2026                                                                             | CUSIP: N/A<br>LEI: 9845003ERB3786DZBC41       | Long             | LON              | CORP              | SG        |     918375 | PA      | $794394.38     | 0.00%             | 2026-06-23      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 12/01/2052#SD1924                                                                           | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8798290 | PA      | $8868001.49    | 0.05%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/41 #AJ4794                                                                                 | CUSIP: 3138AWKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4082 | PA      | $3954.39       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 6.34% 9/36 #893580                                                                              | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4599 | PA      | $4621.32       | 0.00%             | 2036-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 1/26 #256107                                                                             | CUSIP: 31371MNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1041 | PA      | $1048.10       | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INVESTMENT ENERGY RESOURCES LTD                                                  | INVESTMENT ENERGY RESOURCES LTD 6.25% 04/26/2029 144A                                                    | CUSIP: 46143NAB6<br>LEI: 254900A71Y7WHN7L5K89 | Long             | DBT              | CORP              | BM        |     705000 | PA      | $634191.56     | 0.00%             | 2029-04-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2015-MS1                                                 | MORGAN STANLEY CAP I TR 2015 4.163% 5/15/48                                                              | CUSIP: 61765DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     751000 | PA      | $617558.19     | 0.00%             | 2048-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DOTDASH MEREDITH INC                                                             | DOTDASH MEREDITH TERM B 1LN 12/01/2028                                                                   | CUSIP: N/A<br>LEI: 549300R2AA7U9CJUQO13       | Long             | LON              | CORP              | US        |    4050272 | PA      | $3503485.26    | 0.02%             | 2028-12-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/23 #369175                                                                                 | CUSIP: 36204GCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $64.06         | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 6.125% 10/24/2028                                                                     | CUSIP: 900123CQ1<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     510000 | PA      | $451350.00     | 0.00%             | 2028-10-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | ELEVANCE HEALTH INC 3.3% 01/15/2023                                                                      | CUSIP: 94973VBA4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    2338000 | PA      | $2333368.35    | 0.01%             | 2023-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 04/01/2029#                                                                                 | CUSIP: 31293NNR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.69         | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#727221                                                                         | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12312 | PA      | $12171.69      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                      | ASURION TERM B9 1LN 07/31/2027                                                                           | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    2038950 | PA      | $1763182.01    | 0.01%             | 2027-07-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 4.375% 01/12/2026                                                                   | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    9104000 | PA      | $8755840.37    | 0.05%             | 2026-01-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-C8 COML MTG TR                                                        | CSAIL 2017-C8 COML MTG TR 4.47% 06/15/2050 144A                                                          | CUSIP: 12595BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     701000 | PA      | $513056.71     | 0.00%             | 2050-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 02/20/2043#MA0783                                                                           | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     372102 | PA      | $353594.55     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2011-C5                                                        | WFRBS COML MTG TR 2011-C5 F CSTR VAR 11/15/2044 144A                                                     | CUSIP: 92936JAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     733000 | PA      | $667087.98     | 0.00%             | 2044-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | NATWEST GRP PLC(UNGTD) 7.416%/VAR 06/06/2033 REGS                                                        | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    1550000 | PA      | $1872004.55    | 0.01%             | 2033-06-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| THE BERKELEY GROUP PLC                                                           | THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS                                                              | CUSIP: N/A<br>LEI: 2138001V85JLYR7AUB61       | Long             | DBT              | CORP              | GB        |    1950000 | PA      | $1567030.26    | 0.01%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.875% PERP REGS                                                                    | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |    1000000 | PA      | $1097500.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2014-GC20                                                         | GS MTG SECS TR 2014-GC20 CSTR 04/10/2047                                                                 | CUSIP: 36252WAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   35514300 | PA      | $326862.96     | 0.00%             | 2047-04-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ACURIS FIN US/ACURIS FIN                                                         | ACURIS FIN US/ACURIS FIN 5% 05/01/2028 144A                                                              | CUSIP: 00511BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4475000 | PA      | $3635937.50    | 0.02%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                             | ROMANIA REPUBLIC OF 3.625% 03/27/2032 144A                                                               | CUSIP: 77586RAL4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     652000 | PA      | $526408.50     | 0.00%             | 2032-03-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MTG TR                                                               | CD 2017-CD3 D 3.25% 02/10/2050 144A                                                                      | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     735000 | PA      | $488692.31     | 0.00%             | 2050-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C13                                 | MSBAM 2013-C13 E CSTR 11/15/46 144A                                                                      | CUSIP: 61763BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     435919 | PA      | $373169.64     | 0.00%             | 2046-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                           | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1931233 | PA      | $1825351.31    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/26 #256469                                                                                  | CUSIP: 31371M2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2541 | PA      | $2588.05       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                       | SYSCO CORP 6.6% 04/01/2050                                                                               | CUSIP: 871829BN6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    7190000 | PA      | $8021154.80    | 0.04%             | 2050-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANGOLA REPUBLIC                                                                  | ANGOLA REPUBLIC 9.5% 11/12/2025 144A                                                                     | CUSIP: 035198AA8<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    2040000 | PA      | $2078250.00    | 0.01%             | 2025-11-12      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 07/01/2029#                                                                                 | CUSIP: 31293TGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        198 | PA      | $202.70        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.75% 07/31/2027                                                                               | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  450000000 | PA      | $428765625.00  | 2.24%             | 2027-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 4.625% 12/15/2029                                                                           | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   16005000 | PA      | $14882009.18   | 0.08%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SS and C TECHNOLOGIES INC                                                        | SS and C TECHNOLOGIES TERM B4 1LN 04/16/2025                                                             | CUSIP: 78466DBE3<br>LEI: 549300KY09TR3J12JU49 | Long             | LON              | CORP              | US        |    1034204 | PA      | $1014378.16    | 0.01%             | 2025-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/28 #452490                                                                                 | CUSIP: 31380WUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $40.04         | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 5.25% 05/15/2024 144A                                                        | CUSIP: 05401AAD3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    7670000 | PA      | $7482329.75    | 0.04%             | 2024-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | ARES CAPITAL CORP 3.875% 01/15/2026                                                                      | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   25763000 | PA      | $23690486.96   | 0.12%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 3.464% 5/1/41#1B8304                                                                            | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14008 | PA      | $14142.61      | 0.00%             | 2041-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 11/35 #843132                                                                                 | CUSIP: 31407WVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33967 | PA      | $35449.53      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                                   | CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A                                                   | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6822225 | PA      | $6425602.98    | 0.03%             | 2036-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS LTD                                                      | PARK AEROSPACE HOLDINGS LTD 5.5% 02/15/2024 144A                                                         | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   12849000 | PA      | $12660005.22   | 0.07%             | 2024-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #735365                                                                                  | CUSIP: 3620AN6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14187 | PA      | $14052.66      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/39 #710776                                                                                  | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17243 | PA      | $17383.54      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/31 #567252                                                                                 | CUSIP: 36213XEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        465 | PA      | $486.03        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP HOLDINGS NV                                                               | AERCAP HOLDINGS NV 5.875/VAR 10/10/2079                                                                  | CUSIP: 00774YAA7<br>LEI: 549300SZYINBBLJQU475 | Long             | EP               | CORP              | NL        |    3500000 | PA      | $3243730.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 05/15/2033#553243                                                                         | CUSIP: 36213FS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11929 | PA      | $11930.69      | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #454115                                                                                  | CUSIP: 36208LN86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $46.69         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 1/41#004921                                                                                 | CUSIP: 36202FPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2790 | PA      | $2635.97       | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                         | ELANCO ANIMAL HEALTH INC STEP 08/28/2023                                                                 | CUSIP: 28414HAE3<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    5786000 | PA      | $5762440.51    | 0.03%             | 2023-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/29 #252717                                                                                  | CUSIP: 31371HVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $69.36         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REYNOLDS CONSUMER PRODUCTS LLC                                                   | REYNOLDS TERM B 1LN 01/30/2027                                                                           | CUSIP: 76171JAB7<br>LEI: 549300DWNZYMOSR1X343 | Long             | LON              | CORP              | US        |    2241193 | PA      | $2213805.79    | 0.01%             | 2027-01-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #471698                                                                                  | CUSIP: 36209G7K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         88 | PA      | $90.25         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN FIN TR FINAN OP                                                         | AMERICAN FIN TR FINAN OP 4.5% 09/30/2028 144A                                                            | CUSIP: 02608AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     795000 | PA      | $608175.00     | 0.00%             | 2028-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #726323                                                                                  | CUSIP: 3620AC4G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7150 | PA      | $7209.05       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2012-C1                                                          | UBSCM 2012-C1 E CSTR 05/45                                                                               | CUSIP: 90269GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     325000 | PA      | $126750.00     | 0.00%             | 2045-05-10      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 04/01/2046#AL8555                                                                         | CUSIP: 3138ETQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1271327 | PA      | $1195797.32    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INEOS US PETROCHEM LLC                                                           | INEOS QUATTRO TERM B 1LN 01/20/2026                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    2752338 | PA      | $2704171.81    | 0.01%             | 2026-01-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CWGS GROUP LLC                                                                   | CAMPING WORLD TERM B 1LN 06/03/2028                                                                      | CUSIP: 12670UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3973180 | PA      | $3580828.61    | 0.02%             | 2028-06-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR RENTAL LLC                                                       | AVIS BUDGET TERM C 1LN 03/16/2029                                                                        | CUSIP: 05377JAS1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     810925 | PA      | $795379.57     | 0.00%             | 2029-03-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 06/01/2029#                                                                                 | CUSIP: 31293R5M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1051 | PA      | $1072.91       | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/31 #568814                                                                                 | CUSIP: 36213Y3X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1749 | PA      | $1838.61       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                    | CLEARWAY ENERGY OPER LLC 4.75% 03/15/2028 144A                                                           | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     560000 | PA      | $517307.81     | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 7/27 #444468                                                                                  | CUSIP: 36207WW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        415 | PA      | $428.20        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 9/42 #AP4410                                                                                  | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161262 | PA      | $151327.95     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                       | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26684050 | PA      | $25598153.41   | 0.13%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #427209                                                                                  | CUSIP: 36207BR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        229 | PA      | $235.39        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROADSTREET PARTNERS INC                                                         | BROADSTREET PARTNERS TERM B 1LN 01/27/2027                                                               | CUSIP: 11132VAR0<br>LEI: 549300BS9N54G8DD0R75 | Long             | LON              | CORP              | US        |     663300 | PA      | $638015.00     | 0.00%             | 2027-01-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                                          | SBA COMMUNICATIONS CORP 3.125% 02/01/2029                                                                | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |    3720000 | PA      | $3105667.33    | 0.02%             | 2029-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2432 FG 1ML+90 3/32                                                                                  | CUSIP: 31339NNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1693 | PA      | $1707.43       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV 3.257% 01/19/2027 144A                                                                         | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $437340.00     | 0.00%             | 2027-01-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| USIC HLDGS INC                                                                   | USIC HOLDINGS TERM B 1LN 05/07/2028                                                                      | CUSIP: 90290HAP7<br>LEI: 5493009ZYUWB7X699U62 | Long             | LON              | CORP              | US        |    1331550 | PA      | $1274399.87    | 0.01%             | 2028-05-07      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 02/20/2043#AD1755                                                                           | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1865437 | PA      | $1758082.09    | 0.01%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 7.5% 04/01/2028 144A                                                                    | CUSIP: 126307AY3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    4239000 | PA      | $3301799.49    | 0.02%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 3.273%/VAR 03/01/2030                                                         | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   12815000 | PA      | $10972367.93   | 0.06%             | 2030-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| NAVEX TOPCO INC                                                                  | NAVEX TERM 2LN 09/04/2026                                                                                | CUSIP: 63941EAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     100000 | PA      | $97750.00      | 0.00%             | 2026-09-04      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/28 #433685                                                                                  | CUSIP: 36207JXN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        443 | PA      | $457.08        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 03/15/2042#733816                                                                           | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128936 | PA      | $124502.50     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JONAH ENERGY LLC / JONAH ENERGY FINANCE CORP                                     | JONAH ENERGY LLC / JONAH ENERGY FINANCE CORP                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      36493 | NS      | $2283367.01    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| SECURUS TECHNOLOGIES HOLDINGS INC                                                | SECURUS TECHNOLOGIES TERM B 1LN 11/01/2024                                                               | CUSIP: 78410QAB8<br>LEI: 549300EBCNNXVCJ2FW66 | Long             | LON              | CORP              | US        |    3705119 | PA      | $3098887.82    | 0.02%             | 2024-11-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HLDGS INC                                                             | ZAYO GROUP HLDGS INC 6.125% 03/01/2028 144A                                                              | CUSIP: 98919VAB1<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |    4239000 | PA      | $2299657.50    | 0.01%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | SYNCHRONY FINANCIAL 4.25% 08/15/2024                                                                     | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   11783000 | PA      | $11493085.18   | 0.06%             | 2024-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 4/27 #446901                                                                                  | CUSIP: 36208CNS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79 | PA      | $81.88         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 4.875% 10/09/2026                                                                     | CUSIP: 900123CK4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1395000 | PA      | $1241550.00    | 0.01%             | 2026-10-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                | ICAHN ENTERPRISES LP/FIN CORP 4.375% 02/01/2029                                                          | CUSIP: 451102CC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4930000 | PA      | $4147362.50    | 0.02%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 4% 09/15/2025                                                                           | CUSIP: 96949LAB1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1089000 | PA      | $1061717.70    | 0.01%             | 2025-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                           | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 4.25% 10/15/2027 144A                             | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3123000.00    | 0.02%             | 2027-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                                                             | KAISER ALUMINUM CORP 4.5% 06/01/2031 144A                                                                | CUSIP: 483007AL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     615000 | PA      | $519287.55     | 0.00%             | 2031-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/28 #466883                                                                                  | CUSIP: 36209BUG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        555 | PA      | $578.70        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUMIT 2022-BVUE MTG TR                                                           | SUMI TRUST CORE RMBS 2022-BVUE F CSTR 02/12/2041 144A                                                    | CUSIP: 865592AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104000 | PA      | $66023.62      | 0.00%             | 2041-02-12      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 02/01/2042#AJ5602                                                                         | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384209 | PA      | $371183.57     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GCJ16                                                        | GS MTG SECS TR 2013-GCJ16 VAR 11/10/2046                                                                 | CUSIP: 36248GAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     241000 | PA      | $231776.62     | 0.00%             | 2046-11-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/23 #365976                                                                                  | CUSIP: 36204CQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56 | PA      | $55.89         | 0.00%             | 2023-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/40 #734032                                                                                 | CUSIP: 3620AMPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1876 | PA      | $1897.86       | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #737015                                                                                  | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56185 | PA      | $55629.48      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #735359                                                                                  | CUSIP: 3620AN5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17994 | PA      | $17820.77      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | ONEMAIN FINANCE CORP 6.875% 03/15/2025                                                                   | CUSIP: 85172FAM1<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    2805000 | PA      | $2724482.48    | 0.01%             | 2025-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE CD 2016-CD2 MTG TR                                           | CD 2016-CD2 C CSTR 3.031% 11/49                                                                          | CUSIP: 12515ABJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     352000 | PA      | $287648.94     | 0.00%             | 2049-11-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                                                          | SSE PLC 4%/VAR PERP REGS                                                                                 | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |    2760000 | PA      | $2613570.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 7/25 #315883                                                                                  | CUSIP: 31374J2Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         59 | PA      | $60.19         | 0.00%             | 2025-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WFCM 2022                                                                        | WFCM 2022 2.5% 04/15/2055 144A                                                                           | CUSIP: 95003MBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     756000 | PA      | $431657.93     | 0.00%             | 2055-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 5.2% 05/15/2049                                                                     | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     900000 | PA      | $605250.00     | 0.00%             | 2049-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 02/01/2043#AR0015                                                                         | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111475 | PA      | $102232.29     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2035#AB8197                                                                         | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64693 | PA      | $64041.27      | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 4.513% 12/34 #802695                                                                            | CUSIP: 31405XXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        401 | PA      | $404.41        | 0.00%             | 2034-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2051#BT9503                                                                           | CUSIP: 3140LYRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     854506 | PA      | $758688.32     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                   | CANADIAN NATL RESOURCES LTD 3.9% 02/01/2025                                                              | CUSIP: 136385AV3<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    9072000 | PA      | $8878309.26    | 0.05%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                              | SIRIUS XM RADIO INC 5% 08/01/2027 144A                                                                   | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $933240.00     | 0.00%             | 2027-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                         | CHC COML MTG TR 2019-CHC B 1ML+140 06/15/2034 144A                                                       | CUSIP: 162665AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3135325 | PA      | $3032398.66    | 0.02%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.45% 03/03/2026                                                             | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3050000 | PA      | $2999844.89    | 0.02%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/31 #474776                                                                                  | CUSIP: 36209LMZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        127 | PA      | $132.97        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK27                                                                  | BANK 2020-BNK27 2.5% 04/15/2063 144A                                                                     | CUSIP: 06539YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     243000 | PA      | $156937.47     | 0.00%             | 2063-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | APPLOVIN TERM B 08/15/2025                                                                               | CUSIP: 03835EAC8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | LON              | CORP              | US        |    2829456 | PA      | $2741035.51    | 0.01%             | 2025-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                                       | CLUB CAR TERM 1LN 05/12/2028                                                                             | CUSIP: 56085UAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1876250 | PA      | $1764069.01    | 0.01%             | 2028-05-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/43#AB8499                                                                             | CUSIP: 31417FNR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137907 | PA      | $126473.02     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 03/20/2043#AA6141                                                                           | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     887633 | PA      | $837937.61     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 4/31 #575585                                                                                  | CUSIP: 31386WNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        330 | PA      | $347.73        | 0.00%             | 2031-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                            | LCH OIS SOFRV2.5% MAC 12/21/52                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |     783000 | NC      | $-23559.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TPGI 2021-DGWD G                                                                 | TPGI 2021-DGWD G 1ML+380 06/15/2026 144A                                                                 | CUSIP: 87267HAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252000 | PA      | $231925.65     | 0.00%             | 2026-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 4/27 #440301                                                                                  | CUSIP: 36207SDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79 | PA      | $81.35         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 7/41 #769513                                                                                  | CUSIP: 36176LVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3031 | PA      | $2926.64       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2010-160 DY 4% 12/20/2040                                                                            | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1682926 | PA      | $1641122.88    | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2015-C30                                                  | JPMBB COML MTG SECS TR 2015-C30 XA CSTR 07/15/2048                                                       | CUSIP: 46644UBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22089421 | PA      | $210024.00     | 0.00%             | 2048-07-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 7.00% 7/26 #D97040                                                                             | CUSIP: 3128E3ZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1010 | PA      | $1022.37       | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 4.5% 12/01/2052 #TBA                                                                           | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -26150000 | PA      | $-25455403.70  | -0.13%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AXIAN TELECOM                                                                    | AXIAN TELECOM 7.375% 02/16/2027 144A                                                                     | CUSIP: 05466AAA1<br>LEI: 984500C6FIA50FZSE337 | Long             | DBT              | CORP              | MU        |     930000 | PA      | $807821.25     | 0.00%             | 2027-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CROWN FINANCE US INC                                                             | CINEWORLD TERM B 1LN 09/30/2026                                                                          | CUSIP: 22834KAD3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     487491 | PA      | $101519.95     | 0.00%             | 2026-09-30      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6% 11/37 #953087                                                                                    | CUSIP: 31413RJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13479 | PA      | $14118.10      | 0.00%             | 2037-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ASGN INC                                                                         | ASGN INC 4.625% 05/15/2028 144A                                                                          | CUSIP: 00191UAA0<br>LEI: LZBNYYCBUKY537072438 | Long             | DBT              | CORP              | US        |    3290000 | PA      | $2936325.00    | 0.02%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 9/39 #G06670                                                                                  | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146234 | PA      | $157335.29     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B20 MTG TR                                                        | BENCHMARK 2020-B20 E 2% 10/15/2053 144A                                                                  | CUSIP: 08162XAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     588000 | PA      | $324383.67     | 0.00%             | 2053-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DCERT BUYER INC                                                                  | DIGICERT TERM 1LN 10/16/2026                                                                             | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |    5340426 | PA      | $5128731.99    | 0.03%             | 2026-10-16      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 4.58% 7/35 #995273                                                                              | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4491 | PA      | $4498.47       | 0.00%             | 2035-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-CX9 COML MTG TR                                                       | CSAIL 2017-CX9 D CSTR 09/15/2050 144A                                                                    | CUSIP: 12595FAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     284000 | PA      | $211999.55     | 0.00%             | 2050-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                 | ALTICE FRANCE SA 5.5% 01/15/2028 144A                                                                    | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    2440000 | PA      | $2033520.40    | 0.01%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2052#RA6986                                                                         | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7869204 | PA      | $7251070.36    | 0.04%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2032#C91403                                                                         | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4117070 | PA      | $3984053.35    | 0.02%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                         | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7763821 | PA      | $6731002.64    | 0.04%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/01/2044#AY0045                                                                         | CUSIP: 3138YDBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30773 | PA      | $29953.88      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIETNAM SOCIALIST REPUBLIC OF                                                    | VIETNAM SOCIALIST REPUBLIC OF STEP 03/12/2028                                                            | CUSIP: N/A<br>LEI: 5493008AE7RS4XK4BZ08       | Long             | DBT              | NUSS              | VN        |    1988667 | PA      | $1926893.69    | 0.01%             | 2028-03-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/39 #AA9357                                                                                  | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1996 | PA      | $1983.04       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV SA NV                                                       | ANHEUSER BUSCH INBEV SA NV 9.75% 07/30/2024 REGS                                                         | CUSIP: N/A<br>LEI: 5493008H3828EMEXB082       | Long             | DBT              | CORP              | BE        |     175000 | PA      | $227945.80     | 0.00%             | 2024-07-30      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2049#FM1338                                                                         | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1707848 | PA      | $1695982.15    | 0.01%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 10/35 #612663                                                                                 | CUSIP: 36202XTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14244 | PA      | $14656.69      | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 3/32 #639703                                                                                  | CUSIP: 31389YU41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        299 | PA      | $319.30        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/39 #726095                                                                                 | CUSIP: 3620ACUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18178 | PA      | $18342.50      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 4.875% 01/18/2024                                                                    | CUSIP: 71654QBH4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2709000 | PA      | $2656174.50    | 0.01%             | 2024-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TREEHOUSE FOODS INC                                                              | TREEHOUSE FOODS INC 4% 09/01/2028                                                                        | CUSIP: 89469AAD6<br>LEI: 5493007M7EVHE470Q576 | Long             | DBT              | CORP              | US        |     735000 | PA      | $626197.95     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 11/01/2040#MA4175                                                                         | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1150151 | PA      | $942851.36     | 0.00%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FIRST STUDENT BIDCO INC                                                          | FIRST STUDENT BIDCO/FIRST TRANSIT TERM C 1LN 07/21/2028                                                  | CUSIP: 33718FAB6<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |     578309 | PA      | $542708.13     | 0.00%             | 2028-07-21      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30                                 | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30 D 3% 09/15/2049 144A                                    | CUSIP: 61766NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138000 | PA      | $88956.91      | 0.00%             | 2049-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MESQUITE ENERGY INC                                                              | SANCHEZ TERM 1LN DIP 12/31/2049                                                                          | CUSIP: N/A<br>LEI: 549300SB0HTIM17TVR61       | Long             | LON              | CORP              | US        |    1224553 | PA      | $0.12          | 0.00%             | 2049-12-31      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| CANISTER INTERNATIONAL GROUP                                                     | CANISTER TERM 1LN 12/21/2026                                                                             | CUSIP: 13763HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2023125 | PA      | $1972546.88    | 0.01%             | 2026-12-21      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| SITEL WORLDWIDE                                                                  | SITEL TERM B 1LN 08/27/2028                                                                              | CUSIP: 82981MAC6<br>LEI: 5493007DS8CM3ZGION43 | Long             | LON              | CORP              | US        |    1496222 | PA      | $1480631.03    | 0.01%             | 2028-08-27      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 5% 06/15/2045                                                                       | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1760000 | PA      | $1178980.00    | 0.01%             | 2045-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                                                    | CORECIVIC INC 4.75% 10/15/2027                                                                           | CUSIP: 21871NAA9<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |    4913000 | PA      | $4124065.60    | 0.02%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED PF HOLDINGS LLC                                                           | UNITED PLANET FITNESS TERM 1LN 12/30/2026                                                                | CUSIP: 91132UAG8<br>LEI: 2549002AF6PASVP2G486 | Long             | LON              | CORP              | US        |    4265236 | PA      | $3614787.09    | 0.02%             | 2026-12-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PLAYA RESORTS HLDG B V                                                           | PLAYA RESORTS TERM B 04/27/2024                                                                          | CUSIP: 72812NAD8<br>LEI: 5493005SPBUMPZZCIZ96 | Long             | LON              | CORP              | NL        |     153836 | PA      | $153484.00     | 0.00%             | 2024-04-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MCKISSOCK INVESTMENT HOLDINGS LLC                                                | COLIBRI GROUP TERM B 1LN 03/10/2029                                                                      | CUSIP: 58175BAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1154200 | PA      | $1109474.75    | 0.01%             | 2029-03-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 07/01/2032#MA3060                                                                           | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4307453 | PA      | $4114713.48    | 0.02%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 5/40 #723747                                                                                  | CUSIP: 3620AABQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26315 | PA      | $25425.93      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US LONG BOND(CBT) FUT MAR23 USH3                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        341 | NC      | $564044.69     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2002-74 SV -1ML+755 11/32                                                                            | CUSIP: 31392FRK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      33074 | PA      | $1373.21       | 0.00%             | 2032-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                    | LOWES COS INC 4.45% 04/01/2062                                                                           | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   20496000 | PA      | $16567340.86   | 0.09%             | 2062-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/28 #462548                                                                                  | CUSIP: 36208VZM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         69 | PA      | $69.96         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DC OFFICE TRUST 2019                                                             | DC OFFICE TRUST 2019-MTC E CSTR 12/31/2049 144A                                                          | CUSIP: 23312BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $164714.60     | 0.00%             | 2045-09-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CPM HLDGS INC                                                                    | CPM HOLDINGS TERM B 1LN 11/15/2025                                                                       | CUSIP: 12654NAC7<br>LEI: 549300FBUISJCXV8IB65 | Long             | LON              | CORP              | US        |     871962 | PA      | $856162.45     | 0.00%             | 2025-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE7 MTG TR                                                           | COMM MTG TR 2013-CC7 AM 3.314% 03/10/2046                                                                | CUSIP: 12625FAS5<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |    3375249 | PA      | $3343859.86    | 0.02%             | 2046-03-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ESDEC SOLAR GROUP BV                                                             | ESDEC SOLAR TERM B 1LN 08/27/2028                                                                        | CUSIP: N/A<br>LEI: 724500UTJRTIU7878U15       | Long             | LON              | CORP              | NL        |    1848359 | PA      | $1783666.41    | 0.01%             | 2028-08-27      | Variable      | 0.09%                 | No            |                  3 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                 | HILTON DOMESTIC OPERATING CO INC 3.625% 02/15/2032 144A                                                  | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    4875000 | PA      | $4013636.25    | 0.02%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                             | ROMANIA REPUBLIC OF 3% 02/14/2031 144A                                                                   | CUSIP: 77586RAH3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1222000 | PA      | $973628.50     | 0.01%             | 2031-02-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                | EURO-BUND FUTURE DEC22 RXZ2                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        137 | NC      | $-257525.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RLJ LODGING TRUST LP                                                             | RLJ LODGING TRUST LP 3.75% 07/01/2026 144A                                                               | CUSIP: 74965LAA9<br>LEI: 549300RX5I8Z6I6LDZ74 | Long             | DBT              | CORP              | US        |     370000 | PA      | $336552.10     | 0.00%             | 2026-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 8TH AVENUE FOOD and PROVISIONS INC                                               | 8TH AVENUE FOOD and PROVISIONS TERM 2LN 10/01/2026                                                       | CUSIP: 28253PAD1<br>LEI: 549300PBCACU45IZ2V05 | Long             | LON              | CORP              | US        |      98000 | PA      | $77175.00      | 0.00%             | 2026-10-01      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| NGG FINANCE PLC                                                                  | NGG FINANCE PLC 2.125/VAR 09/05/2082 REGS                                                                | CUSIP: N/A<br>LEI: 549300MLDJ2T68G21W86       | Long             | DBT              | CORP              | GB        |    4745000 | PA      | $4086890.41    | 0.02%             | 2082-09-05      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/23 #370889                                                                                 | CUSIP: 36204H7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.62         | 0.00%             | 2023-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                    | LOWES COS INC 4.25% 04/01/2052                                                                           | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   18092000 | PA      | $14767696.50   | 0.08%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2043#Q15400                                                                         | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52223 | PA      | $50929.48      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2041#AH5580                                                                         | CUSIP: 3138A7FW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1146738 | PA      | $1140512.03    | 0.01%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 02/01/2052#QD7298                                                                           | CUSIP: 3133B5DB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     984970 | PA      | $873906.84     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 01/01/2043#Q15372                                                                         | CUSIP: 3132J6MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10203 | PA      | $9950.30       | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RP ESCROW ISSUER LLC                                                             | RP ESCROW ISSUER LLC 5.25% 12/15/2025 144A                                                               | CUSIP: 74969PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3181873.00    | 0.02%             | 2025-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                                        | ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031                                                              | CUSIP: 01609WAX0<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |     635000 | PA      | $504869.45     | 0.00%             | 2031-02-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                          | PHILIPPINES REPUBLIC OF 5.95% 10/13/2047                                                                 | CUSIP: 718286CU9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     830000 | PA      | $892341.30     | 0.00%             | 2047-10-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CPT MORTGAGE TRUST 2019                                                          | CPT MORTGAGE TRUST 2019-CPT F CSTR 11/13/2039 144A                                                       | CUSIP: 12654YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651000 | PA      | $417601.98     | 0.00%             | 2039-11-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 06/01/2042#AO2244                                                                               | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13541 | PA      | $13699.54      | 0.00%             | 2042-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ASCEND LEARNING LLC                                                              | ASCEND LEARNING TERM 2LN 12/10/2029                                                                      | CUSIP: 04349HAM6<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |     440380 | PA      | $373222.13     | 0.00%             | 2029-12-10      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                         | QATAR ST 9.75% 06/15/2030 144A                                                                           | CUSIP: 74727PAE1<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     413000 | PA      | $551355.00     | 0.00%             | 2030-06-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 04/01/2043#Q17518                                                                         | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36744 | PA      | $35810.39      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 4.5% 01/23/2026                                                                      | CUSIP: 71654QBW1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   13054000 | PA      | $11748600.00   | 0.06%             | 2026-01-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO                             | DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO 5.375% 08/15/2026 144A                              | CUSIP: 25277LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8145000 | PA      | $1323839.19    | 0.01%             | 2026-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ION TRADING TECHNOLOGIES SARL                                                    | ION TRADING TECHNOLOGIES SARL 5.75% 05/15/2028 144A                                                      | CUSIP: 46205YAA9<br>LEI: 5493009ZVXOKZLQ6QJ12 | Long             | DBT              | CORP              | LU        |    4195000 | PA      | $3420896.65    | 0.02%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 02/01/2042#MA4540                                                                           | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2062084 | PA      | $1746564.40    | 0.01%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2040#AH0984                                                                           | CUSIP: 3138A2CW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6232 | PA      | $6030.20       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 02/01/2035#AB0067                                                                           | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1412803 | PA      | $1422469.56    | 0.01%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PCI GAMING AUTHORITY                                                             | PCI GAMING TERM 1LN 05/29/2026                                                                           | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |    1484314 | PA      | $1463904.28    | 0.01%             | 2026-05-29      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ADVANTAGE SALES and MARKETING INC DEL                                            | ADVANTAGE SALES and MARKETING TERM B 1LN 10/28/2027                                                      | CUSIP: 00769EAZ3<br>LEI: 549300T4O24KQDED1182 | Long             | LON              | CORP              | US        |    5000382 | PA      | $4011556.52    | 0.02%             | 2027-10-28      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 02/01/2042#AK2415                                                                         | CUSIP: 3138E6VH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6509 | PA      | $6287.50       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Patagonia Holdco LLC                                                             | PATAGONIA TERM B 1LN 08/01/2029                                                                          | CUSIP: 70289FAB7<br>LEI: 254900OLXUIWWEAJZ984 | Long             | LON              | CORP              | US        |    2210000 | PA      | $1762475.00    | 0.01%             | 2029-08-01      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 02/01/2043#AR7033                                                                         | CUSIP: 3138W4Y70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70772 | PA      | $64904.31      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/28 #462669                                                                                  | CUSIP: 36208V6E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        436 | PA      | $448.74        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                       | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                             | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    5802000 | PA      | $4336299.40    | 0.02%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2011-C2                                                  | MSC 2011-C2 XB CSTR 6/44                                                                                 | CUSIP: 617459AF9<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    1487182 | PA      | $5905.90       | 0.00%             | 2044-06-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/28 #462619                                                                                  | CUSIP: 36208V4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $58.29         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/24 #284385                                                                                  | CUSIP: 31372V2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        380 | PA      | $381.61        | 0.00%             | 2024-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SS and C TECHNOLOGIES INC                                                        | SS and C TECHNOLOGIES TERM B-5 04/16/25                                                                  | CUSIP: 78466DBF0<br>LEI: 549300KY09TR3J12JU49 | Long             | LON              | CORP              | US        |    3810498 | PA      | $3736422.10    | 0.02%             | 2025-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 1.5% 12/01/2037 #TBA                                                                           | CUSIP: 01F0124C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   62900000 | PA      | $54973832.62   | 0.29%             | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AR3493                                                                         | CUSIP: 3138W03B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65159 | PA      | $59756.67      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #476119                                                                                  | CUSIP: 36209M4C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        190 | PA      | $195.94        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/27 #395593                                                                                 | CUSIP: 31378DNJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $111.83        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MC BRAZIL DOWNSTREAM TRADING SARL                                                | MC BRAZIL DOWNSTREAM TRADING SARL 7.25% 06/30/2031 144A                                                  | CUSIP: 55292WAA8<br>LEI: 213800T2A7R9TYNXZI63 | Long             | DBT              | CORP              | LU        |    1120000 | PA      | $924000.00     | 0.00%             | 2031-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARAVAI INTERMEDIATE HOLDINGS LLC                                                | MARAVAI LIFE SCIENCES TERM B 1LN 10/19/2027                                                              | CUSIP: 56589PAJ4<br>LEI: 2549005DIMMJLV8LMZ14 | Long             | LON              | CORP              | US        |    2748444 | PA      | $2696910.62    | 0.01%             | 2027-10-19      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 9/40#V81958                                                                               | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     267299 | PA      | $251817.43     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 4/40 #739091                                                                                  | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51985 | PA      | $51449.44      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                                                             | ARAMARK SERVICES INC 5% 02/01/2028 144A                                                                  | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |    1338000 | PA      | $1251257.46    | 0.01%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RVR DEALERSHIP HOLDINGS LLC                                                      | RV RETAILER TERM B 1LN 02/08/2028                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1728090 | PA      | $1563921.86    | 0.01%             | 2028-02-08      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 05/01/2043#AT6907                                                                         | CUSIP: 3138WUU92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32290 | PA      | $29582.65      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                                  | BANK 2020-BNK25 CSTR 01/15/2063                                                                          | CUSIP: 06539WBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     775000 | PA      | $584538.79     | 0.00%             | 2063-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 6.85% 01/27/2045 144A                                                                 | CUSIP: 25714PCW6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     592000 | PA      | $514966.00     | 0.00%             | 2045-01-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #463468                                                                                  | CUSIP: 36208WZ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        755 | PA      | $771.58        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.30% 12/35 #850837                                                                             | CUSIP: 31408GHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8736 | PA      | $8803.64       | 0.00%             | 2035-12-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 1ML+40 01/20/2049                                                         | CUSIP: 38381BSP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2334386 | PA      | $2310979.95    | 0.01%             | 2049-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/41 #AI0963                                                                                  | CUSIP: 3138AEB93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2849 | PA      | $2832.62       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2047#BJ0856                                                                         | CUSIP: 3140H15S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3801 | PA      | $3738.14       | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 10/01/2033#                                                                                 | CUSIP: 31296PHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        882 | PA      | $889.38        | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2034#778194                                                                         | CUSIP: 31404TRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12622 | PA      | $12484.50      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/26 #331672                                                                                  | CUSIP: 31375DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        176 | PA      | $179.35        | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 12/37 #A69815                                                                                 | CUSIP: 3128L13Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16988 | PA      | $17859.60      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 5/33 #G01785                                                                                  | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62439 | PA      | $64328.83      | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#738409                                                                         | CUSIP: 31402UKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28614 | PA      | $28293.08      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2045#BC0532                                                                           | CUSIP: 3140EUSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91622 | PA      | $88812.15      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 12/34#FM0045                                                                                | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1153659 | PA      | $1098432.61    | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2156 TC 6.25% 5/29                                                                                   | CUSIP: 3133TKZ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      13837 | PA      | $14217.54      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2020-VIVA                                                         | BX COML MTG TR 2020-VIVA CSTR 03/09/2044 144A                                                            | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2936000 | PA      | $2153152.30    | 0.01%             | 2044-03-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 2/41 #004945                                                                               | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41588 | PA      | $40267.99      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 03/44#AW1829                                                                              | CUSIP: 3138XRA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114257 | PA      | $117162.01     | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                              | GSCOFI SWAP CY451600 12/16/72 B                                                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     580000 | NC      | $7934.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/29 #781031                                                                                  | CUSIP: 36225BEC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        124 | PA      | $127.31        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                            | FIRST CITIZENS BANK and TRUST CO 3.929/VAR 06/19/2024                                                    | CUSIP: 125581HA9<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    2695000 | PA      | $2659835.64    | 0.01%             | 2024-06-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908% 07/23/2025        | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7411000 | PA      | $7294584.90    | 0.04%             | 2025-07-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 11/35 #A47571                                                                                 | CUSIP: 3128K8MU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9976 | PA      | $10095.02      | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 01/20/2044#MA1600                                                                           | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42320 | PA      | $40215.24      | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRAZOS DELAWARE II LLC                                                           | BISON MIDSTREAM TERM B 05/21/2025                                                                        | CUSIP: 10620UAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1083802 | PA      | $1076573.06    | 0.01%             | 2025-05-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ADARO INDONESIA PT                                                               | ADARO INDONESIA PT 4.25% 10/31/2024 144A                                                                 | CUSIP: 69368KAB2<br>LEI: 2549009Z0YED3S2BID40 | Long             | DBT              | CORP              | ID        |    1565000 | PA      | $1504649.69    | 0.01%             | 2024-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8% 11/01/2031#                                                                                 | CUSIP: 31287LNP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        539 | PA      | $576.83        | 0.00%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                              | NATWEST MARKETS PLC 2.375% 05/21/2023 144A                                                               | CUSIP: 63906YAA6<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   18955000 | PA      | $18636873.88   | 0.10%             | 2023-05-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                        | EGYPT (ARAB) REPUBLIC OF 7.5% 01/31/2027 144A                                                            | CUSIP: 038461AL3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    3378000 | PA      | $3019087.50    | 0.02%             | 2027-01-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 05/15/2043#AD6332                                                                         | CUSIP: 36180JA95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23001 | PA      | $21311.99      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 10/35 #643755                                                                                 | CUSIP: 36292BE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5928 | PA      | $6275.87       | 0.00%             | 2035-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                           | MPT OPER PARTNERSHIP LP/CORP 4.625% 08/01/2029                                                           | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3770000 | PA      | $2965029.60    | 0.02%             | 2029-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THOMSON REUTERS CORP                                                             | THOMSON REUTERS CORP 3.85% 09/29/2024                                                                    | CUSIP: 884903BT1<br>LEI: 549300561UZND4C7B569 | Long             | DBT              | CORP              | CA        |    1266000 | PA      | $1227109.91    | 0.01%             | 2024-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CWMBS REPERFORMING LN REMIC TR                                                   | CWHL 2003-R1 2B4 CSTR 2/43                                                                               | CUSIP: 12669UBR0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1739 | PA      | $226.03        | 0.00%             | 2043-02-25      | Variable      | 0.03%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 3/28 #412685                                                                                  | CUSIP: 31378YNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $113.58        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 8TH AVENUE FOOD and PROVISIONS INC                                               | 8TH AVENUE FOOD and PROVISIONS INC TERM B 1LN 10/01/2025                                                 | CUSIP: 28253PAC3<br>LEI: 549300PBCACU45IZ2V05 | Long             | LON              | CORP              | US        |     278162 | PA      | $234351.91     | 0.00%             | 2025-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2016-GS4                                                          | GS MTG SECS TR 2016-GS4 C 3.804073% 11/10/2049                                                           | CUSIP: 36251XAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264000 | PA      | $224744.07     | 0.00%             | 2049-11-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 02/01/2041#                                                                                 | CUSIP: 312945YK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8149 | PA      | $8313.80       | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 03/01/2052#RA6988                                                                           | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4816341 | PA      | $4268745.82    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/32 #582132                                                                                  | CUSIP: 36201FVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        275 | PA      | $290.05        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C3 MTG TR                                                               | BMO 2022-C3 MTG TR 2.5% 09/15/2054 144A                                                                  | CUSIP: 05602QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     361000 | PA      | $199708.88     | 0.00%             | 2054-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LEARNING CARE GROUP (US) NO. 2 INC                                               | LEARNING CARE GROUP TERM INCR B 1LN 03/13/2025                                                           | CUSIP: 52201CAF8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1104575 | PA      | $1065914.88    | 0.01%             | 2025-03-13      | Variable      | 0.13%                 | No            |                  3 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.5% 06/01/2033 144A                                                              | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7245000 | PA      | $5749704.45    | 0.03%             | 2033-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 1999-25 Z 6% 6/29                                                                                    | CUSIP: 31359VU27<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      28432 | PA      | $28559.13      | 0.00%             | 2029-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 1/24 #376375                                                                                  | CUSIP: 36204QCL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $16.62         | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                   | DEUTSCHE BANK AG NEW YORK BNCH 3.729%/VAR 01/14/2032                                                     | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   29675000 | PA      | $21816781.06   | 0.11%             | 2032-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/44#AW6246                                                                              | CUSIP: 3138XV5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112199 | PA      | $115051.22     | 0.00%             | 2044-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                              | AVANTOR TERM B5 1LN 11/06/2027                                                                           | CUSIP: 05350NAL8<br>LEI: 5493003VM0XB4U8YD238 | Long             | LON              | CORP              | US        |    2908028 | PA      | $2883309.93    | 0.02%             | 2027-11-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES HOLDINGS LP                                                     | SCIENTIFIC GAMES LOTTERY TERM B 1LN 04/04/2029                                                           | CUSIP: 80875CAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3585000 | PA      | $3419193.75    | 0.02%             | 2029-04-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/20/2041#005258                                                                           | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5782238 | PA      | $5456979.67    | 0.03%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KONDOR FINANCE PLC                                                               | KONDOR FIN PLC 7.375% 07/19/2024 REGS                                                                    | CUSIP: N/A<br>LEI: 213800PUC1T9GI6EIO63       | Long             | DBT              | CORP              | GB        |     955000 | PA      | $191000.00     | 0.00%             | 2024-07-19      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2015-200P                                                 | BAMLL COML MTG SECS TR 15-200P CSTR 04/14/2033 144A                                                      | CUSIP: 05526QAN6<br>LEI: 549300UQK6PJ8BF5JQ90 | Long             | ABS-MBS          | CORP              | US        |     455000 | PA      | $370179.45     | 0.00%             | 2033-04-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 2/40 #706789                                                                                  | CUSIP: 36297BF63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45477 | PA      | $43986.81      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                             | NIELSEN HOLDINGS TERM B 1LN 04/11/2029                                                                   | CUSIP: 64069JAC6<br>LEI: 549300VG15T3VCYZ4531 | Long             | LON              | CORP              | US        |    4160000 | PA      | $3733600.00    | 0.02%             | 2029-04-11      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| OXEA CORPORATION                                                                 | OXEA TERM B-2 10/11/2024                                                                                 | CUSIP: N/A<br>LEI: 529900MSP24R2FE9U796       | Long             | LON              | CORP              | US        |     643577 | PA      | $603353.77     | 0.00%             | 2024-10-11      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 1/28 #451746                                                                                  | CUSIP: 31380VZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        912 | PA      | $948.06        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 8/31 #769023                                                                                  | CUSIP: 31404HLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1025 | PA      | $1066.46       | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#CB2347                                                                           | CUSIP: 3140QMTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4063599 | PA      | $3365636.03    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 12/01/2041#MA4501                                                                           | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2817419 | PA      | $2392489.27    | 0.01%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JACOBS ENTERTAINMENT INC                                                         | JACOBS ENTERTAINMENT INC 6.75% 02/15/2029 144A                                                           | CUSIP: 469815AK0<br>LEI: 5493004U9JIWY3HSUO63 | Long             | DBT              | CORP              | US        |     700000 | PA      | $630000.00     | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 4.25% 04/14/2025 144A                                                            | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    1800000 | PA      | $1719700.72    | 0.01%             | 2025-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/45#AL7623                                                                                | CUSIP: 3138EQPH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3479918 | PA      | $3402557.76    | 0.02%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOYA 2020                                                                        | VOYA 2020 3ML+115 07/16/2034 144A                                                                        | CUSIP: 92918EAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17432000 | PA      | $16872694.28   | 0.09%             | 2034-07-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 05/15/2043#AE1959                                                                         | CUSIP: 36180UE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7216 | PA      | $6686.19       | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/26 #303890                                                                                  | CUSIP: 31373URK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         82 | PA      | $83.27         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2% 07/01/2041#                                                                                 | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21708 | PA      | $18549.13      | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                              | INTESA SANPAOLO SPA 5.71% 01/15/2026 144A                                                                | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   32489000 | PA      | $31389160.60   | 0.16%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2011-C3                                                  | MORGAN STANLEY CAP I TR 2011-C3 F CSTR 07/15/2049 144A                                                   | CUSIP: 61760RAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182000 | PA      | $121303.11     | 0.00%             | 2049-07-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 12/01/2052 #TBA                                                                               | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -54400000 | PA      | $-49065296.64  | -0.26%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                        | ISTAR INC 7.65 SER G PERP PFD                                                                            | CUSIP: 45031U705<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | EP               | CORP              | US        |      19500 | NS      | $479895.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                          | SAUDI ARABIA KINGDOM OF 3.625% 03/04/2028 144A                                                           | CUSIP: 80413TAE9<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     425000 | PA      | $404812.50     | 0.00%             | 2028-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 10/26 #256479                                                                            | CUSIP: 31371M2L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1029 | PA      | $1041.17       | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROUP INC                                                    | SINCLAIR TELEVISION GROUP INC 5.5% 03/01/2030 144A                                                       | CUSIP: 829259AY6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    1260000 | PA      | $963900.00     | 0.01%             | 2030-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 10/01/2051#QC9114                                                                           | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1711761 | PA      | $1416679.53    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GIP II Blue Holding LP                                                           | GIP II BLUE TERM B 1LN 09/29/2028                                                                        | CUSIP: 31575AAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4543670 | PA      | $4502004.99    | 0.02%             | 2028-09-29      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                | EURO-BUXL 30Y BND FUT DEC22 UBZ2                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         59 | NC      | $47179.97      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | JPSW SWAP CDS 12/20/27 ISPIM B                                                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |    5000000 | NC      | $7582.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 05/01/2034#                                                                                 | CUSIP: 31296XSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4385 | PA      | $4428.35       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                             | FRONTIER COMMUNICATIONS HOLDINGS LLC 5.875% 11/01/2029                                                   | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1388876.70    | 0.01%             | 2029-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2037#AB8064                                                                         | CUSIP: 31417E6A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34807 | PA      | $34428.80      | 0.00%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                          | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.5% 08/01/2026                                                  | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    2790000 | PA      | $2611889.11    | 0.01%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TNT CRANE and RIGGING LLC                                                        | TNT CRANE and RIGGING LLC WT 10/31/25                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       2081 | NS      | $707.54        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 2.5% 03/01/2031                                                                             | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1574632.40    | 0.01%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 9/29 #535762                                                                                  | CUSIP: 31384WFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $145.84        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| YPF SA                                                                           | YPF SA 8.5% 03/23/2025 144A                                                                              | CUSIP: 984245AT7<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |     532500 | PA      | $463275.00     | 0.00%             | 2025-03-23      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 3.65% 05/11/2027                                                              | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   29451000 | PA      | $27738280.92   | 0.14%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIBUR SECS DAC                                                                   | SIBUR SECS DAC 2.95% 07/08/2025 144A                                                                     | CUSIP: 825795AC1<br>LEI: 635400EHVYJXNYBPWI41 | Long             | DBT              | CORP              | IE        |     330000 | PA      | $214500.00     | 0.00%             | 2025-07-08      | Fixed         | 0.03%                 | No            |                  3 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 3/42 #783550                                                                                  | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     711114 | PA      | $670376.98     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP                             | COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP 3ML+131 01/20/2034 144A                             | CUSIP: 19736WAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20650000 | PA      | $20083694.40   | 0.10%             | 2034-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                             | LXP INDUSTRIAL TRUST 4.4% 06/15/2024                                                                     | CUSIP: 529043AD3<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    1672000 | PA      | $1625204.92    | 0.01%             | 2024-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUPERANNUATION and INVESTMENTS US LLC                                            | COLONIAL FIRST TERM 1LN 12/01/2028                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1664925 | PA      | $1623301.84    | 0.01%             | 2028-12-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 4.207%/VAR 06/12/2024 144A                                                          | CUSIP: 225401AG3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   10289000 | PA      | $9983826.72    | 0.05%             | 2024-06-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                         | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1195573 | PA      | $980086.13     | 0.01%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BERLIN PACKAGING LLC                                                             | BERLIN PACKAGING TERM B 1LN 03/11/2028                                                                   | CUSIP: 08511LAX6<br>LEI: 549300L1HNHO6QOXHH42 | Long             | LON              | CORP              | US        |    3051712 | PA      | $2918199.90    | 0.02%             | 2028-03-11      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| LCPR SENIOR SECURED FINANCING DAC                                                | LCPR SENIOR SECURED FINANCING DAC 5.125% 07/15/2029 144A                                                 | CUSIP: 50201DAD5<br>LEI: 549300LE5FM8IKMXSP90 | Long             | DBT              | CORP              | IE        |    1375000 | PA      | $1135386.53    | 0.01%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/28 #471508                                                                                  | CUSIP: 36209GYD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        557 | PA      | $574.29        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 03/20/2043 #MA1090                                                                          | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230850 | PA      | $219368.17     | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3% 02/01/2037#C91912                                                                           | CUSIP: 3128P8DR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27105 | PA      | $25642.65      | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-HR8                                          | MORGAN STANLEY CAPITAL I TRUST 2020-HR8 2.5% 07/15/2053 144A                                             | CUSIP: 61692BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420000 | PA      | $265879.78     | 0.00%             | 2053-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2010-H19 FG 1ML+30 8/60                                                                              | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     115553 | PA      | $114050.83     | 0.00%             | 2060-08-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                                          | ATI INC 4.875% 10/01/2029                                                                                | CUSIP: 01741RAL6<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $878001.88     | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 8/35 #357953                                                                                  | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2084 | PA      | $2172.33       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MTG ASSN HECM 1ML+ 12/20/2063                                                             | CUSIP: 38375UDY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1115400 | PA      | $1109229.33    | 0.01%             | 2063-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 1/36 #850633                                                                                  | CUSIP: 31408GBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $277.82        | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 12/01/2033#                                                                                 | CUSIP: 31296RHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6787 | PA      | $6842.21       | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 06/45#G60179                                                                                | CUSIP: 31335AFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1112239 | PA      | $1081204.99    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AO0004                                                                                  | CUSIP: 3138LQAE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9037 | PA      | $8730.18       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2001-31 ZC 6.5% 7/31                                                                                 | CUSIP: 313920CW8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      17377 | PA      | $17633.40      | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 08/01/2044#Q27808                                                                         | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19771 | PA      | $19256.00      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #734408                                                                                  | CUSIP: 31402N3R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12824 | PA      | $12683.11      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AH2999                                                                                  | CUSIP: 3138A4KM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4416 | PA      | $4265.74       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #783008                                                                                  | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     247668 | PA      | $245315.87     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MTG TR                                                            | COMM 2015-LC19 MTG TR 2.867% 02/10/2048 144A                                                             | CUSIP: 200474AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1230000 | PA      | $1043567.79    | 0.01%             | 2048-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 3/32 #634294                                                                                  | CUSIP: 31389SUT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $193.69        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TENCENT HLDGS LTD                                                                | TENCENT HLDGS LTD 3.975% 04/11/2029 144A                                                                 | CUSIP: 88032WAN6<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     260000 | PA      | $236973.75     | 0.00%             | 2029-04-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/41 #AI4003                                                                                 | CUSIP: 3138AHNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8430 | PA      | $8152.28       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2042#AB4297                                                                         | CUSIP: 31417AX38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2279 | PA      | $2139.52       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS HOLDINGS INC                                                         | BAE SYSTEMS HOLDINGS INC 3.8% 10/07/2024 144A                                                            | CUSIP: 05523UAK6<br>LEI: MF62XBVMNYTYMC18DL76 | Long             | DBT              | CORP              | US        |    3311000 | PA      | $3227698.29    | 0.02%             | 2024-10-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.875% 05/15/2032                                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  197316000 | PA      | $184952919.38  | 0.97%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MHP 2022-MHIL MEZZ                                                               | MHP 2022-MHIL MEZZ SOFR+500 01/09/2024                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    3692270 | PA      | $3507656.50    | 0.02%             | 2024-01-09      | Variable      | 0.08%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 8/35 #837316                                                                                  | CUSIP: 31407QGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $95.23         | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/23 #334707                                                                                  | CUSIP: 36224PYC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.35         | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 12/26 #365832                                                                                 | CUSIP: 31376ULM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $73.55         | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/34 #773747                                                                                  | CUSIP: 31404NTC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29090 | PA      | $28776.78      | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #713686                                                                                  | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6883 | PA      | $6803.71       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 10/41 #Q04092                                                                                 | CUSIP: 3132GKF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603652 | PA      | $584184.03     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/26 #250701                                                                                 | CUSIP: 31371FNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $81.34         | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERTICAL HOLDCO GMBH                                                             | VERTICAL HOLDCO GMBH 7.625% 07/15/2028 144A                                                              | CUSIP: 92537VAA8<br>LEI: 2549008GCHWX9EEMIS56 | Long             | DBT              | CORP              | DE        |    2910000 | PA      | $2415300.00    | 0.01%             | 2028-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                             | DUKE ENERGY CORP NEW 3.85% 06/15/2034                                                                    | CUSIP: N/A<br>LEI: I1BZKREC126H0VB1BL91       | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2646017.90    | 0.01%             | 2034-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                               | STORE CAP CORP 4.625% 03/15/2029                                                                         | CUSIP: 862121AB6<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |    3549000 | PA      | $3250084.59    | 0.02%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                 | PUGET ENERGY INC 4.1% 06/15/2030                                                                         | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   12516000 | PA      | $11244479.03   | 0.06%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CNT HOLDINGS I CORP                                                              | 1-800 CONTACTS TERM B 1LN 11/08/2027                                                                     | CUSIP: 12656AAC3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1723750 | PA      | $1665849.24    | 0.01%             | 2027-11-08      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 8/42#AP4263                                                                                 | CUSIP: 3138M7WZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89734 | PA      | $81828.53      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #449474                                                                                  | CUSIP: 36208FJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1675 | PA      | $1734.58       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/25 #330420                                                                                 | CUSIP: 31375CAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $40.04         | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 09/44#MA2082                                                                              | CUSIP: 31418BJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6407 | PA      | $6569.47       | 0.00%             | 2044-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNMA 2004-24 ZM 5% 04/34                                                                                 | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     172535 | PA      | $170546.75     | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                                      | NAKILAT INC 6.067% 12/31/2033 144A                                                                       | CUSIP: 62983PAA3<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |     659697 | PA      | $675282.71     | 0.00%             | 2033-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                      | ROYAL CARIBBEAN CRUISES LTD 4.25% 07/01/2026 144A                                                        | CUSIP: 780153BH4<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    2850000 | PA      | $2343119.89    | 0.01%             | 2026-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE2 MTG TR                                                           | COMM 2012-CR2 D CSTR 8/45                                                                                | CUSIP: 12624KAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $195090.00     | 0.00%             | 2045-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 12ML+187.9 10/42#849255                                                                         | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49098 | PA      | $49393.79      | 0.00%             | 2042-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUINOX HOLDINGS INC                                                             | EQUINOX TERM B-1 03/08/2024                                                                              | CUSIP: 29446CAP9<br>LEI: 549300W05QKLNGQIIA73 | Long             | LON              | CORP              | US        |    1962629 | PA      | $1452345.36    | 0.01%             | 2024-03-08      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 07/01/2043#V80168                                                                           | CUSIP: 3132L5FH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163616 | PA      | $150036.17     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/46#BC3920                                                                                | CUSIP: 3140EYLA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115746 | PA      | $112088.22     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/29 #434182                                                                                  | CUSIP: 36207KJ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.37          | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2022-B35 MTG TR                                                        | BENCHMARK 2022-B35 MTG TR 2.5% 05/15/2055 144A                                                           | CUSIP: 08163RAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     949000 | PA      | $548001.38     | 0.00%             | 2055-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 12/41 #711616                                                                                 | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105372 | PA      | $99282.82      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 7/39 #704628                                                                                  | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20073 | PA      | $20228.47      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 02/20/2044#MA1678                                                                           | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     592671 | PA      | $580312.06     | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2045#G61419                                                                         | CUSIP: 31335BSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2120662 | PA      | $1991592.79    | 0.01%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 4/37 #916708                                                                                  | CUSIP: 31411WNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        464 | PA      | $499.32        | 0.00%             | 2037-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                      | SEVERN TRENT WATER UTIL FIN 4.625% 11/30/2034 REGS                                                       | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |     700000 | PA      | $825080.40     | 0.00%             | 2034-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/27 #455358                                                                                 | CUSIP: 36208MZX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $57.29         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 9/27 #426490                                                                                  | CUSIP: 36207AXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $101.98        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/40 #AE9949                                                                                 | CUSIP: 31419MBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20454 | PA      | $19732.41      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/29 #434145                                                                                  | CUSIP: 36207KHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $116.74        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                      | CHEMOURS TERM B-2 1LN 04/03/2025                                                                         | CUSIP: 16384YAF4<br>LEI: 549300M1BOLNXL8DOV14 | Long             | LON              | CORP              | US        |    2008097 | PA      | $1967935.07    | 0.01%             | 2025-04-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2002-16 ZD 6.50% 4/32                                                                                | CUSIP: 31392CVK7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      12598 | PA      | $13033.51      | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PARK PLACE TECHNOLOGIES LLC                                                      | PARK PLACE TECHNOLOGIES TERM 1LN 11/10/2027                                                              | CUSIP: 70070KAH6<br>LEI: 549300SSM38QN4VYDD29 | Long             | LON              | CORP              | US        |    2276301 | PA      | $2141999.42    | 0.01%             | 2027-11-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2048#CA1218                                                                         | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63195 | PA      | $62553.60      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 4.64% 1/35 #813730                                                                              | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20691 | PA      | $20706.87      | 0.00%             | 2035-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2045#Q32008                                                                         | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     783304 | PA      | $738425.79     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PAKISTAN, ISLAMIC REP OF                                                         | PAKISTAN ISLAMIC REP OF 8.25% 04/15/2024 144A                                                            | CUSIP: 695847AK9<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |     339000 | PA      | $186487.29     | 0.00%             | 2024-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/27 #461139                                                                                 | CUSIP: 36208UHQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        215 | PA      | $223.47        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                    | METHANEX CORP 5.65% 12/01/2044                                                                           | CUSIP: 59151KAJ7<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |    1749000 | PA      | $1311750.00    | 0.01%             | 2044-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OSMOSIS DEBT MERGER SUB INC                                                      | CULLIGAN TERM B 1LN 07/30/2028                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1987262 | PA      | $1884580.64    | 0.01%             | 2028-07-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 09/46#BC2843                                                                                | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534916 | PA      | $521687.31     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/23 #780373                                                                                 | CUSIP: 36225AMW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11 | PA      | $10.71         | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 8/25 #415425                                                                                  | CUSIP: 36206MPJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        269 | PA      | $271.30        | 0.00%             | 2025-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/32 #582240                                                                                  | CUSIP: 36201FZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        751 | PA      | $787.79        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 6.5% 02/15/2048 144A                                                                  | CUSIP: 25714PDW5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     300000 | PA      | $247125.00     | 0.00%             | 2048-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 8/41 #Q02592                                                                                  | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130920 | PA      | $130371.97     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 01/15/2042#778794                                                                         | CUSIP: 36176W7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2255 | PA      | $2127.06       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACPRODUCTS HOLDINGS INC                                                          | CABINETWORKS TERM B 1LN 05/17/2028                                                                       | CUSIP: 00488YAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3415612 | PA      | $2472663.65    | 0.01%             | 2028-05-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                        | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                              | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    6938000 | PA      | $5922746.92    | 0.03%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                                      | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   39245000 | PA      | $32593518.79   | 0.17%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/27 #423188                                                                                 | CUSIP: 36206WCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         85 | PA      | $85.56         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NYT MORTGAGE TRUST 2019                                                          | NYT MORTGAGE TRUST 2019 1ML+3 11/15/2035 144A                                                            | CUSIP: 62954PAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     775000 | PA      | $633279.78     | 0.00%             | 2035-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 01/01/2028#                                                                               | CUSIP: 31283G7J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $49.23         | 0.00%             | 2028-01-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| PKHL COML MTG TR 2021-MF                                                         | PKHL COML MTG TR 2021-MF F 1ML+310 07/15/2038 144A                                                       | CUSIP: 69356GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     553000 | PA      | $495669.66     | 0.00%             | 2038-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 01/46#MA3377                                                                                | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104802 | PA      | $102158.33     | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 5/33 #781598                                                                                  | CUSIP: 36225BX37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25869 | PA      | $25871.98      | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2019                                                         | GS MTG SECS CORP TR 2019 3% 07/10/2052 144A                                                              | CUSIP: 36257HAA4<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |     525000 | PA      | $367182.90     | 0.00%             | 2052-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 01/01/2052#RA6604                                                                           | CUSIP: 3133KNKR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     943359 | PA      | $837577.28     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                          | SAUDI ARABIA KINGDOM OF 3.25% 10/22/2030 144A                                                            | CUSIP: 80413TAT6<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    5890000 | PA      | $5381987.50    | 0.03%             | 2030-10-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2048#Q55725                                                                           | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369516 | PA      | $357243.11     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/41 #AJ7472                                                                                 | CUSIP: 3138E0JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14891 | PA      | $14409.27      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BJS WHOLESALE CLUB INC                                                           | BJS WHOLESALE CLUB TERM B 1LN 02/03/2024                                                                 | CUSIP: N/A<br>LEI: 549300H2XDOGOSR9L398       | Long             | LON              | CORP              | US        |     886425 | PA      | $885955.47     | 0.00%             | 2024-02-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COMM 2012-LC4 MTG TR                                                             | COMM 2012-LC4 C CSTR 12/44                                                                               | CUSIP: 126192AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94000 | PA      | $83815.06      | 0.00%             | 2044-12-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                               | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 4.125% 04/30/2028 144A                                | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6710000 | PA      | $6038865.80    | 0.03%             | 2028-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                | GEO GROUP INC/THE 9.5% 12/31/2028 144A                                                                   | CUSIP: 36162JAD8<br>LEI: 5493003VOR6NTY465495 | Long             | DBT              | CORP              | US        |    1220000 | PA      | $1155361.55    | 0.01%             | 2028-12-31      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                | BX COMMERCIAL MORTGAGE TRUST 22-LP2 TSFR1M+196.27 02/15/2039 144A                                        | CUSIP: 05610HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6745952 | PA      | $6236791.16    | 0.03%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/23 #352026                                                                                 | CUSIP: 36203LA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38 | PA      | $37.98         | 0.00%             | 2023-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CCC INTELLIGENT SOLUTIONS INC                                                    | CCC INTELLIGENT SOLUTIONS TERM B 1LN 09/21/2028                                                          | CUSIP: 12511BAC6<br>LEI: 5493006JEEL9RIWY5T17 | Long             | LON              | CORP              | US        |     859505 | PA      | $844893.42     | 0.00%             | 2028-09-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 3/41 #A97528                                                                                  | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17585 | PA      | $17511.74      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                    | CLEARWAY ENERGY OPER LLC 3.75% 02/15/2031 144A                                                           | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    1290000 | PA      | $1092875.10    | 0.01%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HERENS US HOLDCO CORP                                                            | LONZA SPECIALTY INGREDIENTS TERM B 1LN 07/03/2028                                                        | CUSIP: N/A<br>LEI: 549300Y0CIXN5D40L888       | Long             | LON              | CORP              | US        |    1653279 | PA      | $1514403.62    | 0.01%             | 2028-07-03      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 11/29 #518019                                                                                 | CUSIP: 36211NPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1006 | PA      | $1047.12       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/32 #534007                                                                                  | CUSIP: 36212HGQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        370 | PA      | $389.89        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C9                                  | MSBAM 2013 - C9 C 4.2117% 5/46                                                                           | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     502000 | PA      | $483227.71     | 0.00%             | 2046-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.375% 04/30/2026                                                                              | CUSIP: 9128286S4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   84892000 | PA      | $80458382.87   | 0.42%             | 2026-04-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 7/39 #670624                                                                                  | CUSIP: 36295HAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8928 | PA      | $9250.48       | 0.00%             | 2039-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#731728                                                                         | CUSIP: 31402K4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23955 | PA      | $23690.52      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 12/39 #AC6795                                                                                 | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159107 | PA      | $158107.20     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV 3.68% 01/21/2030 144A                                                                          | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     615000 | PA      | $494337.00     | 0.00%             | 2030-01-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 3.75% 04/19/2071                                                            | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    1230000 | PA      | $821025.00     | 0.00%             | 2071-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P                                    | CITIGROUP COMMERCIAL 2013-375P E CSTR 05/10/2035 144A                                                    | CUSIP: 17320QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     715000 | PA      | $594369.63     | 0.00%             | 2035-05-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 09/01/2035#                                                                                 | CUSIP: 31297S6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $130.49        | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                 | COMCAST CORP NEW 6.45% 03/15/2037                                                                        | CUSIP: 20030NAM3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     797000 | PA      | $889870.66     | 0.00%             | 2037-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 4683 LM 3% 05/15/2047                                                                                | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1288790 | PA      | $1220807.69    | 0.01%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DP WORLD PLC                                                                     | DP WORLD PLC 5.625% 09/25/2048 144A                                                                      | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |     785000 | PA      | $712044.06     | 0.00%             | 2048-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                         | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                       | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4356038 | PA      | $3223555.04    | 0.02%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 7/23 #124920                                                                                  | CUSIP: 31365DVM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.44          | 0.00%             | 2023-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 01/20/2045#MA2522                                                                           | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1936577 | PA      | $1893772.15    | 0.01%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN30                                                                   | BANK 2020-BN30 2.5% 12/15/2053 144A                                                                      | CUSIP: 06541UAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189000 | PA      | $104389.75     | 0.00%             | 2053-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                                             | CUSIP: 3136ANY68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     937991 | PA      | $165976.30     | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 07/15/2043#AD2512                                                                         | CUSIP: 36180DYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39023 | PA      | $36156.97      | 0.00%             | 2043-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASP LS ACQUISITION CORP                                                          | LASERSHIP TERM 2LN 05/07/2029                                                                            | CUSIP: 51809EAE5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     295000 | PA      | $197650.00     | 0.00%             | 2029-05-07      | Variable      | 0.10%                 | No            |                  3 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                      | UNITI GRP/UNITI HLD/CSL 6% 01/15/2030 144A                                                               | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5485000 | PA      | $3957646.90    | 0.02%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2042#AL2266                                                                         | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337283 | PA      | $316548.93     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 01/01/2036#AB8259                                                                         | CUSIP: 31417FE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43557 | PA      | $43103.66      | 0.00%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KUEHG CORP                                                                       | KINDERCARE TERM 2LN 08/22/2025                                                                           | CUSIP: 50118YAB5<br>LEI: 549300YNT566T1NYJX62 | Long             | LON              | CORP              | US        |     363000 | PA      | $348349.32     | 0.00%             | 2025-08-22      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/40 #AE4428                                                                                 | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44727 | PA      | $43255.93      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST 2021-SFR8                                             | PROGRESS RESIDENTIAL TRUST 2021-SFR8 3.181% 10/17/2038 144A                                              | CUSIP: 74333TAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     203000 | PA      | $166853.11     | 0.00%             | 2038-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 4.55% 06/24/2024                                                                        | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   12340000 | PA      | $12212379.97   | 0.06%             | 2024-06-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 2/34 #725162                                                                                  | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119270 | PA      | $123725.50     | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LEVI STRAUSS and CO                                                              | LEVI STRAUSS and CO 3.5% 03/01/2031 144A                                                                 | CUSIP: 52736RBJ0<br>LEI: MB0UERO0RDFKU8258G77 | Long             | DBT              | CORP              | US        |    1670000 | PA      | $1370087.71    | 0.01%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/32 #582099                                                                                  | CUSIP: 36201FUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        723 | PA      | $758.58        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GEMS MENASA KY LTD/GEMS                                                          | GEMS MENASA KY LTD/GEMS 7.125% 07/31/2026 144A                                                           | CUSIP: 36166LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |    9030000 | PA      | $8585836.88    | 0.04%             | 2026-07-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                     | ANHEUSER-BUSCH INBEV FIN INC 4.9% 02/01/2046                                                             | CUSIP: 035242AN6<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   16343000 | PA      | $15288602.92   | 0.08%             | 2046-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 11/42#G60488                                                                                | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1115229 | PA      | $1079123.67    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                        | ISTAR INC 4.25% 08/01/2025                                                                               | CUSIP: 45031UCG4<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |     560000 | PA      | $546364.01     | 0.00%             | 2025-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                         | CHC COML MTG TR 2019-CHC 1ML+235 06/15/2034 144A                                                         | CUSIP: 162665AN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1646567 | PA      | $1544267.55    | 0.01%             | 2034-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                       | J P MORGAN CHASE COML MTG SECS TR 2018-WPT EFX 5.5422% 07/05/2033 144A                                   | CUSIP: 46645WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2783000 | PA      | $2373208.54    | 0.01%             | 2033-07-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                   | BRANDYWINE OPER PARTNERSHIP LP 3.95% 02/15/2023                                                          | CUSIP: 105340AM5<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   10562000 | PA      | $10502947.75   | 0.05%             | 2023-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CRPT 2021                                                                        | CRPT 2021-RETL D 1ML+295 07/15/2034 144A                                                                 | CUSIP: 12566BAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2245500 | PA      | $2061330.60    | 0.01%             | 2036-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 7/27 #190284                                                                                  | CUSIP: 31368HJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        350 | PA      | $361.65        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.625% 07/31/2029                                                                              | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200000000 | PA      | $186593750.00  | 0.98%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#738380                                                                         | CUSIP: 31402UJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7124 | PA      | $7048.07       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL BV                                                          | EQUATE PETROCHEMICAL BV 2.625% 04/28/2028 144A                                                           | CUSIP: 29441WAD7<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |     395000 | PA      | $337033.75     | 0.00%             | 2028-04-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 11/01/2040#AB1801                                                                         | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1253859 | PA      | $1212359.18    | 0.01%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2047#Q51234                                                                           | CUSIP: 3132XTLQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26826 | PA      | $25960.39      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 5/27 #379801                                                                                  | CUSIP: 31377K3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1077 | PA      | $1117.44       | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #AH0921                                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130154 | PA      | $125850.73     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 10/42 #Q11886                                                                                 | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52525 | PA      | $49347.99      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TNT CRANE and RIGGING LLC                                                        | TNT CRANE and RIGGING LLC TERM 2LN 04/16/2025                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     418990 | PA      | $391755.26     | 0.00%             | 2025-04-16      | Variable      | 0.12%                 | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2% 10/01/2041#                                                                                 | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22712 | PA      | $19286.59      | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 6.75% 01/15/2044 144A                                                              | CUSIP: 455780BR6<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     380000 | PA      | $418991.80     | 0.00%             | 2044-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MOROCCO KINGDOM OF                                                               | MOROCCO KINGDOM OF 4% 12/15/2050 144A                                                                    | CUSIP: 617726AM6<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |     200000 | PA      | $137100.00     | 0.00%             | 2050-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMR HMS 15-SFR2                                                                  | AMERICAN HOMES 4 RENT 2015-SFR2 TR 6.07% 10/17/2052 144A                                                 | CUSIP: 02666BAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     611000 | PA      | $594454.98     | 0.00%             | 2052-10-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 12/39 #704808                                                                                 | CUSIP: 36296YAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30304 | PA      | $29975.65      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                      | ROYAL CARIBBEAN CRUISES LTD 5.375% 07/15/2027 144A                                                       | CUSIP: 780153BK7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    1095000 | PA      | $907318.43     | 0.00%             | 2027-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 09/01/2042#AB6181                                                                         | CUSIP: 31417C2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315217 | PA      | $285775.48     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.746%/VAR 08/09/2033                                                               | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1073000 | PA      | $1027774.94    | 0.01%             | 2033-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/33 #740225                                                                                  | CUSIP: 31402WLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26468 | PA      | $26165.88      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                            | DIRECTV TERM 1LN 08/02/2027                                                                              | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2074522 | PA      | $1983989.59    | 0.01%             | 2027-08-02      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/28 #572167                                                                                 | CUSIP: 31386STY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        245 | PA      | $254.57        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/40 #737532                                                                                 | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8775 | PA      | $8481.76       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2047#BH4092                                                                         | CUSIP: 3140GSRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150249 | PA      | $148817.93     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 2.125%/VAR 11/15/2029 REGS                                                          | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |    2000000 | PA      | $1719332.52    | 0.01%             | 2029-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/01/2040#V81792                                                                         | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     725419 | PA      | $683403.43     | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 3.472% 12/01/2040#AE0653                                                                        | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     485951 | PA      | $490526.38     | 0.00%             | 2040-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 6/33 #254851                                                                                  | CUSIP: 31371LBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24711 | PA      | $24433.14      | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEERFIELD DAKOTA HOLDING LLC                                                     | DUFF and PHELPS TERM B 1LN 04/09/2027                                                                    | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |    1032703 | PA      | $974427.53     | 0.01%             | 2027-04-09      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A                                      | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6745952 | PA      | $6366022.02    | 0.03%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 4.56% 6/33 #780605                                                                              | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18604 | PA      | $18738.09      | 0.00%             | 2033-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/31 #538864                                                                                  | CUSIP: 36212NTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        692 | PA      | $725.83        | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/47#BH5768                                                                              | CUSIP: 3140GUMS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82006 | PA      | $81224.39      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/25 #416564                                                                                 | CUSIP: 36206NWZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79 | PA      | $79.64         | 0.00%             | 2025-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 3.25% 05/15/2042                                                             | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  112951000 | PA      | $101461765.47  | 0.53%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/23 #352051                                                                                 | CUSIP: 36203LBU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $53.07         | 0.00%             | 2023-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 5/29 #252492                                                                                  | CUSIP: 31371HNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        386 | PA      | $406.25        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033          | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14572000 | PA      | $12772575.71   | 0.07%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/46#Q38879                                                                                | CUSIP: 3132QV2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27830 | PA      | $27062.56      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #719216                                                                                  | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77127 | PA      | $76358.41      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK15                                                                  | BANK 2018-BNK15 E 3% 11/15/2061 144A                                                                     | CUSIP: 06036FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $273434.25     | 0.00%             | 2061-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC           | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 3.5% 03/15/2029 144A              | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7345000 | PA      | $6118550.26    | 0.03%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 3.755% 03/15/2027 144A                                                                    | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    9262000 | PA      | $8440301.48    | 0.04%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                      | ASURION TERM B10 1LN 08/17/2028                                                                          | CUSIP: 04649VBB5<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    2783329 | PA      | $2434243.66    | 0.01%             | 2028-08-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 7.75% 09/01/2025 144A                                                                 | CUSIP: 903724AQ5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1640000 | PA      | $408770.00     | 0.00%             | 2025-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BXP TR 2021-601L                                                                 | BXP TR 2021-601L VAR 01/15/2044 144A                                                                     | CUSIP: 05607TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189000 | PA      | $110016.58     | 0.00%             | 2044-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/46#AS7009                                                                                | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41198 | PA      | $38724.31      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 03/01/2033#MA3312                                                                           | CUSIP: 31418CVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1730402 | PA      | $1650811.33    | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 5.375% 02/01/2028 144A                                                                  | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    4285000 | PA      | $3835685.61    | 0.02%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 01/01/2042#AJ5572                                                                         | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     586176 | PA      | $566547.41     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/32 #646414                                                                                  | CUSIP: 31390HDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        438 | PA      | $465.36        | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 8.5% 10/12/2035 144A                                                               | CUSIP: 455780AT3<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |    1910000 | PA      | $2400989.38    | 0.01%             | 2035-10-12      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/26 #780299                                                                                  | CUSIP: 36225AKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $45.37         | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HARVEST MIDSTREAM I LP                                                           | HARVEST MIDSTREAM I LP 7.5% 09/01/2028 144A                                                              | CUSIP: 417558AA1<br>LEI: 549300DW5M17KJOXCY66 | Long             | DBT              | CORP              | US        |     765000 | PA      | $732487.50     | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 05/01/2043#AT4165                                                                         | CUSIP: 3138WRTX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9541 | PA      | $8741.11       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 2/28 #438403                                                                                  | CUSIP: 36207QAC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        328 | PA      | $336.41        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CROWNROCK L P / CROWNROCK FIN INC                                                | CROWNROCK LP / CROWNROCK FIN INC 5% 05/01/2029 144A                                                      | CUSIP: 228701AG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     940000 | PA      | $865411.00     | 0.00%             | 2029-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANASTASIA PARENT LLC                                                             | ANASTASIA BEVERLY HILLS TERM B 08/10/2025                                                                | CUSIP: 03275UAB1<br>LEI: 254900JLBMA86EYGCG20 | Long             | LON              | CORP              | US        |    3578482 | PA      | $2636267.59    | 0.01%             | 2025-08-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 2.875% 02/15/2025 144A                                                       | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   12030000 | PA      | $11043826.80   | 0.06%             | 2025-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHR 2162 PH 6 6/29                                                                                       | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       5765 | PA      | $5851.13       | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 7/41 #MA0791                                                                                  | CUSIP: 31417Y2Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22450 | PA      | $22862.30      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC                                    | SYMPHONY CLO XXVI LTD 2021-26A AR 3ML+108 04/20/2033 144A                                                | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26688000 | PA      | $25876738.18   | 0.14%             | 2033-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 09/01/2040#G06023                                                                           | CUSIP: 3128M8AY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36887 | PA      | $35710.23      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 9/40 #AE3950                                                                                  | CUSIP: 31419EL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12027 | PA      | $11623.06      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 12/20/2045#MA3311                                                                             | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131925 | PA      | $128885.82     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 07/01/2050#FM3611                                                                         | CUSIP: 3140X7AM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5198015 | PA      | $4501651.78    | 0.02%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTICE FING SA                                                                   | ALTICE FING SA 5% 01/15/2028 144A                                                                        | CUSIP: 02154CAF0<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    3039000 | PA      | $2479459.32    | 0.01%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 08/01/2032#J37452                                                                           | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61680 | PA      | $59029.03      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY GROUP                                                             | RYAN SPECIALTY TERM B 1LN 09/01/2027                                                                     | CUSIP: 78350UAE5<br>LEI: 549300K52N7QBO3PYY45 | Long             | LON              | CORP              | US        |    1897991 | PA      | $1883281.93    | 0.01%             | 2027-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2998 LY 5.5 7/25                                                                                     | CUSIP: 31395VV55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      10613 | PA      | $10858.42      | 0.00%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #748242                                                                                 | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6422 | PA      | $6201.27       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2012-76 GS -1ML+670 6/42                                                                             | CUSIP: 38375C5E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     134624 | PA      | $13953.33      | 0.00%             | 2042-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 10/01/2050#CA7229                                                                         | CUSIP: 3140QFA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19709189 | PA      | $17081122.51   | 0.09%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 4.2% 10/15/2050                                                                    | CUSIP: 455780CT1<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |   24000000 | PA      | $19772640.00   | 0.10%             | 2050-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIA DE MINAS BUENAVENTURA SAA                                                    | CIA DE MINAS BUENAVENTURA SAA 5.5% 07/23/2026 144A                                                       | CUSIP: 204448AA2<br>LEI: 529900WQB1ZU9KB6EL71 | Long             | DBT              | CORP              | PE        |     425000 | PA      | $366775.00     | 0.00%             | 2026-07-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 4.125% 12/01/2030 144A                                                                  | CUSIP: 126307BB2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    1490000 | PA      | $1143575.00    | 0.01%             | 2030-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 4/42 #G06993                                                                                  | CUSIP: 3128M9C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19713 | PA      | $18534.04      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2047#G08751                                                                         | CUSIP: 3128MJZR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33260 | PA      | $31167.13      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2046#V82292                                                                           | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405312 | PA      | $393875.99     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2034#357561                                                                         | CUSIP: 31376KFA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33127 | PA      | $32756.14      | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/28 #481840                                                                                 | CUSIP: 31382GHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $39.73         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 7/27 #451326                                                                                  | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        196 | PA      | $202.64        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 04/01/2048#Q55500                                                                         | CUSIP: 3132XYDE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     225385 | PA      | $223586.97     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 04/01/2050#FM3830                                                                           | CUSIP: 3140X7HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20248281 | PA      | $18218235.36   | 0.10%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 6.50% 8/27 #256856                                                                             | CUSIP: 31371NH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5030 | PA      | $5117.64       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK AS (UNGTD) 5.375% 01/12/2024 REGS                                                            | CUSIP: 23636BAT6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    5350000 | PA      | $5321205.34    | 0.03%             | 2024-01-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ADVANTAGE SALES and MARKETING INC DEL                                            | ADVANTAGE SALES and MARKETING INC DEL 6.5% 11/15/2028 144A                                               | CUSIP: 00775PAA5<br>LEI: 549300T4O24KQDED1182 | Long             | DBT              | CORP              | US        |    7015000 | PA      | $5491482.30    | 0.03%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABIC CAPITAL I BV                                                               | SABIC CAPITAL I BV 2.15% 09/14/2030 REGS                                                                 | CUSIP: N/A<br>LEI: 213800LBMMAIG1FQP389       | Long             | DBT              | CORP              | NL        |     490000 | PA      | $409150.00     | 0.00%             | 2030-09-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 10/33 #748267                                                                                 | CUSIP: 31403GJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9855 | PA      | $9746.28       | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                               | LUMEN TECHNOLOGIES 4.5% 01/15/2029 144A                                                                  | CUSIP: 156700BD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |    7015000 | PA      | $4750207.25    | 0.02%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 5.0% 05/15/2033#604338                                                                         | CUSIP: 36200MLT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2991 | PA      | $2991.36       | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2045#AS6302                                                                         | CUSIP: 3138WGAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27765 | PA      | $26115.36      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 4/28 #418412                                                                                  | CUSIP: 31379FYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $75.48         | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5% 07/15/2025                                       | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    7728000 | PA      | $7807289.82    | 0.04%             | 2025-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | ARES CAPITAL CORP 4.2% 06/10/2024                                                                        | CUSIP: 04010LAX1<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   17909000 | PA      | $17361230.67   | 0.09%             | 2024-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2022-GC48                                                  | CITIGROUP COML MTG TR 2022-GC48 2.5% 06/15/2055 144A                                                     | CUSIP: 29426VAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     840000 | PA      | $441183.54     | 0.00%             | 2055-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 02/01/2044#Q24572                                                                         | CUSIP: 3132M4W92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15595 | PA      | $15626.28      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                 | AMERICAN INTERNATIONAL GRP INC 2.5% 06/30/2025                                                           | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   20400000 | PA      | $19262117.99   | 0.10%             | 2025-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3258 PM 5.5 12/36                                                                                    | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      43091 | PA      | $44153.60      | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                   | BLACKSTONE PRIVATE CREDIT FUND 7.05% 09/29/2025 144A                                                     | CUSIP: 09261HAY3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   18929000 | PA      | $18966722.85   | 0.10%             | 2025-09-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                                | DRYDEN 98 CLO LTD TSFR3M+130 04/20/2035 144A                                                             | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9084000 | PA      | $8754723.17    | 0.05%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 01/01/2053 #TBA                                                                             | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46700000 | PA      | $43346169.45   | 0.23%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR REPUBLIC OF                                                          | EL SALVADOR REPUBLIC OF 7.625% 02/01/2041 144A                                                           | CUSIP: 283875AQ5<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |     120000 | PA      | $43500.00      | 0.00%             | 2041-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3287 SD -1ML+675 3/37                                                                                | CUSIP: 31397G6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     221254 | PA      | $30400.55      | 0.00%             | 2037-03-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 11/25 #416022                                                                                 | CUSIP: 36206ND36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        368 | PA      | $374.89        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 3.85% 10/15/2030                                                                   | CUSIP: 455780CS3<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     460000 | PA      | $431250.00     | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/28 #458877                                                                                  | CUSIP: 36208RXE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        165 | PA      | $170.34        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENN ENERGY HLDGS LTD                                                             | ENN ENERGY HLDGS LTD 4.625% 05/17/2027 144A                                                              | CUSIP: 29336EAA1<br>LEI: 549300V7BXPWT6WIPR03 | Long             | DBT              | CORP              | KY        |     890000 | PA      | $855014.10     | 0.00%             | 2027-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE GROUP INC                                                      | COLUMBIA PIPELINE GROUP INC 4.5% 06/01/2025                                                              | CUSIP: 198280AF6<br>LEI: 549300SRP1TQM9JJBG80 | Long             | DBT              | CORP              | US        |    1708000 | PA      | $1682080.11    | 0.01%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 7/26 #352776                                                                                  | CUSIP: 31376D2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.01          | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.31% 2/36 #822116                                                                              | CUSIP: 31406WK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6166 | PA      | $6178.45       | 0.00%             | 2036-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2005-102 CO 0% 11/35                                                                                 | CUSIP: 31394UHV7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      17605 | PA      | $14973.22      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 01/01/2025#                                                                               | CUSIP: 31292GM86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.73          | 0.00%             | 2025-01-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                        | FLATIRON CLO 20 LTD / LLC 3ML+130 11/20/2033 144A                                                        | CUSIP: 33883MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19341000 | PA      | $18822931.97   | 0.10%             | 2033-11-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                     | COCA COLA CO 3.45% 03/25/2030                                                                            | CUSIP: 191216CT5<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    7303000 | PA      | $6801129.00    | 0.04%             | 2030-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 2/41 #738002                                                                                  | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29781 | PA      | $28783.09      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2047#AX5855                                                                           | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16744 | PA      | $16146.83      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C23                                                  | JPMBB 2014-C23 UH5 4.7094% 09/15/2047 144A                                                               | CUSIP: 46643AAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106000 | PA      | $77833.52      | 0.00%             | 2047-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE 2018-C43 C                                       | WELLS FARGO COMMERCIAL MORTGAGE 2018-C43 C 4.514% 03/15/2051                                             | CUSIP: 95001LAZ5<br>LEI: 549300RVQJTKIK3XGD11 | Long             | ABS-MBS          | CORP              | US        |     228000 | PA      | $191371.64     | 0.00%             | 2051-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ADS TACTICAL INC                                                                 | ADS TACTICAL TERM B 1LN 03/19/2026                                                                       | CUSIP: 00737BAD7<br>LEI: 549300N0X4211SRFZV95 | Long             | LON              | CORP              | US        |    1748250 | PA      | $1564683.75    | 0.01%             | 2026-03-19      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                     | DISCOVERY COMMUNICATIONS LLC 3.625% 05/15/2030                                                           | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    7624000 | PA      | $6422898.50    | 0.03%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 12/41 #739352                                                                                 | CUSIP: 3620ATL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90415 | PA      | $85163.35      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 02/01/2052#QD7331                                                                           | CUSIP: 3133B5EC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     856773 | PA      | $760433.34     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMERGENT BIOSOLUTIONS INC                                                        | EMERGENT BIOSOLUTIONS INC 3.875% 08/15/2028 144A                                                         | CUSIP: 29089QAC9<br>LEI: 549300YW6TUOX8BE5103 | Long             | DBT              | CORP              | US        |    6310000 | PA      | $2839500.00    | 0.01%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                                         | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46951 | PA      | $36595.97      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 07/15/2046#AT7623                                                                           | CUSIP: 36194GPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26030 | PA      | $25126.72      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 07/01/2050#CA6275                                                                           | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2166100 | PA      | $1794727.62    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENVIVA PARTNERS LP / ENVIVA PARTNERS FINANCE CORP                                | ENVIVA PARTNERS LP / ENVIVA PARTNERS FINANCE CORP 6.5% 01/15/2026 144A                                   | CUSIP: 29413XAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     435000 | PA      | $414729.39     | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VACO HOLDINGS LLC                                                                | VACO HOLDINGS TERM 1LN 01/21/2029                                                                        | CUSIP: N/A<br>LEI: 54930076HTNXBP03T379       | Long             | LON              | CORP              | US        |     769188 | PA      | $733135.68     | 0.00%             | 2029-01-21      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059                                                           | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   22287000 | PA      | $23622667.93   | 0.12%             | 2059-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2005-73 SA -1ML+1755 8/35                                                                            | CUSIP: 31394EB64<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       4068 | PA      | $4206.77       | 0.00%             | 2035-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/28 #457257                                                                                 | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1110 | PA      | $1134.96       | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NAVEX TOPCO INC                                                                  | NAVEX TERM B 1LN 09/05/2025                                                                              | CUSIP: 63941EAC3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     719550 | PA      | $710404.72     | 0.00%             | 2025-09-05      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/39 #AB0042                                                                                  | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724328 | PA      | $716453.43     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/30 #590851                                                                                  | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15035 | PA      | $15677.58      | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 12/27 #405830                                                                                 | CUSIP: 31378QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        261 | PA      | $272.58        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 10/25 #250359                                                                                 | CUSIP: 31371FB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $125.73        | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 1ML+45 02/20/2049                                                         | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1449238 | PA      | $1433549.71    | 0.01%             | 2049-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 9/24 #369524                                                                                  | CUSIP: 36204GPH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $9.85          | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                                                    | SEMPRA ENERGY 6% 10/15/2039                                                                              | CUSIP: 816851AP4<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    5447000 | PA      | $5499923.11    | 0.03%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE4056                                                                           | CUSIP: 31419EQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100210 | PA      | $96848.85      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.125% 02/01/2028 144A                                | CUSIP: 46590XAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7390000 | PA      | $7046976.89    | 0.04%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                          | ALABAMA POWER CO 3.05% 03/15/2032                                                                        | CUSIP: 010392FX1<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   13712000 | PA      | $11933702.92   | 0.06%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 9/39 #AC1876                                                                                  | CUSIP: 31417LCN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151370 | PA      | $146469.98     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                          | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    9060000 | NC      | $123946.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERIT 2021                                                                       | MHP 2021-STOR J 1ML+395 07/15/2038 144A                                                                  | CUSIP: 55293BAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173000 | PA      | $155221.78     | 0.00%             | 2038-07-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2014-25 HC 3% 2/44                                                                                   | CUSIP: 38379AEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1323800 | PA      | $1220725.34    | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 12/31 #614978                                                                                 | CUSIP: 31388UFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        507 | PA      | $539.10        | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 7/40 #733784                                                                                  | CUSIP: 3620AMFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10384 | PA      | $10492.89      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #726923                                                                                  | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13648 | PA      | $13488.13      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MISC CAPITAL TWO LABUAN LIMITED                                                  | MISC CAPITAL TWO LABUAN LIMITED 3.75% 04/06/2027 144A                                                    | CUSIP: 60475DAB7<br>LEI: 9845000ED8376T875113 | Long             | DBT              | CORP              | MY        |    1040000 | PA      | $947570.00     | 0.00%             | 2027-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AH1256                                                                                  | CUSIP: 3138A2ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64962 | PA      | $62782.22      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/32 #553440                                                                                  | CUSIP: 36213FZD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        422 | PA      | $438.36        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BXSC 2022-WSS F                                                                  | BXSC 2022-WSS F 5.579% 03/15/2035 144A                                                                   | CUSIP: 05610BAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1534000 | PA      | $1422519.00    | 0.01%             | 2035-03-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FRANKLIN BSP REALTY TRUST INC/DUPE                                               | FRANKLIN BSP RE 7.5% PFD PERP                                                                            | CUSIP: 35243J200<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      18900 | NS      | $355131.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 11/23 #050930                                                                                 | CUSIP: 313615ST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.95         | 0.00%             | 2023-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TERRAFORM POWER OPERATING LLC                                                    | TERRAFORM POWER TERM B 1LN 05/20/2029                                                                    | CUSIP: 88103NAK6<br>LEI: 5493000S2OLR3UT5BE13 | Long             | LON              | CORP              | US        |    1027425 | PA      | $1019287.79    | 0.01%             | 2029-05-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/28 #467737                                                                                  | CUSIP: 36209CS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         93 | PA      | $93.90         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 4/40 #727849                                                                                  | CUSIP: 3620AETE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7712 | PA      | $7638.97       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                               | CENOVUS ENERGY INC 5.4% 06/15/2047                                                                       | CUSIP: 15135UAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    2296000 | PA      | $2120824.09    | 0.01%             | 2047-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 6/35 #828064                                                                                  | CUSIP: 31407D5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1790 | PA      | $1869.66       | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WALKER and DUNLOP INC                                                            | WALKER and DUNLOP TERM B 1LN 12/16/2028                                                                  | CUSIP: 93148QAG5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1296780 | PA      | $1274085.96    | 0.01%             | 2028-12-16      | Variable      | 0.06%                 | No            |                  3 | On Loan: No      |
| NCL CORP LTD                                                                     | NCL CORP LTD 3.625% 12/15/2024 144A                                                                      | CUSIP: 62886HAP6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    1755000 | PA      | $1525318.94    | 0.01%             | 2024-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                   | CSMC 2019-ICE4 B 1ML+123 05/15/2036 144A                                                                 | CUSIP: 12653VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9047000 | PA      | $8877746.91    | 0.05%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2046#AS7594                                                                         | CUSIP: 3138WHNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47609 | PA      | $44736.31      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 06/15/2043#AE9860                                                                         | CUSIP: 36181D5V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2904 | PA      | $2752.13       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MESQUITE ENERGY INC                                                              | MESQUITE ENERGY INC                                                                                      | CUSIP: N/A<br>LEI: 549300SB0HTIM17TVR61       | Long             | EC               | CORP              | US        |      66231 | NS      | $4096410.62    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                             | LIFE 2021-BMR MTG TR 1ML+110 03/15/2036 144A                                                             | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2053425 | PA      | $1934967.91    | 0.01%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 9/42 #AP6523                                                                                  | CUSIP: 3138MAG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19333 | PA      | $18163.10      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                            | REYNOLDS AMERICAN INC 5.7% 08/15/2035                                                                    | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    1538000 | PA      | $1419860.18    | 0.01%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/32 #565960                                                                                  | CUSIP: 36213VWV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1150 | PA      | $1205.09       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                     | UNIVISION COMMUNICATIONS INC 6.625% 06/01/2027 144A                                                      | CUSIP: 914906AU6<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    5690000 | PA      | $5545080.93    | 0.03%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                           | MPT OPER PARTNERSHIP LP/CORP 5% 10/15/2027                                                               | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16030000 | PA      | $13686414.00   | 0.07%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/33 #727147                                                                                  | CUSIP: 31402EZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27827 | PA      | $27512.33      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 7/35 #G01838                                                                                  | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263930 | PA      | $266671.96     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                         | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70043 | PA      | $69669.39      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAMSONITE IP HOLDINGS SARL                                                       | SAMSONITE TERM B2 1LN 04/25/2025                                                                         | CUSIP: N/A<br>LEI: 222100XV7DJLCY8IA009       | Long             | LON              | CORP              | LU        |    1260174 | PA      | $1244422.27    | 0.01%             | 2025-04-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 3.622/VAR 04/01/2031                                                                      | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   21065000 | PA      | $18772242.64   | 0.10%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 09/20/2043#MA1285                                                                           | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     890157 | PA      | $845883.19     | 0.00%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | FX Forward: USD/GBP settle 2022-12-08                                                                    | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |          1 | NC      | $-1563772.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LHS BORROWER LLC                                                                 | LHS BORROWER TERM B 1LN 02/18/2029                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    2736250 | PA      | $2206101.56    | 0.01%             | 2029-02-18      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 05/01/2048#Q55839                                                                         | CUSIP: 3132XYPZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180200 | PA      | $178401.83     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                | DELL INTL/EMC CORP 5.85% 07/15/2025                                                                      | CUSIP: 24703TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2748000 | PA      | $2791183.28    | 0.01%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                  | ESKOM HLDGS LTD 6.75% 08/06/2023 144A                                                                    | CUSIP: 29646AAA4<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |    1395000 | PA      | $1360125.00    | 0.01%             | 2023-08-06      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2033#742197                                                                         | CUSIP: 31402YRS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1752 | PA      | $1726.87       | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFC ACQUISITION CORP                                                             | PF CHANGS TERM B 1LN 03/01/2026                                                                          | CUSIP: 69345YAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1828870 | PA      | $1597206.95    | 0.01%             | 2026-03-01      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| REALOGY GROUP LLC / REALOGY CO-ISSUER CORP                                       | REALOGY GROUP LLC / REALOGY CO-ISSUER CORP 5.75% 01/15/2029 144A                                         | CUSIP: 75606DAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     105000 | PA      | $80193.75      | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                                             | CUSIP: 3136A8PY0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     460461 | PA      | $21347.13      | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 10/39 #711463                                                                                 | CUSIP: 36297GML1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10902 | PA      | $10797.53      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENCENT HLDGS LTD                                                                | TENCENT HLDGS LTD 1.81% 01/26/2026 144A                                                                  | CUSIP: 88032WAT3<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     350000 | PA      | $313862.50     | 0.00%             | 2026-01-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 11/34 #605771                                                                                 | CUSIP: 36200N6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2703 | PA      | $2811.28       | 0.00%             | 2034-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 5/35 #G01818                                                                                  | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40960 | PA      | $41433.66      | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 10/01/2051#QC8516                                                                           | CUSIP: 3133ATN98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     922465 | PA      | $819891.12     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019-RLJ                                                  | BAMLL COML MTG SECS TR 2019-RLJ 1ML+195 04/15/2036 144A                                                  | CUSIP: 05492HAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1045000 | PA      | $998988.23     | 0.01%             | 2036-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT OF                                                            | BERMUDA GOVERNMENT OF 3.717% 01/25/2027 144A                                                             | CUSIP: 085209AD6<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    1185000 | PA      | $1119676.88    | 0.01%             | 2027-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C26                                                  | JPMBB 2014-C26 D CSTR 01/15/2048 144A                                                                    | CUSIP: 46643TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2126000 | PA      | $1795169.31    | 0.01%             | 2048-01-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A96876                                                                                  | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18940 | PA      | $18861.20      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/39 #698433                                                                                  | CUSIP: 36296Q4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6063 | PA      | $6119.32       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AB7457                                                                         | CUSIP: 31417EJB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     746157 | PA      | $684290.30     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTERGEN NV                                                                      | INTERGEN NV 7% 06/30/2023 144A                                                                           | CUSIP: 45867XAG9<br>LEI: 549300E3XRGX2JMPEC79 | Long             | DBT              | CORP              | NL        |    4030000 | PA      | $3942400.45    | 0.02%             | 2023-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 10/39 #723228                                                                                 | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7731 | PA      | $7791.77       | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2051#FM9632                                                                           | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6303833 | PA      | $5628486.67    | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBW ENERGIE BADEN-WUERTTEM AG                                                   | ENBW ENERGIE BADEN-WUERTTEM AG 1.375%/VAR 08/31/2081 REGS                                                | CUSIP: N/A<br>LEI: 529900JSFZ4TS59HKD79       | Long             | DBT              | CORP              | DE        |    1900000 | PA      | $1446736.60    | 0.01%             | 2081-08-31      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ROCKWOOD SERVICE CORPORATION                                                     | ACUREN TERM B 1LN 1/23/2027                                                                              | CUSIP: 77447JAH0<br>LEI: 549300PFYAJBMVGJ7074 | Long             | LON              | CORP              | US        |    1935929 | PA      | $1888750.51    | 0.01%             | 2027-01-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 4.862% 08/21/2046                                                             | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   14509000 | PA      | $13245738.66   | 0.07%             | 2046-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 3/41 #A97620                                                                                  | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5800 | PA      | $5775.85       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 9/42 #Q11420                                                                                  | CUSIP: 3132HMSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5016 | PA      | $4705.82       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 4.25% 03/14/2024                                                                       | CUSIP: 404280AP4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2247000 | PA      | $2209779.46    | 0.01%             | 2024-03-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2033#730005                                                                         | CUSIP: 31402JAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3546 | PA      | $3507.16       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                                     | BX 2021-SOAR 2.45% 06/15/2023 144A                                                                       | CUSIP: 05608WAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1316031 | PA      | $1220349.57    | 0.01%             | 2038-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GUATEMALA, REP OF                                                                | GUATEMALA REP OF 5.375% 04/24/2032 144A                                                                  | CUSIP: 401494AS8<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     490000 | PA      | $473095.00     | 0.00%             | 2032-04-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 12/25 #332858                                                                                 | CUSIP: 31375EWT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $103.71        | 0.00%             | 2025-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 10/28 #464231                                                                                 | CUSIP: 36208XVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1263 | PA      | $1304.25       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 3/35 #808198                                                                                  | CUSIP: 31406E3F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14116 | PA      | $13982.95      | 0.00%             | 2035-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PTT TREASURY CENTER CO LTD                                                       | PTT TREASURY CENTER CO LTD 3.7% 07/16/2070 144A                                                          | CUSIP: 74446T2C6<br>LEI: 254900FBQLIN5XACCX50 | Long             | DBT              | CORP              | TH        |     335000 | PA      | $211050.00     | 0.00%             | 2070-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEATTLE SPINCO INC                                                               | MICRO FOCUS TERM B 1LN 03/01/2027                                                                        | CUSIP: 81271EAC5<br>LEI: 213800AAQDP1DDU8BK05 | Long             | LON              | CORP              | US        |    5164283 | PA      | $5073908.50    | 0.03%             | 2027-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 4/15/43 #AD2356                                                                           | CUSIP: 36180DTM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5015 | PA      | $4646.27       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NUVEEN FINANCE LLC                                                               | NUVEEN FINANCE LLC 4.125% 11/01/2024 144A                                                                | CUSIP: 87246YAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2195000 | PA      | $2134409.53    | 0.01%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 10/01/2051#RA6076                                                                           | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10129636 | PA      | $8367612.16    | 0.04%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2011-C2                                                  | MSC 2011-C2 D CSTR 6/44                                                                                  | CUSIP: 617459AJ1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     634621 | PA      | $596176.08     | 0.00%             | 2044-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                                                   | VOC ESCROW LTD 5% 02/15/2028 144A                                                                        | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1115000 | PA      | $960996.20     | 0.01%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 08/01/2051#FM9973                                                                           | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3746698 | PA      | $3352915.17    | 0.02%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DA VINCI PURCHASER CORP                                                          | WIRB-COPERNICUS GROUP TERM B 1LN 12/13/2026                                                              | CUSIP: 23343FAB0<br>LEI: 254900CEZYHAWVXDTS47 | Long             | LON              | CORP              | US        |    3687575 | PA      | $3457101.96    | 0.02%             | 2026-12-13      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                       | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   21312000 | PA      | $19372831.14   | 0.10%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CNTL AMR BOTTLING CORP                                                           | CNTL AMR BOTTLING CORP 5.25% 04/27/2029 144A                                                             | CUSIP: 15239XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |     845000 | PA      | $755218.75     | 0.00%             | 2029-04-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #745231                                                                                  | CUSIP: 3620C04Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95572 | PA      | $94658.26      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 2.967% 8/41#AI8879                                                                              | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20164 | PA      | $20367.37      | 0.00%             | 2041-08-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.65% 10/29/2024                                      | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   21930000 | PA      | $20179234.02   | 0.11%             | 2024-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                          | PHILIPPINES REPUBLIC OF 2.95% 05/05/2045                                                                 | CUSIP: 718286CH8<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     270000 | PA      | $193079.70     | 0.00%             | 2045-05-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 6% 06/15/2048                                                                         | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3699000 | PA      | $3397464.81    | 0.02%             | 2048-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                             | SOLENIS TERM B 1LN 11/09/2028                                                                            | CUSIP: 68163YAB1<br>LEI: 549300YU2GGVCBN3MY89 | Long             | LON              | CORP              | US        |    2869796 | PA      | $2740655.46    | 0.01%             | 2028-11-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 01/01/2048#V83906                                                                           | CUSIP: 3132L9KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1453827 | PA      | $1400995.94    | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLARIVATE SCIENCE HLDGS CORP                                                     | CLARIVATE SCIENCE HLDGS CORP 3.875% 07/01/2028 144A                                                      | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     695000 | PA      | $624652.10     | 0.00%             | 2028-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | TIME WARNER CABLE LLC 4.5% 09/15/2042                                                                    | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   10467000 | PA      | $7857281.63    | 0.04%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/29 #502272                                                                                  | CUSIP: 36210T6H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        585 | PA      | $606.59        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 6/26 #349340                                                                                  | CUSIP: 31376ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $64.30         | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC                                                              | WHITE CAP TERM B 1LN 10/19/2027                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    2617043 | PA      | $2516626.69    | 0.01%             | 2027-10-19      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 7.375%/VAR 09/07/2033 REGS                                                          | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |    1100000 | PA      | $1229804.80    | 0.01%             | 2033-09-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                    | COMMSCOPE INC 7.125% 07/01/2028 144A                                                                     | CUSIP: 203372AV9<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1379500.00    | 0.01%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 5.12% 10/36 #1A1201                                                                             | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25599 | PA      | $25585.75      | 0.00%             | 2036-10-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3189 PD 6% 7/36                                                                                      | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      96812 | PA      | $100597.16     | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                                           | ATHENAHEALTH GROUP INC 6.5% 02/15/2030 144A                                                              | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |     695000 | PA      | $520486.89     | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 5.25% 01/15/2026                                                          | CUSIP: 681936BH2<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   10610000 | PA      | $10357082.00   | 0.05%             | 2026-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP / GLP FIN CORP                                                | GLOBAL PARTNERS LP / GLP FIN CORP 6.875% 01/15/2029                                                      | CUSIP: 37954FAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1595000 | PA      | $1448260.00    | 0.01%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TENGIZCHEVROIL FINANCE CO INTERNATIONAL LTD                                      | TENGIZCHEVROIL FIN CO IN 3.25% 08/15/2030 144A                                                           | CUSIP: 88034QAC1<br>LEI: 5493001VEV2XTJIBZH31 | Long             | DBT              | CORP              | BM        |     955000 | PA      | $670887.50     | 0.00%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/31 #545159                                                                                  | CUSIP: 36212VTQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        613 | PA      | $642.42        | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 11/28 #453481                                                                                 | CUSIP: 31380XXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        103 | PA      | $103.62        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 3/34 #755628                                                                                  | CUSIP: 31403RPM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5059 | PA      | $5106.89       | 0.00%             | 2034-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 6/23 #334644                                                                                  | CUSIP: 36224PWD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.13         | 0.00%             | 2023-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/28 #450349                                                                                  | CUSIP: 36208GH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         71 | PA      | $73.69         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #479430                                                                                 | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117501 | PA      | $113506.91     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 3% 01/30/2030                                                                       | CUSIP: 195325DR3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1800000 | PA      | $1354500.00    | 0.01%             | 2030-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 5/34 #572257                                                                                  | CUSIP: 36200TWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3861 | PA      | $3964.47       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                   | FHR 2043 ZH 6% 4/28                                                                                      | CUSIP: 3133TDPN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      12158 | PA      | $12331.67      | 0.00%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/40#AE7390                                                                                | CUSIP: 31419JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119545 | PA      | $115665.16     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC43                                                  | CITIGROUP COML MTG TR 2019-GC43 3% 11/10/2052 144A                                                       | CUSIP: 17328HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651000 | PA      | $415444.50     | 0.00%             | 2052-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 08/20/2043#MA1224                                                                           | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36865 | PA      | $35031.59      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2048#BJ5507                                                                         | CUSIP: 3140H7DM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44762 | PA      | $44349.67      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                   | PLAINS ALL AM PIPELN/PAA FIN C 3.6% 11/01/2024                                                           | CUSIP: 72650RBF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2794000 | PA      | $2695221.37    | 0.01%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 07/15/2041#769171                                                                           | CUSIP: 36176LJQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6187 | PA      | $6026.06       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 1.5% 04/01/2041#RB5107                                                                         | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1240660 | PA      | $1013945.23    | 0.01%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2001-52 YZ 6.5% 10/31                                                                                | CUSIP: 313921MN5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       3956 | PA      | $4084.17       | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 10/27 #401913                                                                                 | CUSIP: 31378LN65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $53.94         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                     | SBA TOWER TR 2.328% 07/15/2052 144A                                                                      | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3812000 | PA      | $3180377.52    | 0.02%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 07/01/2050#CA6312                                                                           | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6651609 | PA      | $5978497.79    | 0.03%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 8/36 #888034                                                                                  | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24646 | PA      | $25783.10      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ZAMBIA REPUBLIC                                                                  | ZAMBIA REPUBLIC 8.97% 07/30/2027 144A                                                                    | CUSIP: 988895AF5<br>LEI: 213800DMLAZ6LGMMD849 | Long             | DBT              | NUSS              | ZM        |     620000 | PA      | $282100.00     | 0.00%             | 2027-07-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 5/41 #Q00736                                                                                  | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33945 | PA      | $33766.31      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 08/20/2044#MA2149                                                                           | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57255 | PA      | $55989.78      | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                | CHILE REPUBLIC OF 2.75% 01/31/2027                                                                       | CUSIP: 168863DX3<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     425000 | PA      | $393975.00     | 0.00%             | 2027-01-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC47                                                         | GS MTG SECS TR 2020-GC47 D CSTR 05/12/2053 144A                                                          | CUSIP: 36258RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189000 | PA      | $132208.20     | 0.00%             | 2053-05-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                             | PARAGUAY REPUBLIC OF 4.95% 04/28/2031 144A                                                               | CUSIP: 699149AJ9<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    1050000 | PA      | $1009837.50    | 0.01%             | 2031-04-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 8.875%/VAR PERP REGS                                                                | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |    1000000 | PA      | $1191809.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 02/01/2041#AH3520                                                                         | CUSIP: 3138A44E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76250 | PA      | $73712.20      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 05/01/2029#                                                                                 | CUSIP: 31293QHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $118.57        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 7/25 #780195                                                                                  | CUSIP: 36225AGC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        117 | PA      | $119.02        | 0.00%             | 2025-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 7% 04/01/2032#                                                                                 | CUSIP: 31287RQL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1777 | PA      | $1898.21       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARRIOTT OWNERSHIP RESORTS INC                                                   | MARRIOTT OWNERSHIP RESORTS INC 6.125% 09/15/2025 144A                                                    | CUSIP: 57164PAG1<br>LEI: BW4532OH033VURR0IT68 | Long             | DBT              | CORP              | US        |     396000 | PA      | $391129.64     | 0.00%             | 2025-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                     | CHS/CMNTY HEALTH SYSTEMS INC 4.75% 02/15/2031 144A                                                       | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    3245000 | PA      | $2377579.05    | 0.01%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/41 #783276                                                                                  | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7556 | PA      | $7484.37       | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.95% 04/21/2025                                                             | CUSIP: 06051GFP9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6226000 | PA      | $6084773.46    | 0.03%             | 2025-04-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#730501                                                                         | CUSIP: 31402JRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13273 | PA      | $13119.94      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 10/27 #455324                                                                                 | CUSIP: 36208MYV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        114 | PA      | $116.65        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 12/27 #461047                                                                                 | CUSIP: 36208UEU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        106 | PA      | $110.40        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AK8237                                                                                  | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231568 | PA      | $223742.50     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/41 #738418                                                                                  | CUSIP: 3620ASK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5493 | PA      | $5544.24       | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 2/41 #AE9269                                                                                  | CUSIP: 31419LJP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10788 | PA      | $10430.63      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                               | TURKEY REPUBLIC OF 4.25% 04/14/2026                                                                      | CUSIP: 900123CJ7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1685000 | PA      | $1491225.00    | 0.01%             | 2026-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2033#AL5321                                                                         | CUSIP: 3138EM4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45569 | PA      | $45053.16      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 10/01/2040#A94586                                                                         | CUSIP: 312943CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83378 | PA      | $83034.12      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 05/15/2043#AD9112                                                                         | CUSIP: 36180NDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21161 | PA      | $20053.99      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 4/42 #Q07573                                                                                  | CUSIP: 3132GSXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23809 | PA      | $23077.76      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 1/39 #782557                                                                                  | CUSIP: 36241KZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28161 | PA      | $28229.92      | 0.00%             | 2039-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2046#Q39899                                                                           | CUSIP: 3132QW7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85965 | PA      | $83405.26      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TPGI 2021-DGWD G                                                                 | TPGI 2021-DGWD G 1ML+ 06/15/2026 144A                                                                    | CUSIP: 87267HAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1391000 | PA      | $1272102.74    | 0.01%             | 2026-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027 REGS                                                      | CUSIP: 681936BF6<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   18502000 | PA      | $17245899.59   | 0.09%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2044#Q25336                                                                         | CUSIP: 3132M5SZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24465 | PA      | $24491.38      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 83 CLO LTD                                                                | DRYDEN 83 CLO LTD 3ML+122 01/18/2032 144A                                                                | CUSIP: 26246EAC2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |   11752000 | PA      | $11534588.00   | 0.06%             | 2032-01-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021 MORTGAGE TRUST                                                    | BENCHMARK MORTGAGE TRUST 2021-B25 300E CSTR 04/15/2054 144A                                              | CUSIP: 08163DBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282000 | PA      | $190369.01     | 0.00%             | 2054-04-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                      | GARTNER INC 3.625% 06/15/2029 144A                                                                       | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     685000 | PA      | $599982.05     | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 7% 04/01/2032#                                                                                 | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6038 | PA      | $6388.83       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 04/01/2044#Q25663                                                                         | CUSIP: 3132M55Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9834 | PA      | $9572.06       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2033#738546                                                                         | CUSIP: 31402UP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20801 | PA      | $20564.07      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK42                                                                  | BANK 2022-BNK42 E 2.5% 06/15/2055 144A                                                                   | CUSIP: 06541MAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     416000 | PA      | $221836.58     | 0.00%             | 2055-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2042#AK6743                                                                           | CUSIP: 3138EBP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17864 | PA      | $17260.40      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 4/41 #005017                                                                               | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83310 | PA      | $82810.91      | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 11/39 #710987                                                                                 | CUSIP: 36297F2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6859 | PA      | $6921.32       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 09/01/2043#AS0961                                                                         | CUSIP: 3138WAB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54259 | PA      | $49708.92      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 2.5% 01/15/2027 144A                                  | CUSIP: 46590XAR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18135000 | PA      | $15806828.70   | 0.08%             | 2027-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 6/32 #552620                                                                                  | CUSIP: 36213E4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        201 | PA      | $210.21        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/47#AS9614                                                                              | CUSIP: 3138WKVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44294 | PA      | $43914.07      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS INC                                                              | ASSUREDPARTNERS TERM B 1LN 02/13/2027                                                                    | CUSIP: 04621HAN3<br>LEI: 549300HNDSDQWQ3L2P80 | Long             | LON              | CORP              | US        |    1128100 | PA      | $1083212.90    | 0.01%             | 2027-02-13      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/35 #840657                                                                                  | CUSIP: 31407T5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1029 | PA      | $1077.37       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 4/40 #727850                                                                                  | CUSIP: 3620AETF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12212 | PA      | $12077.02      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STWD TR 2021-LIH                                                                 | STWD TR 2021-LIH 1ML+355.1 11/15/2036 144A                                                               | CUSIP: 78486EAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $502757.37     | 0.00%             | 2036-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PAKISTAN, ISLAMIC REP OF                                                         | PAKISTAN ISLAMIC REP OF 6.875% 12/05/2027 144A                                                           | CUSIP: 740840AC7<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |     180000 | PA      | $71119.80      | 0.00%             | 2027-12-05      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2040#AE7374                                                                           | CUSIP: 31419JFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91208 | PA      | $88183.93      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 6/30 #538847                                                                                  | CUSIP: 31385ATC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $107.33        | 0.00%             | 2030-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                              | LBM ACQUISITION LLC 6.25% 01/15/2029 144A                                                                | CUSIP: 05552BAA4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |    2695000 | PA      | $1856353.46    | 0.01%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 5/40 #704984                                                                                  | CUSIP: 36296YFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6522 | PA      | $6568.32       | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVSC HOLDING CORP                                                                | PSAV TERM B-2 1LN 10/15/2026                                                                             | CUSIP: 00241YAU8<br>LEI: 549300CLJBQ9YSR4U689 | Long             | LON              | CORP              | US        |    1536318 | PA      | $1391903.84    | 0.01%             | 2026-10-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                 | ALTICE FRANCE SA 5.5% 10/15/2029 144A                                                                    | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    2360000 | PA      | $1861268.07    | 0.01%             | 2029-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FOLEY PRODUCTS CO LLC                                                            | FOLEY TERM 1LN 12/29/2028                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1387902 | PA      | $1315911.53    | 0.01%             | 2028-12-29      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| RADIATE HOLDCO LLC                                                               | ASTOUND/RADIATE TERM B 1LN 09/25/2026                                                                    | CUSIP: N/A<br>LEI: 5493000GQJ5RDX9DNJ71       | Long             | LON              | CORP              | US        |    5275351 | PA      | $4615088.10    | 0.02%             | 2026-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019 1ML+185 10/15/2036 144A                                                                    | CUSIP: 056054AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21532200 | PA      | $20759999.33   | 0.11%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                         | SOUTH AFRICA REPUBLIC OF 5.75% 09/30/2049                                                                | CUSIP: 836205BB9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     765000 | PA      | $581400.00     | 0.00%             | 2049-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 2/37 #A57709                                                                                  | CUSIP: 3128KLR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1229 | PA      | $1307.11       | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 1375209 BC LTD                                                                   | 1375209 BC LTD 9% 01/30/2028 144A                                                                        | CUSIP: 68251PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     953000 | PA      | $936322.50     | 0.00%             | 2028-01-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 12/23 #780863                                                                                 | CUSIP: 36225A5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         71 | PA      | $71.69         | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DIGITALBRIDGE GROUP INC                                                          | DIGITALBRIDGE GROUP INC SER H 7.125% PERP PFD                                                            | CUSIP: 25401T504<br>LEI: 549300XG87L902AGBO89 | Long             | EP               | CORP              | US        |      12825 | NS      | $238801.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2046#AL8321                                                                           | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371950 | PA      | $362402.79     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 4.25% 12/15/2027                                                                            | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   10435000 | PA      | $9793038.80    | 0.05%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 3.54% 12/39 #AC8301                                                                             | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11333 | PA      | $11399.73      | 0.00%             | 2039-12-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/41 #709061                                                                                 | CUSIP: 36297DWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4668 | PA      | $4510.79       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 6.4% 02/14/2035                                                                       | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     840000 | PA      | $873600.00     | 0.00%             | 2035-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                   | BRAZIL FEDERATIVE REPUBLIC OF 3.875% 06/12/2030                                                          | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    1535000 | PA      | $1338615.94    | 0.01%             | 2030-06-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONAIR HOLDINGS LLC                                                              | CONAIR TERM B 1LN 05/17/2028                                                                             | CUSIP: 20600RAB8<br>LEI: 549300804G00T34FLV17 | Long             | LON              | CORP              | US        |    1970100 | PA      | $1652421.38    | 0.01%             | 2028-05-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2043#AB9671                                                                         | CUSIP: 31417GW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498415 | PA      | $470361.30     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARRAY TECHNOLOGIES INC                                                           | ARRAY TECHNOLOGIES TERM B 1LN 10/14/2027                                                                 | CUSIP: 04270YAB6<br>LEI: 549300JM5FECYJQ85V37 | Long             | LON              | CORP              | US        |    4297038 | PA      | $4098299.98    | 0.02%             | 2027-10-14      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                           | SOUTHWESTERN ENERGY CO 4.75% 02/01/2032                                                                  | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1022906.87    | 0.01%             | 2032-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                       | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   19219000 | PA      | $16574032.60   | 0.09%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHOENIX NEWCO INC                                                                | PAREXEL TERM B 1LN 11/15/2028                                                                            | CUSIP: 71911KAC8<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |    5925225 | PA      | $5690467.59    | 0.03%             | 2028-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #458374                                                                                  | CUSIP: 36208RFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        350 | PA      | $358.62        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2034#800327                                                                         | CUSIP: 31405VD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13036 | PA      | $12912.12      | 0.00%             | 2034-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/35 #837280                                                                                  | CUSIP: 31407QFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1278 | PA      | $1336.02       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 11/01/2040#                                                                                 | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18263 | PA      | $15668.48      | 0.00%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 09/01/2047#Q50433                                                                           | CUSIP: 3132XSPT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63659 | PA      | $61624.48      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIGNAL PARENT INC                                                                | INTERIOR LOGIC GROUP TERM B 1LN 04/03/2028                                                               | CUSIP: 82666KAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2024375 | PA      | $1279688.41    | 0.01%             | 2028-04-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2012-C6                                  | MORGAN STAN BAML TR-2012-C6 VAR 11/15/2045 144A                                                          | CUSIP: 61761DAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     811000 | PA      | $748498.66     | 0.00%             | 2045-11-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 4.897%/VAR 07/25/2033                                                             | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   70571000 | PA      | $67999648.93   | 0.36%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                   | OMAN SULTANATE 4.75% 06/15/2026 144A                                                                     | CUSIP: 682051AC1<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     385000 | PA      | $369600.00     | 0.00%             | 2026-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                               | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                                 | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12891000 | PA      | $10019561.98   | 0.05%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #255229                                                                                  | CUSIP: 31371LPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30363 | PA      | $30017.70      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 7.5% 05/01/2031#                                                                               | CUSIP: 31298VSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        236 | PA      | $249.24        | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                      | GSMS 2021-IP B 1ML+170 10/15/2036 144A                                                                   | CUSIP: 36262MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1277000 | PA      | $1170321.21    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                                          | ATI INC 5.875% 12/01/2027                                                                                | CUSIP: 01741RAH5<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |    8755000 | PA      | $8159922.65    | 0.04%             | 2027-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP 4.95% 02/15/2030                                                                      | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   20675000 | PA      | $19545174.52   | 0.10%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/27 #398564                                                                                  | CUSIP: 31378GWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $27.06         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                                                         | UNITED MILEAGE PLUS TERM B 1LN 07/02/27                                                                  | CUSIP: 59921PAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2911750 | PA      | $2991823.13    | 0.02%             | 2027-07-02      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR3 TR                                                | PROGRESS RESIDENTIAL 2022-SFR3 TR 6.6% 04/17/2039 144A                                                   | CUSIP: 74331UAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $708820.48     | 0.00%             | 2039-04-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIGER ACQUISITION LLC                                                            | SABRE TERM B 1LN 06/01/2028                                                                              | CUSIP: 88675UAB8<br>LEI: 25490011XE2GWJKY5N51 | Long             | LON              | CORP              | US        |     987500 | PA      | $934421.88     | 0.00%             | 2028-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 01/01/2053 #TBA                                                                               | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   54400000 | PA      | $49099296.64   | 0.26%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NGL ENERGY OPER LLC/NGL ENERGY FIN CORP                                          | NGL ENERGY OPER LLC/FIN CORP 7.5% 02/01/2026 144A                                                        | CUSIP: 62922LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3710000 | PA      | $3350934.33    | 0.02%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 6.50% 11/26 #D97105                                                                            | CUSIP: 3128E33N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4288 | PA      | $4343.64       | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TERRIER MEDIA BUYER INC                                                          | TERRIER MEDIA BUYER INC 8.875% 12/15/2027 144A                                                           | CUSIP: 88146LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1139000 | PA      | $865640.00     | 0.00%             | 2027-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2048#Q55661                                                                           | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222320 | PA      | $214865.80     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 11/01/2037#                                                                                 | CUSIP: 3128L1GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        865 | PA      | $878.20        | 0.00%             | 2037-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                             | KRAFT HEINZ FOODS CO 4.875% 10/01/2049                                                                   | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $17926546.40   | 0.09%             | 2049-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SS and C TECHNOLOGIES INC                                                        | SS and C TECHNOLOGIES TERM B3 04/16/2025                                                                 | CUSIP: N/A<br>LEI: 549300KY09TR3J12JU49       | Long             | LON              | CORP              | US        |    1274059 | PA      | $1249635.35    | 0.01%             | 2025-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EUROPE BV                                                             | TELEFONICA EUROPE BV 3.875%/VAR PERP REGS                                                                | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | EP               | CORP              | NL        |    2100000 | PA      | $2002244.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2018-BNK15                                                                  | BANK 2018-BNK15 D 3% 11/15/2061 144A                                                                     | CUSIP: 06036FAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $295676.00     | 0.00%             | 2061-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 6/41 #AB3143                                                                                  | CUSIP: 31416YP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102770 | PA      | $99429.40      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | UNUM GROUP 3.875% 11/05/2025                                                                             | CUSIP: 91529YAL0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    7835000 | PA      | $7517949.75    | 0.04%             | 2025-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 5.402%/VAR 08/11/2033                                                                  | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     540000 | PA      | $505589.57     | 0.00%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2012-C7                                                        | WFRBS 2012-C7 E CSTR 6/45                                                                                | CUSIP: 92936TAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     464226 | PA      | $35466.88      | 0.00%             | 2045-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                    | CARNIVAL CORP 10.5% 06/01/2030 144A                                                                      | CUSIP: 143658BS0<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    3170000 | PA      | $2713963.80    | 0.01%             | 2030-06-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                     | CHS/CMNTY HEALTH SYSTEMS INC 5.625% 03/15/2027 144A                                                      | CUSIP: 12543DBG4<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $3522478.50    | 0.02%             | 2027-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2008-12 SG -1ML+635 3/38                                                                             | CUSIP: 31396YMM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     163917 | PA      | $17452.59      | 0.00%             | 2038-03-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                        | FNS 359 19 6% 7/35                                                                                       | CUSIP: 3136FCUL8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       8408 | PA      | $1616.12       | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 12/01/2051#CB2289                                                                         | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8545495 | PA      | $7335251.74    | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK43                                                                  | BANK 2022-BNK43 D 3% 08/15/2055 144A                                                                     | CUSIP: 06541QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     994000 | PA      | $594489.53     | 0.00%             | 2055-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/32 #552668                                                                                  | CUSIP: 36213E6D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         98 | PA      | $103.71        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/28 #490977                                                                                 | CUSIP: 36210FM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        476 | PA      | $492.79        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 04/01/2049#MA3644                                                                           | CUSIP: 31418DBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37151 | PA      | $33380.05      | 0.00%             | 2049-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZURICH FINANCE (IRELAND) DAC                                                     | ZURICH FINANCE (IRELAND) DAC 3.5%/VAR 05/02/2052 REGS                                                    | CUSIP: N/A<br>LEI: 549300E0FVHYR37EGX65       | Long             | DBT              | CORP              | IE        |    2500000 | PA      | $1912500.00    | 0.01%             | 2052-05-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAMONDROCK HOSPITALITY CO                                                       | DIAMONDROCK HOSPITALITY CO 8.25% PFD PERP                                                                | CUSIP: 252784400<br>LEI: 529900KKD4BPVBUAQ734 | Long             | EP               | CORP              | US        |       7100 | NS      | $175370.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/40 #AC9247                                                                                  | CUSIP: 31417WHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3325 | PA      | $3307.31       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLD FIELDS OROGEN HLDG BVI LTD                                                  | GOLD FIELDS OROGEN HLDG BVI LTD 5.125% 05/15/2024 144A                                                   | CUSIP: 38060AAB0<br>LEI: 213800CLGJ2E9KGU2F20 | Long             | DBT              | CORP              | VG        |     225000 | PA      | $221807.81     | 0.00%             | 2024-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 5/26 #303913                                                                                  | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $82.99         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                              | NOVOLEX TERM 1LN 04/13/2029                                                                              | CUSIP: 18972FAC6<br>LEI: 254900QKSDYFR3K5YD98 | Long             | LON              | CORP              | US        |   11628100 | PA      | $11209720.96   | 0.06%             | 2029-04-13      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HLDGS LLC TERM B 07/17/25                                                                            | CUSIP: 64072UAE2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |    2324042 | PA      | $2221784.10    | 0.01%             | 2025-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #734421                                                                                  | CUSIP: 31402N4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        777 | PA      | $766.70        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                     | SBA TOWER TR 1.884% 07/15/2050 144A                                                                      | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4985000 | PA      | $4384086.66    | 0.02%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 3.25% 04/16/2030                                                            | CUSIP: 91087BAH3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1145000 | PA      | $1021912.50    | 0.01%             | 2030-04-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 6/35 #G01839                                                                                  | CUSIP: 3128LXBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7550 | PA      | $7626.93       | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 3.5% 02/15/2041 144A                                                                        | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   22019000 | PA      | $15927166.87   | 0.08%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                       | FIRST QUANTUM MINERALS LTD 6.875% 10/15/2027 144A                                                        | CUSIP: 335934AT2<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    2855000 | PA      | $2708195.90    | 0.01%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 8.00% 9/24 #369534                                                                                  | CUSIP: 36204GPT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $6.05          | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 6/32 #648542                                                                                  | CUSIP: 31390KP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1623 | PA      | $1737.69       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                            | EDF SA 5.625/VAR PERP REGS                                                                               | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | EP               | CORP              | FR        |    2370000 | PA      | $2227800.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                             | HEIMSTADEN BOSTAD AB 3.248%/VAR PERP REGS                                                                | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | DBT              | CORP              | SE        |    5790000 | PA      | $4644127.03    | 0.02%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                               | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                                  | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9032000 | PA      | $8669812.28    | 0.05%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#732122                                                                         | CUSIP: 31402LLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37422 | PA      | $36995.37      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2033#730494                                                                         | CUSIP: 31402JRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14091 | PA      | $13911.20      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 4.3% 03/04/2024                                                                         | CUSIP: 96950FAM6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   14855000 | PA      | $14680002.90   | 0.08%             | 2024-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                                             | SRS DISTRIBUTION INC 4.625% 07/01/2028 144A                                                              | CUSIP: 78471RAB2<br>LEI: 549300ZQ3XP75BCYM468 | Long             | DBT              | CORP              | US        |     985000 | PA      | $880294.50     | 0.00%             | 2028-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/28 #465988                                                                                  | CUSIP: 36209AUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        274 | PA      | $281.10        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                         | BX TRUST 1ML+233.66 10/15/2036 144A                                                                      | CUSIP: 056058AN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     546000 | PA      | $503411.02     | 0.00%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 07/15/2043#AF1083                                                                         | CUSIP: 36181GFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12646 | PA      | $11984.90      | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                                                         | BAYER AG 3.75% 07/01/2074 REGS                                                                           | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | DBT              | CORP              | DE        |    2200000 | PA      | $2212810.92    | 0.01%             | 2074-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                               | NUMERICABLE / ALTICE FRANCE TERM B-13 08/14/2026                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    1876332 | PA      | $1807526.98    | 0.01%             | 2026-08-14      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I INC                                                         | MSC 1998-CF1 G 7.35% 7/32                                                                                | CUSIP: 61745MHW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1387 | PA      | $1371.06       | 0.00%             | 2032-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.00% 1/41#AH3161                                                                              | CUSIP: 3138A4QP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14003 | PA      | $13532.91      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 5/32 #587974                                                                                  | CUSIP: 36201NFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        447 | PA      | $461.56        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BCPE EMPIRE HLDGS INC                                                            | IMPERIAL DADE TERM 1LN 06/11/2026                                                                        | CUSIP: 05550HAB1<br>LEI: 549300O2G0VI2955B626 | Long             | LON              | CORP              | US        |    2333380 | PA      | $2264101.74    | 0.01%             | 2026-06-11      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/40 #AE3874                                                                                 | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67644 | PA      | $67277.81      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                    | AIB GROUP PLC 2.875%/VAR 05/30/2031 REGS                                                                 | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |    3285000 | PA      | $3052400.19    | 0.02%             | 2031-05-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| COLGATE ENERGY PARTNERS III LLC                                                  | COLGATE ENERGY PARTNERS III LLC 5.875% 07/01/2029 144A                                                   | CUSIP: 19416MAB5<br>LEI: 549300QRLZK0B17DH791 | Long             | DBT              | CORP              | US        |    2965000 | PA      | $2727800.00    | 0.01%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2046#G60553                                                                         | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3487066 | PA      | $3290548.49    | 0.02%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORAL-US CO-BORROWER LLC                                                         | CABLE and WIRELESS TERM B5 01/31/2028                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    4180000 | PA      | $4045195.00    | 0.02%             | 2028-01-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 4/29 #323645                                                                                  | CUSIP: 31374TP60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $36.04         | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPER CO LLC                                                             | GO DADDY TERM B 1LN 08/10/2027                                                                           | CUSIP: 38017BAQ9<br>LEI: 5493005GJOH8HLL11157 | Long             | LON              | CORP              | US        |    1832812 | PA      | $1814484.38    | 0.01%             | 2027-08-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 09/15/2042#AB7633                                                                         | CUSIP: 36178UPS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28657 | PA      | $26296.66      | 0.00%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 1/28 #427235                                                                                  | CUSIP: 36207BSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189 | PA      | $194.40        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KRONOS ACQUISITION HOLDINGS INC                                                  | KIK CONSUMER TERM B 1LN 12/22/2026                                                                       | CUSIP: 49387TAW6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3535666 | PA      | $3349690.19    | 0.02%             | 2026-12-22      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.00% 2/26 #334999                                                                                  | CUSIP: 31375HDC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $81.29         | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                       | DCP MIDSTREAM OPER LP 6.45% 11/03/2036 144A                                                              | CUSIP: 26439XAH6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    4987000 | PA      | $4956763.42    | 0.03%             | 2036-11-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                      | IMPERIAL BRANDS FINANCE PLC 4.25% 07/21/2025 144A                                                        | CUSIP: 453140AF2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    6702000 | PA      | $6397355.43    | 0.03%             | 2025-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 4.625% 07/15/2024                                                                  | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     449000 | PA      | $439344.26     | 0.00%             | 2024-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 4/32 #584369                                                                                  | CUSIP: 36201JFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        307 | PA      | $321.69        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 04/01/2041#Q00409                                                                         | CUSIP: 3132GDN24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1662 | PA      | $1695.99       | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 09/01/2045#Q37853                                                                           | CUSIP: 3132QUWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207009 | PA      | $201427.31     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/34 #778318                                                                                  | CUSIP: 31404TVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20888 | PA      | $20663.60      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REALPAGE INC                                                                     | REALPAGE TERM B 1LN 04/22/2028                                                                           | CUSIP: 75605VAD4<br>LEI: 5493001RSFZX4122A604 | Long             | LON              | CORP              | US        |    4021912 | PA      | $3843460.07    | 0.02%             | 2028-04-22      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033                                                             | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     329245 | PA      | $27391.37      | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 03/01/2041#AE1147                                                                         | CUSIP: 31419BHZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35941 | PA      | $34725.53      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                        | EGYPT (ARAB) REPUBLIC OF 7.0529% 01/15/2032 144A                                                         | CUSIP: 03846JX21<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     210000 | PA      | $155505.00     | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 11/40 #A95028                                                                                 | CUSIP: 312943SR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2787 | PA      | $2838.40       | 0.00%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2045#BA5343                                                                         | CUSIP: 3140E95D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45063 | PA      | $42357.55      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TR 2021-OVA                                                           | SLG OFFICE TR 2021-OVA 2.85061% 07/15/2041 144A                                                          | CUSIP: 78449RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2113000 | PA      | $1308769.17    | 0.01%             | 2041-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 6.50% 10/34 #635855                                                                                 | CUSIP: 36291RMC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9724 | PA      | $10244.68      | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2011-C2                                                  | MSC 2011-C2 F CSTR 6/44                                                                                  | CUSIP: 617459AL6<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     407000 | PA      | $262165.18     | 0.00%             | 2044-06-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| CALIFORNIA ST                                                                    | CALIFORNIA ST BUILD AMERICA BONDS                                                                        | CUSIP: 13063BFR8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3670000 | PA      | $4703957.17    | 0.02%             | 2040-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #449952                                                                                  | CUSIP: 36208FZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        270 | PA      | $278.90        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/34 #777077                                                                                  | CUSIP: 31404SJW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9204 | PA      | $9103.26       | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                           | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.666% 09/05/2048 144A                                            | CUSIP: 72703PAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20328000 | PA      | $18980822.78   | 0.10%             | 2048-09-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/35 #826613                                                                                  | CUSIP: 31407CK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4006 | PA      | $4186.43       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC 1.985%/VAR 12/15/2031                                                           | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |    1840000 | PA      | $1850069.42    | 0.01%             | 2031-12-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2047#BH0561                                                                         | CUSIP: 3140GNTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136607 | PA      | $135391.58     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #726928                                                                                  | CUSIP: 31402ESR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18931 | PA      | $18722.18      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2047#Q51189                                                                           | CUSIP: 3132XTKB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130733 | PA      | $126554.02     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 6.5% 8/31 #003120                                                                                | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        229 | PA      | $238.57        | 0.00%             | 2031-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ECHO GLOBAL LOGISTICS INC                                                        | ECHO GLOBAL LOGISTICS TERM 1LN 11/23/2028                                                                | CUSIP: N/A<br>LEI: 549300WRZ9Y84GWVYR04       | Long             | LON              | CORP              | US        |    1915375 | PA      | $1759271.94    | 0.01%             | 2028-11-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                            | UBER TERM B 1LN 02/25/2027                                                                               | CUSIP: 90351JAF1<br>LEI: 549300B2FTG34FILDR98 | Long             | LON              | CORP              | US        |    1901057 | PA      | $1893339.03    | 0.01%             | 2027-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                                      | BX 2021-LBA FV 1ML+225 02/15/2028 144A                                                                   | CUSIP: 05609BBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1094000 | PA      | $967514.56     | 0.01%             | 2036-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#QD3434                                                                           | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     519794 | PA      | $429215.06     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                  | SEALED AIR CORP 5% 04/15/2029 144A                                                                       | CUSIP: 81211KBA7<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    1790000 | PA      | $1664700.00    | 0.01%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 9/26 #358464                                                                                  | CUSIP: 31376LFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        867 | PA      | $891.27        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/44#AW5561                                                                              | CUSIP: 3138XVFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53101 | PA      | $54451.40      | 0.00%             | 2044-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD FINANCE CO INC                                    | GO DADDY OPERATING CO LLC / GD FINANCE CO INC 5.25% 12/01/2027 144A                                      | CUSIP: 38016LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1695000 | PA      | $1606398.30    | 0.01%             | 2027-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 6/41 #G06596                                                                                  | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1113455 | PA      | $1135284.20    | 0.01%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                                                  | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     728762 | PA      | $663235.59     | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3806 UP 4.5% 2/41                                                                                    | CUSIP: 3137A6ZL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     218536 | PA      | $217247.02     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2044#V81065                                                                         | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12662 | PA      | $12676.19      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAMOND BC BV                                                                    | DIVERSEY TERM B 1LN 09/29/2028                                                                           | CUSIP: N/A<br>LEI: 549300SWLHWJF3D4N658       | Long             | LON              | CORP              | NL        |    1533412 | PA      | $1478915.02    | 0.01%             | 2028-09-29      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTICE USA INC                                                                   | ALTICE USA INC A                                                                                         | CUSIP: 02156K103<br>LEI: 54930064K3612MGCER95 | Long             | EC               | CORP              | US        |      75200 | NS      | $342912.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 04/01/2052#SD1215                                                                           | CUSIP: 3132DNK44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6568573 | PA      | $5908997.12    | 0.03%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GTT COMMUNICATIONS INC                                                           | GTT COMMUNICATIONS RT                                                                                    | CUSIP: N/A<br>LEI: 549300ETSL7K1ZX05H30       | Long             | EC               | CORP              | US        |     163660 | NS      | $163660.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                           | COMSTOCK RESOURCES INC 6.75% 03/01/2029 144A                                                             | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    4025000 | PA      | $3931016.25    | 0.02%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GRANITE GENERATION LLC                                                           | GRANITE ENERGY TERM 1LN 11/1/2026                                                                        | CUSIP: 38750BAB3<br>LEI: 549300XXYYGFHXPYVM94 | Long             | LON              | CORP              | US        |     646982 | PA      | $629351.93     | 0.00%             | 2026-11-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 7.50% 12/28 #323424                                                                                 | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        780 | PA      | $809.62        | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC                                                                     | ACRISURE TERM B 1LN 02/15/2027                                                                           | CUSIP: N/A<br>LEI: 549300R0Z1Q47XRTGO22       | Long             | LON              | CORP              | US        |    3240000 | PA      | $3207600.00    | 0.02%             | 2027-02-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 02/01/2052#QD6927                                                                           | CUSIP: 3133B4VU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     897088 | PA      | $795934.20     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                   | BLACKSTONE PRIVATE CREDIT FUND 4.875% 04/14/2026 REGS                                                    | CUSIP: N/A<br>LEI: 549300ORP3TTCNXSYO43       | Long             | DBT              | CORP              | US        |    3960000 | PA      | $4304445.67    | 0.02%             | 2026-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2040#V82091                                                                         | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     335349 | PA      | $315716.63     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 05/01/2027#                                                                               | CUSIP: 31283GYN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $58.86         | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 4.3% 04/01/2027                                                                                | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   11010000 | PA      | $10582973.08   | 0.06%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2040#A95413                                                                         | CUSIP: 312944AN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21423 | PA      | $21336.21      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR REALTY TRUST INC                                                           | CEDAR REALTY TRUST INC SER C 6.50% PFD PERP                                                              | CUSIP: 150602506<br>LEI: 54930056URX93R2RSN82 | Long             | EP               | CORP              | US        |      14300 | NS      | $160875.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 04/01/2038#983071                                                                         | CUSIP: 31415LCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2276 | PA      | $2311.01       | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 12/27 #433517                                                                                 | CUSIP: 36207JSE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         46 | PA      | $47.72         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/40 #AA4757                                                                                 | CUSIP: 31416NJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8612 | PA      | $8323.90       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | DEUTSCHE BANK AG 4%/VAR 06/24/2032 REGS                                                                  | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |    4200000 | PA      | $3946142.50    | 0.02%             | 2032-06-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW SK HOLDCO SUB LLC                                                            | SERVICE KING / MIDAS TERM 1LN 06/30/2027                                                                 | CUSIP: 64859TAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1206139 | PA      | $1082509.87    | 0.01%             | 2027-06-30      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C8                                            | UBS COMMERCIAL MORTGAGE TRUST 2018-C8 CSTR 02/15/2051                                                    | CUSIP: 90276VAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189000 | PA      | $163390.24     | 0.00%             | 2051-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 8.5% 05/01/2027#                                                                               | CUSIP: 31283GYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $72.15         | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3.5% 01/01/2053 #TBA                                                                           | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   15400000 | PA      | $14117469.52   | 0.07%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/33 #726949                                                                                  | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33789 | PA      | $33396.79      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MA 2016-H20 FM 1ML+40 12/20/2062                                                          | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      17659 | PA      | $17295.42      | 0.00%             | 2062-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/34 #AL2130                                                                                 | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80761 | PA      | $83883.17      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 7/28 #463983                                                                                  | CUSIP: 36208XM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        273 | PA      | $281.02        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NAVIOS SOUTH AMERICAN LOGISTIC S INC/ NAVIOS LOGISTICS FIN US INC                | NAVIOS SOUTH AMERN LOG/FIN US 10.75% 07/01/2025 144A                                                     | CUSIP: 63938NAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | UY        |     310000 | PA      | $289268.75     | 0.00%             | 2025-07-01      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                              | INTESA SANPAOLO SPA 3.875% 07/14/2027 144A                                                               | CUSIP: 46115HBB2<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    3181000 | PA      | $2851249.36    | 0.01%             | 2027-07-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                                                      | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2097296 | PA      | $2123682.97    | 0.01%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 08/01/2035#                                                                                 | CUSIP: 31297SW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        683 | PA      | $692.05        | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 1/40 #A90893                                                                                  | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145363 | PA      | $147969.00     | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RWANDA REPUBLIC OF                                                               | RWANDA REPUBLIC OF 5.5% 08/09/2031 144A                                                                  | CUSIP: 78347YAL7<br>LEI: 213800AKFASSQE52AZ88 | Long             | DBT              | NUSS              | RW        |    1085000 | PA      | $796661.25     | 0.00%             | 2031-08-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.00% 3/28 #436264                                                                                  | CUSIP: 36207MTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         90 | PA      | $92.42         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 7.50% 8/27 #353768                                                                                  | CUSIP: 36203M6D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        137 | PA      | $140.78        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 5/39 #670200                                                                                  | CUSIP: 36295GRV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10155 | PA      | $10500.15      | 0.00%             | 2039-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2043#Q17578                                                                         | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116705 | PA      | $110237.45     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer