# EDGAR Filing Document

**Accession Number:** 0001517936
**File Stem:** 0000940400-26-011297
**Filing Date:** 2026-3
**Character Count:** 300936
**Document Hash:** c3f1e5b5deb45a7020e0de4d114adc9e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-011297.hdr.sgml**: 20260325

**ACCESSION NUMBER**: 0000940400-26-011297

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260325

**DATE AS OF CHANGE**: 20260325

**PERIOD START**: 20260731

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST EXCHANGE-TRADED FUND IV
- **CENTRAL INDEX KEY:** 0001517936

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22559
- **FILM NUMBER:** 26791847

**BUSINESS ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187
- **BUSINESS PHONE:** 630-765-8000

**MAIL ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187

## Series and Classes Contracts Data

### First Trust Core Investment Grade ETF (Series ID: S000082787)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000246109 | First Trust Core Investment Grade ETF | FTCB            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** First Trust Exchange-Traded Fund IV

- **b. Investment Company Act file number:** 811-22559

- **c. CIK number of Registrant:** 0001517936

- **d. LEI of Registrant:** 5493006CBTW7P2B31B80

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

  - **Street Address 1:** 120 East Liberty Drive

  - **City:** Wheaton

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60187

  - **Telephone number:** 630-765-8000

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

- **a. Name of Series:** First Trust Core Investment Grade ETF

- **b. EDGAR series identifier (if any):** S000082787

- **c. LEI of Series:** 254900YDW62BMWVRZQ85

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

- **a. Date of fiscal year-end:** 2026-07-31

- **b. Date as of which information is reported:** 2026-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2316025060.26

**Total Liabilities:** $279768497.75

**Net Assets:** $2036256562.51

**Delayed Delivery Securities:** $20862101.44

**Stand-by Commitments:** $76234040.40

**Cash Not Reported:** $3870858.17

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 287.88202000 | **1-Year:** 69986.95760000 | **5-Year:** 423181.46644000 | **10-Year:** 271836.47060000 | **30-Year:** 30287.88656000

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

- **3-Month:** 96.51578000 | **1-Year:** 8141.14174000 | **5-Year:** 24622.84542000 | **10-Year:** 26035.36483000 | **30-Year:** 354.48105000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000246109 | 0.68%                | -0.31%               | 0.38%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $873686.22               | $4693681.81                                |
| Month 2  | $1189303.01              | $-12230312.60                              |
| Month 3  | $124717.75               | $-748873.66                                |

**Designated Index Information**

- **Index Name:** The Fund's Designated Reference Portfolio is the Fund's Securities Portfolio.

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $-5718.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -24 | NC      | $-18375.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT AGRICOLE SA                          | Credit Agricole SA                                                              | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $1029493.42   | 0.05%             | 2030-01-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23199115 | PA      | $19324420.44  | 0.95%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3084406.20   | 0.15%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ALDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3882532 | PA      | $3584074.73   | 0.18%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2214492.18   | 0.11%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                 | United States Treasury Strip Principal                                          | CUSIP: 912803DZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $3557051.44   | 0.17%             | 2042-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMTU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26474364 | PA      | $1317179.04   | 0.06%             | 2034-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2026-1                                             | CUSIP: 694969AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.05%             | 2027-02-15      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2023-C6 MORTGAGE TRUST                                                      | CUSIP: 055985AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $122846.24    | 0.01%             | 2056-09-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2025-INV5 Trust                                                            | CUSIP: 36173VBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10366100 | PA      | $10460319.78  | 0.51%             | 2055-12-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -103 | NC      | $-154500.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2022-C62                                  | CUSIP: 95003MBS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2950000 | PA      | $2829367.13   | 0.14%             | 2055-04-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $2017460.94   | 0.10%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R05                                    | CUSIP: 20754XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2290303 | PA      | $2293692.61   | 0.11%             | 2044-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                             | Venture 42 CLO Ltd                                                              | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5004961.64   | 0.25%             | 2034-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                    | Icon Investments Six DAC                                                        | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   4915000 | PA      | $5168693.28   | 0.25%             | 2034-05-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                              | TR Finance LLC                                                                  | CUSIP: 87268LAB3<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2562349.40   | 0.13%             | 2040-04-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2025-DNA1                                         | CUSIP: 35564NFY4<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1071877.42   | 0.05%             | 2045-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   4555000 | PA      | $4737495.98   | 0.23%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032641<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4903000 | PA      | $4523726.72   | 0.22%             | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-INV3                                              | CUSIP: 46591LBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860657 | PA      | $785151.13    | 0.04%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -9 | NC      | $-4921.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-1                                               | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2229218 | PA      | $2123247.52   | 0.10%             | 2067-01-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                 | United States Treasury Strip Principal                                          | CUSIP: 912803DY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $3162047.42   | 0.16%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Series 2018-2                             | CUSIP: 35564CAP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    232804 | PA      | $227154.57    | 0.01%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DALLAS-FORT WORTH TX INTERNATI              | Dallas Fort Worth International Airport                                         | CUSIP: 23503CGH4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7000000 | PA      | $7366499.00   | 0.36%             | 2046-11-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3028750.00   | 0.15%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2025-NQM1 Trust                                                             | CUSIP: 55287JAA4<br>LEI: 254900T233AM4RM23465 | Long             | ABS-MBS          | CORP              | US        |   1648888 | PA      | $1666620.65   | 0.08%             | 2070-03-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                      | Oscar US Funding XV LLC                                                         | CUSIP: 68785CAC5<br>LEI: 353800KY84862IDYBM21 | Long             | ABS-O            | CORP              | JP        |    438929 | PA      | $441667.45    | 0.02%             | 2027-12-10      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HJAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4722732 | PA      | $4207372.47   | 0.21%             | 2055-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1916406.24   | 0.09%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GSMS Trust 2024-Fair                                                            | CUSIP: 36270JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $1007062.19   | 0.05%             | 2029-07-15      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -10 | NC      | $-781.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29724579 | PA      | $1354103.20   | 0.07%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2025-2                       | CUSIP: 35564C2S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16124000 | PA      | $13829096.88  | 0.68%             | 2035-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2019-INV3                                                             | CUSIP: 12557LAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3379854 | PA      | $3333648.13   | 0.16%             | 2049-08-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                     | Arthur J Gallagher & Co                                                         | CUSIP: 04316JAG4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    380000 | PA      | $421570.68    | 0.02%             | 2054-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFP59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2027111 | PA      | $1970507.91   | 0.10%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2020-C8                                                    | CUSIP: 05552ABC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2800000 | PA      | $2517552.52   | 0.12%             | 2053-10-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust 2025-8                                        | CUSIP: 16162UBA0<br>LEI: 529900CHSDEA1SX67419 | Long             | ABS-MBS          | CORP              | US        |   1546214 | PA      | $1557499.38   | 0.08%             | 2056-06-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYVD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    765228 | PA      | $693801.04    | 0.03%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                        | Steele Creek Clo 2018-1 Ltd                                                     | CUSIP: 85815CAC3<br>LEI: 5493003MADGN3MR3LO39 | Long             | ABS-CBDO         | CORP              | KY        |    209956 | PA      | $210506.44    | 0.01%             | 2031-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                      | Oscar US Funding XVII LLC                                                       | CUSIP: 68784BAC8<br>LEI: 353800UI8625NXT7ND41 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100368.04    | 0.00%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -136 | NC      | $-6375.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FLUTTER TREASURY DAC                        | Flutter Treasury DAC                                                            | CUSIP: 344045AA7<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |   1105000 | PA      | $1140056.13   | 0.06%             | 2029-04-29      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-INV3                                              | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507090 | PA      | $462602.59    | 0.02%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru              | Vista Point Securitization Trust 2020-1                                         | CUSIP: 92838WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $268654.89    | 0.01%             | 2065-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2018-J1 Trust                                                              | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2527130 | PA      | $2303181.39   | 0.11%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   2962000 | PA      | $2978368.22   | 0.15%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                    | Icon Investments Six DAC                                                        | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   3800000 | PA      | $3964075.15   | 0.19%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SKY1 Trust                                  | SKY Trust 2025-LINE                                                             | CUSIP: 830941AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3726980 | PA      | $3753130.36   | 0.18%             | 2042-04-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HAZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7103070 | PA      | $5960011.75   | 0.29%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES GLOBA                    | Citadel Securities Global Holdings LLC                                          | CUSIP: 17289RAA4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4111826.36   | 0.20%             | 2030-06-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BYBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7938313 | PA      | $4974235.97   | 0.24%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -66 | NC      | $-2062.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FFXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16658785 | PA      | $214321.93    | 0.01%             | 2031-01-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24850899 | PA      | $908715.37    | 0.04%             | 2030-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2383871.78   | 0.12%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887000 | PA      | $869127.88    | 0.04%             | 2056-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ZIONS BANCORP NA                            | Zions Bancorp NA                                                                | CUSIP: 98971DAD2<br>LEI: 8WH0EE09O9V05QJZ3V89 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3509253.20   | 0.17%             | 2028-08-18      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CEMEX SAB DE CV                             | Cemex SAB de CV                                                                 | CUSIP: 151290BV4<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |   3000000 | PA      | $3040197.00   | 0.15%             | 2029-11-19      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HH6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325000 | PA      | $329718.68    | 0.02%             | 2032-01-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                        | Flutter Treasury DAC                                                            | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |   6378000 | PA      | $6463996.87   | 0.32%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                              | PMT Loan Trust 2025-INV9                                                        | CUSIP: 69392UBK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5557812 | PA      | $5584614.40   | 0.27%             | 2056-09-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2025-BNK49                                                                 | CUSIP: 05494FBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  53428017 | PA      | $2492363.56   | 0.12%             | 2058-03-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -77 | NC      | $-2406.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25700000 | PA      | $13178940.21  | 0.65%             | 2040-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1439150 | PA      | $1265546.21   | 0.06%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2019-RPL1 Trust                                                            | CUSIP: 36167CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412505 | PA      | $404130.88    | 0.02%             | 2068-10-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030645<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -26590000 | PA      | $-23545017.96 | -1.16%            | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 28622HAC5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    525000 | PA      | $472778.78    | 0.02%             | 2053-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JA3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4385016 | PA      | $4101926.33   | 0.20%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank                                        | Bank 2019-BNK19                                                                 | CUSIP: 06540WBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28486632 | PA      | $775220.96    | 0.04%             | 2061-08-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1311105.80   | 0.06%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                  | Sixth Street CLO XX Ltd                                                         | CUSIP: 83012QAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003926.40   | 0.10%             | 2038-07-17      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCJ2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    400000 | PA      | $417681.67    | 0.02%             | 2032-11-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -263 | NC      | $-12328.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2026-RCF1 Trust                                                            | CUSIP: 69383VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11580000 | PA      | $11639142.42  | 0.57%             | 2056-01-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5535331.29   | 0.27%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2024-5C3 Mortgage Trust                                                     | CUSIP: 09660QAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5823960 | PA      | $169272.24    | 0.01%             | 2057-02-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2710000 | PA      | $2684573.13   | 0.13%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FQVN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377777 | PA      | $371507.52    | 0.02%             | 2050-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912797SJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1999801.00   | 0.10%             | 2026-02-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM XXIV Ltd                                                                   | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    253238 | PA      | $253779.40    | 0.01%             | 2032-07-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XQZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13455722 | PA      | $12746455.46  | 0.63%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4437000 | PA      | $300151.51    | 0.01%             | 2034-09-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2019-EXP3 Trust                                                             | CUSIP: 67113ABA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    606829 | PA      | $606938.10    | 0.03%             | 2059-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       102 | NC      | $-172281.25   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Rockland Park CLO Ltd                       | Rockland Park CLO Ltd                                                           | CUSIP: 773663AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2002949.30   | 0.10%             | 2038-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22750000 | PA      | $15033008.90  | 0.74%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE                       | Molson Coors Beverage Co                                                        | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $925599.07    | 0.05%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2026-PJ1                                    | CUSIP: 36275TBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1503309.90   | 0.07%             | 2056-06-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 9128337E4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18600000 | PA      | $11642104.19  | 0.57%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | EFMT 2026-AE1                                                                   | CUSIP: 26846NBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2875000 | PA      | $2882033.69   | 0.14%             | 2060-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Series 2019-UVIL                                                           | CUSIP: 12656DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1347990.10   | 0.07%             | 2041-12-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $3931262.64   | 0.19%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2024-DNA2                                         | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |   5260684 | PA      | $5284666.02   | 0.26%             | 2044-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| ATLASSIAN CORPORATION                       | Atlassian Corp                                                                  | CUSIP: 049468AB7<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |    850000 | PA      | $868548.68    | 0.04%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -22 | NC      | $-10312.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2024-3                                        | CUSIP: 37989AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692082 | PA      | $693092.46    | 0.03%             | 2028-04-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2026-J1 Trust                                                               | CUSIP: 67123TAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14830000 | PA      | $14828889.23  | 0.73%             | 2056-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2024-HQA2                                         | CUSIP: 35564NDY6<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | CORP              | US        |    653333 | PA      | $656112.27    | 0.03%             | 2044-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2023-C20                                                   | CUSIP: 07336DAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1392000 | PA      | $1461191.17   | 0.07%             | 2056-07-15      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042640<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -10181000 | PA      | $-9951604.15  | -0.49%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Tr              | GLS Auto Select Receivables Trust 2023-1                                        | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    812666 | PA      | $818754.22    | 0.04%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                             | DTE Electric Co                                                                 | CUSIP: 23338VAZ9<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    500000 | PA      | $515133.50    | 0.03%             | 2055-05-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2052623.72   | 0.10%             | 2034-04-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | EFMT 2025-NQM6                                                                  | CUSIP: 281916AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3938076 | PA      | $3959604.56   | 0.19%             | 2070-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                              | PMT Loan Trust 2025-CNF1                                                        | CUSIP: 729906BM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17735051 | PA      | $17821662.22  | 0.88%             | 2056-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -72 | NC      | $-55125.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $-1687.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2022-LTV2                                   | CUSIP: 36266VAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $6641406.00   | 0.33%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei              | Santander Mortgage Asset Receivable Trust 2025-NQM2                             | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3102268 | PA      | $3144209.86   | 0.15%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4280000 | PA      | $2753938.22   | 0.14%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2020-VIV4                                          | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3081000 | PA      | $2877066.45   | 0.14%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 9128337F1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $3961511.52   | 0.19%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-RPL3 LLC                                                              | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    906097 | PA      | $881777.12    | 0.04%             | 2055-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F72R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  71540129 | PA      | $2780879.29   | 0.14%             | 2030-10-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2025-B33RP                                | CUSIP: 95004RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2550000 | PA      | $2555045.43   | 0.13%             | 2042-08-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $7016406.25   | 0.34%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya Ai Debt Grantor Trust 2024-9                                             | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213486 | PA      | $214048.94    | 0.01%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -23 | NC      | $-3593.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JCET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1603635 | PA      | $1547802.58   | 0.08%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding X CLO Ltd                                                         | CUSIP: 15033XAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003800.00   | 0.05%             | 2037-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042632<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296000 | PA      | $289654.35    | 0.01%             | 2056-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                             | Venture XIX CLO Ltd                                                             | CUSIP: 92330EAP2<br>LEI: 549300KIDQKDB48YU144 | Long             | ABS-CBDO         | CORP              | KY        |    124561 | PA      | $124814.64    | 0.01%             | 2032-01-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HHUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22349000 | PA      | $654769.83    | 0.03%             | 2034-11-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BVXE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1629998 | PA      | $1653977.43   | 0.08%             | 2055-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2500000 | PA      | $2592668.23   | 0.13%             | 2036-05-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                              | PMT Loan Trust 2026-J1                                                          | CUSIP: 73015MBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5012473.50   | 0.25%             | 2057-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | Ellington Financial Mortgage Trust 2019-2                                       | CUSIP: 31573TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289000 | PA      | $280486.93    | 0.01%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $8719410.50   | 0.43%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -293 | NC      | $-68671.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-2                                               | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2393956 | PA      | $2315179.13   | 0.11%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-RCF5 LLC                                                              | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1472015 | PA      | $1478433.14   | 0.07%             | 2055-10-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38385G2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5045097 | PA      | $4891553.22   | 0.24%             | 2055-06-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2023-C7 Mortgage Trust                                                      | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2408743.80   | 0.12%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S              | HOMES 2024-AFC2 Trust                                                           | CUSIP: 437920AC5<br>LEI: 254900GDF2MBHUV58Z95 | Long             | ABS-MBS          | CORP              | US        |   2522167 | PA      | $2548950.24   | 0.13%             | 2059-10-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                    | Constellation Brands Inc                                                        | CUSIP: 21036PBT4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2471040.15   | 0.12%             | 2035-11-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     81000 | PA      | $81089.21     | 0.00%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2019-2                       | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    421061 | PA      | $405476.19    | 0.02%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MOLEX ELECTRONICS TECH                      | Molex Electronic Technologies LLC                                               | CUSIP: 60856BAF1<br>LEI: 549300WTBVUFUPSIWI20 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4621249.67   | 0.23%             | 2032-04-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBM7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1027993.08   | 0.05%             | 2032-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -49 | NC      | $-18375.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FDD0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   4167000 | PA      | $4202124.27   | 0.21%             | 2056-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| JH NORTH AMERICA HOLDING                    | JH North America Holdings Inc                                                   | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2549095.00   | 0.13%             | 2032-07-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2025-1                                             | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3364214 | PA      | $3392888.11   | 0.17%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                              | Open Text Corp                                                                  | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |   4895000 | PA      | $5057814.90   | 0.25%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQKM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345909 | PA      | $337450.99    | 0.02%             | 2029-06-25      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                             | 180 Medical Inc                                                                 | CUSIP: 682357AB4<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4966753.00   | 0.24%             | 2035-10-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JCRV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4575844 | PA      | $4354243.28   | 0.21%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9973828.10   | 0.49%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $273890.63    | 0.01%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                 | Stratus Funding CLO 2025-1 Ltd                                                  | CUSIP: 863163AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2248130.08   | 0.11%             | 2033-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -22 | NC      | $-48812.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust                                                   | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22180142 | PA      | $955460.65    | 0.05%             | 2052-10-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                    | MSCI Inc                                                                        | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   8065000 | PA      | $7742706.63   | 0.38%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834PB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $735547.46    | 0.04%             | 2044-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Asset Trust 2025-3                                 | CUSIP: 76090QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2218526.64   | 0.11%             | 2034-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                             | 180 Medical Inc                                                                 | CUSIP: 682357AA6<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3906786.40   | 0.19%             | 2029-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383JCQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24200861 | PA      | $1825887.21   | 0.09%             | 2067-09-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650EL0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5053192.25   | 0.25%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3288259 | PA      | $3207803.25   | 0.16%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Trust 2025-5                                       | CUSIP: 76089KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2825000 | PA      | $2834286.06   | 0.14%             | 2034-06-26      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834AE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27400000 | PA      | $15551987.10  | 0.76%             | 2038-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -40 | NC      | $-5000.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Garnet CLO Ltd                              | Garnet CLO 2 Ltd                                                                | CUSIP: 36626CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2001730.04   | 0.10%             | 2038-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                          | Conagra Brands Inc                                                              | CUSIP: 205887CL4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   4143000 | PA      | $4219490.34   | 0.21%             | 2035-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Luxury Lease Partners Auto Tru              | Luxury Lease Partners Auto Lease Trust 2025-A                                   | CUSIP: 55069BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4612939 | PA      | $4622632.02   | 0.23%             | 2032-03-15      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $259078.13    | 0.01%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2025-R3                                            | CUSIP: 69549EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1915314 | PA      | $1919023.22   | 0.09%             | 2033-01-18      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24500000 | PA      | $17722708.57  | 0.87%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3500000 | PA      | $3671814.72   | 0.18%             | 2033-08-09      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912833Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $2472997.88   | 0.12%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HN4T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  71855593 | PA      | $2456534.34   | 0.12%             | 2030-05-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                       | Universal Health Services Inc                                                   | CUSIP: 913903BC3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4913880.05   | 0.24%             | 2034-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -62 | NC      | $-1937.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $819787.82    | 0.04%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14600000 | PA      | $6757110.83   | 0.33%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2017-C8                                         | CUSIP: 12532CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74495 | PA      | $74268.50     | 0.00%             | 2050-06-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust                                                        | CUSIP: 46593VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5057156.50   | 0.25%             | 2055-11-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XTD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2593699 | PA      | $2573761.55   | 0.13%             | 2051-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-C13 Mortgage Trust                                                     | CUSIP: 05592YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35994460 | PA      | $2780996.78   | 0.14%             | 2058-10-15      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec              | Arbor Multifamily Mortgage Securities Trust 2020-MF1                            | CUSIP: 03881BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5623192.20   | 0.28%             | 2053-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WGQ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1971253 | PA      | $1793406.27   | 0.09%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HJFC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8847321 | PA      | $7459945.77   | 0.37%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912833Y46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11700000 | PA      | $7041206.37   | 0.35%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -28 | NC      | $-437.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAR1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2499608.10   | 0.12%             | 2032-01-21      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38384X5M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10361707 | PA      | $10444667.46  | 0.51%             | 2054-11-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                    | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAH1<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3103779.36   | 0.15%             | 2035-03-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                    | Duke Energy Progress LLC                                                        | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $986251.70    | 0.05%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                       | Universal Health Services Inc                                                   | CUSIP: 913903BB5<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2012438.82   | 0.10%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BSDB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949362 | PA      | $909586.74    | 0.04%             | 2033-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XAH8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1092694.63   | 0.05%             | 2039-07-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BTEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2247218 | PA      | $1891259.21   | 0.09%             | 2053-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK26                                                                 | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4784432 | PA      | $172030.01    | 0.01%             | 2063-03-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2018-2                                                  | CUSIP: 33851HAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2078765 | PA      | $1952604.45   | 0.10%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -131 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $2121858.56   | 0.10%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                    | Constellation Brands Inc                                                        | CUSIP: 21036PBS6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2035465.92   | 0.10%             | 2030-05-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                            | Berry Global Inc                                                                | CUSIP: 08576PAK7<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46397.75     | 0.00%             | 2028-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                        | Waste Management Inc                                                            | CUSIP: 94106LCF4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $974833.67    | 0.05%             | 2054-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec              | Arbor Multifamily Mortgage Securities Trust 2021-MF2                            | CUSIP: 03881VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1860000 | PA      | $1675027.46   | 0.08%             | 2054-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JBEB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8922925 | PA      | $7959307.14   | 0.39%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-C47                                  | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |   2737274 | PA      | $2729727.06   | 0.13%             | 2061-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi              | Freddie Mac Multiclass Certificates Series 2020-RR07                            | CUSIP: 3137FRVE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5795000 | PA      | $304417.03    | 0.01%             | 2028-10-27      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2017-6                                                 | CUSIP: 46649HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685145 | PA      | $628322.24    | 0.03%             | 2048-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                    | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2056337.60   | 0.10%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -65 | NC      | $-1015.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya Ai Debt Trust 2025-R1                                                    | CUSIP: 69547CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2266141 | PA      | $2280657.00   | 0.11%             | 2032-06-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2076000 | PA      | $1214135.63   | 0.06%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                   | CUSIP: 35563PMF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    546066 | PA      | $509675.41    | 0.03%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RUN NQM TRUST                               | RUN 2022-NQM1 Trust                                                             | CUSIP: 74981CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3614871 | PA      | $3606103.16   | 0.18%             | 2067-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $2570449.21   | 0.13%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust               | NYO Commercial Mortgage Trust 2021-1290                                         | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3101066.40   | 0.15%             | 2038-11-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381NPY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8529908 | PA      | $7937967.80   | 0.39%             | 2055-06-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2023-INV2 Trust                                                             | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1572634 | PA      | $1586725.82   | 0.08%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2041646 | PA      | $1934603.45   | 0.10%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Trust 2025-6                                       | CUSIP: 76100JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4112942.47   | 0.20%             | 2034-08-25      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -17 | NC      | $-2656.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -281 | NC      | $-8781.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2024-10                                            | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    718473 | PA      | $721931.87    | 0.04%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| THE 2023-MIC Trust                          | 2023-MIC Trust/THE                                                              | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $2518843.70   | 0.12%             | 2038-12-05      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1136000 | PA      | $944055.94    | 0.05%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust              | MSWF Commercial Mortgage Trust 2023-1                                           | CUSIP: 55376CAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40317976 | PA      | $1958651.32   | 0.10%             | 2056-05-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133N3XD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1571237 | PA      | $1246124.21   | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2022-AFC2 Trust                                                           | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3568102 | PA      | $3576665.64   | 0.18%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | Gracie Point International Funding 2025-1 LLC                                   | CUSIP: 38411WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4296000 | PA      | $4306993.03   | 0.21%             | 2028-08-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269288 | PA      | $233901.51    | 0.01%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust 2025-10                                       | CUSIP: 16160BBD8<br>LEI: 529900PXR6MEGSRAOO62 | Long             | ABS-MBS          | CORP              | US        |   2729488 | PA      | $2742754.74   | 0.13%             | 2056-07-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7764844 | PA      | $394117.11    | 0.02%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       375 | NC      | $-377708.97   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CIGNA GROUP/THE                             | Cigna Group/The                                                                 | CUSIP: 125523DA5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3572281.13   | 0.18%             | 2056-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                       | Silver Point CLO 16 Ltd                                                         | CUSIP: 82810JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4002096.00   | 0.20%             | 2039-04-18      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-NQM2 Trust                                                            | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600076 | PA      | $2630024.65   | 0.13%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK29                                                                 | CUSIP: 06541TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6874070 | PA      | $342506.73    | 0.02%             | 2053-11-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12670000 | PA      | $11859141.54  | 0.58%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9931141 | PA      | $7536147.77   | 0.37%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate               | Cantor Commercial Real Estate Lending 2019-CF1                                  | CUSIP: 12529MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449090 | PA      | $1434275.29   | 0.07%             | 2052-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2022-2                                                | CUSIP: 89180HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1764437 | PA      | $1683286.72   | 0.08%             | 2062-07-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140W1MP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9749839 | PA      | $9722651.83   | 0.48%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-NQM6 Trust                                                            | CUSIP: 69383RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4443964 | PA      | $4457231.92   | 0.22%             | 2070-12-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -37 | NC      | $-8671.91     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                    | FactSet Research Systems Inc                                                    | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $7905464.10   | 0.39%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2167563 | PA      | $39810.33     | 0.00%             | 2028-05-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec              | Arbor Multifamily Mortgage Securities Trust 2020-MF1                            | CUSIP: 03881BAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $117639.25    | 0.01%             | 2053-05-15      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    670815 | PA      | $18430.23     | 0.00%             | 2034-01-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912833Y20<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16100000 | PA      | $10225560.16  | 0.50%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                    | OHA Credit Funding 15-R Ltd                                                     | CUSIP: 67121NAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2210997.32   | 0.11%             | 2038-07-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | Rate Mortgage Trust 2025-J3                                                     | CUSIP: 75410EBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8708622 | PA      | $8784575.49   | 0.43%             | 2055-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-1                   | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1136733 | PA      | $1085757.14   | 0.05%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2018-TALL Mortgage Trust                                                  | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3772000 | PA      | $3607987.03   | 0.18%             | 2037-03-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2026-1                                             | CUSIP: 694969AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500000.00    | 0.02%             | 2033-09-15      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -145 | NC      | $-36250.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XQXJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11484716 | PA      | $10442325.99  | 0.51%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BN6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9693482 | PA      | $9663009.72   | 0.47%             | 2052-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HFSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2652737 | PA      | $2668128.83   | 0.13%             | 2054-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    395000 | PA      | $311448.24    | 0.02%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                            | CoStar Group Inc                                                                | CUSIP: 22160NAA7<br>LEI: 984500Q1D53D08E2E698 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3684251.04   | 0.18%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2297855.25   | 0.11%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Harriman Park CLO                           | Harriman Park CLO LTD                                                           | CUSIP: 413717BC2<br>LEI: 549300BI9STOGTECXV18 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2002953.42   | 0.10%             | 2038-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2000000 | PA      | $1997401.46   | 0.10%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                    | Virginia Electric and Power Co                                                  | CUSIP: 927804GW8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3408113.31   | 0.17%             | 2055-09-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                    | NRTH Commercial Mortgage Trust 2025-PARK                                        | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1313500 | PA      | $1319410.49   | 0.06%             | 2040-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -12 | NC      | $-187.51      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2025-AFC2 Trust                                                           | CUSIP: 74277JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2975363 | PA      | $2987798.01   | 0.15%             | 2060-12-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2016612.90   | 0.10%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                   | CUSIP: 35563PKD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2715473 | PA      | $2452938.55   | 0.12%             | 2058-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XNEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4125905 | PA      | $4017799.91   | 0.20%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                              | PMT Loan Trust 2026-INV1                                                        | CUSIP: 73015LBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10100000 | PA      | $10148964.80  | 0.50%             | 2057-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-K156 Mortgage Trust                                                  | CUSIP: 302957AL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 320387716 | PA      | $1535618.32   | 0.08%             | 2036-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2018-15 Ltd                                                             | CUSIP: 67112KAG4<br>LEI: 254900WK4JKXAXOKTL68 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $300425.38    | 0.01%             | 2038-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | Gracie Point International Funding 2024-1 LLC                                   | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1802000 | PA      | $1802740.98   | 0.09%             | 2028-03-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4857663 | PA      | $4439984.62   | 0.22%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-INV1                                              | CUSIP: 46591DAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1606786 | PA      | $1592325.31   | 0.08%             | 2049-09-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -21 | NC      | $-328.15      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FL2M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217105 | PA      | $207032.30    | 0.01%             | 2034-01-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                     | Fidelity National Information Services Inc                                      | CUSIP: 31620MBU9<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    905000 | PA      | $668557.46    | 0.03%             | 2041-03-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022642<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -5125000 | PA      | $-4347846.18  | -0.21%            | 2056-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                           | Elmwood CLO X Ltd                                                               | CUSIP: 29002VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2008000.00   | 0.10%             | 2038-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $483929.51    | 0.02%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BNZ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8287147 | PA      | $8246605.34   | 0.40%             | 2052-09-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                           | Battalion CLO XXIV Ltd                                                          | CUSIP: 07135JAJ0<br>LEI: 549300ALTGBNQDUY5038 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004237.38   | 0.10%             | 2036-07-14      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3032245.44   | 0.15%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10015625.00  | 0.49%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S              | HOMES 2025-AFC2 Trust                                                           | CUSIP: 43761YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1969527 | PA      | $1990956.54   | 0.10%             | 2060-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -74 | NC      | $-2312.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-C11 Mortgage Trust                                                     | CUSIP: 05613XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665000 | PA      | $705852.41    | 0.03%             | 2058-02-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERSO              | New York State Dormitory Authority                                              | CUSIP: 64990KJD6<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   3000000 | PA      | $3216618.00   | 0.16%             | 2053-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                              | Rocket Cos Inc                                                                  | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9750000 | PA      | $10127432.25  | 0.50%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-RCF6 LLC                                                              | CUSIP: 69393BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3884035 | PA      | $3889251.91   | 0.19%             | 2055-12-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2018-3                                      | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |   6058544 | PA      | $5967386.97   | 0.29%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| First Trust AAA CMBS ETF                    | First Trust AAA CMBS ETF                                                        | CUSIP: 33738D762<br>LEI: 254900TMRGSMLWIAPA66 | Long             | EC               | RF                | US        |     20000 | NS      | $409400.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ETKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3697789 | PA      | $3425495.46   | 0.17%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Trust 2025-4                                                     | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999964 | PA      | $1007793.79   | 0.05%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S              | HOMES 2025-AFC4 Trust                                                           | CUSIP: 43762DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3887646 | PA      | $3918449.81   | 0.19%             | 2060-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380XKN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2606941 | PA      | $2354759.63   | 0.12%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1397 | NC      | $-193388.63   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $299437.50    | 0.01%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2021-6 Mortgage Loan Trust                                                 | CUSIP: 12658YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    624223 | PA      | $579253.23    | 0.03%             | 2066-12-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY                              | Ryan Specialty LLC                                                              | CUSIP: 78351GAA3<br>LEI: 549300K52N7QBO3PYY45 | Long             | DBT              | CORP              | US        |  11053000 | PA      | $11242656.44  | 0.55%             | 2032-08-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY TRANSITIONAL               | New York City Transitional Finance Authority Future Tax Secured Revenue         | CUSIP: 64972JWL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   9140000 | PA      | $9841901.73   | 0.48%             | 2050-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383JCS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  64313579 | PA      | $3902528.67   | 0.19%             | 2064-04-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2026-1                                                 | CUSIP: 46594NCH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11250000 | PA      | $11278038.38  | 0.55%             | 2056-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PFW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1003871.90   | 0.05%             | 2029-04-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2025-4 Mortgage Loan Trust                                                 | CUSIP: 12674HAA0<br>LEI: 2138002WIT3BHLQD3E93 | Long             | ABS-MBS          | CORP              | US        |   1668121 | PA      | $1693470.68   | 0.08%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235037 | PA      | $233826.03    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567257 | PA      | $514659.78    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -151 | NC      | $-53793.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381QSW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8130716 | PA      | $7204390.76   | 0.35%             | 2055-08-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E              | FARM 2024-1 Mortgage Trust                                                      | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2631151 | PA      | $2578961.71   | 0.13%             | 2053-10-01      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    750000 | PA      | $722733.07    | 0.04%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9062181 | PA      | $8876881.64   | 0.44%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                              | TR Finance LLC                                                                  | CUSIP: 87268LAE7<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2599050.83   | 0.13%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                       | Amrize Finance US LLC                                                           | CUSIP: 43475RAT3<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2069767.72   | 0.10%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2024-11                                            | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    827406 | PA      | $831945.45    | 0.04%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BN3L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7199668 | PA      | $7153422.05   | 0.35%             | 2052-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1                   | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1365991 | PA      | $1169392.81   | 0.06%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38385GUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4140314 | PA      | $3904585.17   | 0.19%             | 2055-05-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -118 | NC      | $-22125.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $7155312.50   | 0.35%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2020-NQM1                                   | CUSIP: 36259WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148953 | PA      | $143170.71    | 0.01%             | 2060-09-27      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2018-C5                                     | CUSIP: 17291DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    573971 | PA      | $570381.51    | 0.03%             | 2051-06-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2025-NQM6 Trust                                                             | CUSIP: 67448UAA0<br>LEI: 254900W46UQEWQMYYZ02 | Long             | ABS-MBS          | CORP              | US        |   2007976 | PA      | $2035649.67   | 0.10%             | 2065-03-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                    | MSCI Inc                                                                        | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   2667000 | PA      | $2677200.53   | 0.13%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                         | Cbam 2018-7 Ltd                                                                 | CUSIP: 12482JAC4<br>LEI: 2549002XHTMWO4GGPF51 | Long             | ABS-CBDO         | CORP              | KY        |   1495000 | PA      | $1499363.94   | 0.07%             | 2031-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2024-8                                             | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154467 | PA      | $155134.23    | 0.01%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFYA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5736568 | PA      | $5585865.99   | 0.27%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2674005.26   | 0.13%             | 2033-10-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                          | Alcon Finance Corp                                                              | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   2265000 | PA      | $2282014.50   | 0.11%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -28 | NC      | $-6125.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -118 | NC      | $-36875.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TENN VALLEY AUTHORITY                       | Tennessee Valley Authority                                                      | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   4000000 | PA      | $3972667.68   | 0.20%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2940000 | PA      | $2988005.58   | 0.15%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23611742 | PA      | $628870.42    | 0.03%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2019-3                       | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    145437 | PA      | $139194.33    | 0.01%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H7G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4274484 | PA      | $3922792.72   | 0.19%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                          | Conagra Brands Inc                                                              | CUSIP: 205887CE0<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $3973052.57   | 0.20%             | 2048-11-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BWAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11907450 | PA      | $11907830.30  | 0.58%             | 2055-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $285656.25    | 0.01%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3490829.90   | 0.17%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                   | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3471096 | PA      | $3380484.36   | 0.17%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -122 | NC      | $-91500.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-RPL4 LLC                                                              | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2033856 | PA      | $1948023.88   | 0.10%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JCYL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3517495 | PA      | $2789675.69   | 0.14%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                | Parallel 2023-1 Ltd                                                             | CUSIP: 69915NAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    220000 | PA      | $220578.53    | 0.01%             | 2036-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2025-HOME1                                                                | CUSIP: 69382FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854187 | PA      | $865373.81    | 0.04%             | 2060-02-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5320550 | PA      | $4796195.55   | 0.24%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W3D4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $2042317.48   | 0.10%             | 2031-05-09      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK26                                                                 | CUSIP: 06540JBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $301758.70    | 0.01%             | 2063-03-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                 | CoreVest American Finance 2021-2 Trust                                          | CUSIP: 21873BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    677671 | PA      | $660239.21    | 0.03%             | 2054-07-15      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $785039.07    | 0.04%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2834303 | PA      | $7904.59      | 0.00%             | 2026-07-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -231 | NC      | $-77601.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2025-1                       | CUSIP: 35564CUE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7100000 | PA      | $6183329.65   | 0.30%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HHSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    839494 | PA      | $847789.57    | 0.04%             | 2054-12-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HLXX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  71372531 | PA      | $1707794.78   | 0.08%             | 2030-02-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1                   | CUSIP: 35563PDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2262474 | PA      | $2140890.83   | 0.11%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Asset Trust 2025-1                                 | CUSIP: 76089YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2675849 | PA      | $2689332.94   | 0.13%             | 2033-06-27      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   3585000 | PA      | $2928043.30   | 0.14%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY GROUP                        | Ryan Specialty LLC                                                              | CUSIP: 78351MAA0<br>LEI: 549300K52N7QBO3PYY45 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4877387.50   | 0.24%             | 2030-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                       | Universal Health Services Inc                                                   | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   4710000 | PA      | $4295691.63   | 0.21%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                          | Conagra Brands Inc                                                              | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    970000 | PA      | $916514.67    | 0.05%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-6                                                 | CUSIP: 46651BAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1096586 | PA      | $1047202.81   | 0.05%             | 2049-12-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -55 | NC      | $-4726.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                   | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    369151 | PA      | $347361.36    | 0.02%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HABM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9110400 | PA      | $8453049.40   | 0.42%             | 2052-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                            | Berry Global Inc                                                                | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    300000 | PA      | $313248.96    | 0.02%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3523000 | PA      | $3522855.13   | 0.17%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2025-HOME1                                                                | CUSIP: 69382FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2011610 | PA      | $2038312.67   | 0.10%             | 2060-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BUDS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17124792 | PA      | $17203655.10  | 0.84%             | 2054-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                   | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1652291 | PA      | $1618952.44   | 0.08%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                        | Cross 2025-H3 Mortgage Trust                                                    | CUSIP: 22757EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1638347 | PA      | $1665502.58   | 0.08%             | 2070-04-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGEU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4350209 | PA      | $4342473.60   | 0.21%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H73N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267904 | PA      | $252049.27    | 0.01%             | 2031-12-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -222 | NC      | $-69375.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BTLF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3089078 | PA      | $3108858.55   | 0.15%             | 2054-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                       | MidAmerican Energy Co                                                           | CUSIP: 595620BA2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   5963000 | PA      | $5826001.63   | 0.29%             | 2056-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                     | Fidelity National Information Services Inc                                      | CUSIP: 31620MBY1<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30621.89     | 0.00%             | 2032-07-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2020-C58                                  | CUSIP: 95002UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433852 | PA      | $394315.70    | 0.02%             | 2053-07-15      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2024-RPL2 LLC                                                              | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718970 | PA      | $704454.39    | 0.03%             | 2054-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MSILF Treasury Portfolio                    | MSILF Treasury Portfolio                                                        | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        |  17188715 | NS      | $17188715.39  | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Hilton USA Trust                            | Hilton USA Trust                                                                | CUSIP: 432826AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1709135.29   | 0.08%             | 2042-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-C12 Mortgage Trust                                                     | CUSIP: 05615DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3091000 | PA      | $3281739.74   | 0.16%             | 2058-06-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| CAMPBELLS COMPANY/THE                       | Campbell's Company/The                                                          | CUSIP: 134429BP3<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1495600.96   | 0.07%             | 2034-03-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust              | BSTN Commercial Mortgage Trust 2025-1C                                          | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1748459.86   | 0.09%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -10 | NC      | $-78.13       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3046879 | PA      | $2918204.50   | 0.14%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4979969.50   | 0.24%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION SOFTWARE                      | Constellation Software Inc/Canada                                               | CUSIP: 21037XAD2<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |   2670000 | PA      | $2686429.18   | 0.13%             | 2034-02-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                 | Corevest American Finance 2020-2 Trust                                          | CUSIP: 21872VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1010000 | PA      | $1006726.09   | 0.05%             | 2052-05-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2025-2                                             | CUSIP: 69545GAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428471 | PA      | $431563.65    | 0.02%             | 2032-10-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BQQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7164306 | PA      | $6276919.22   | 0.31%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H9AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4156445 | PA      | $4145652.66   | 0.20%             | 2052-09-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2025-5                                             | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2499903 | PA      | $2515531.81   | 0.12%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                             | Invesco US CLO 2023-4 Ltd                                                       | CUSIP: 46091XAN0<br>LEI: 254900CLWY1AN9F4PD86 | Long             | ABS-CBDO         | CORP              | JE        |   2625000 | PA      | $2626443.75   | 0.13%             | 2039-01-18      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4038593.76   | 0.20%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -14 | NC      | $-109.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ALCON FINANCE CORP                          | Alcon Finance Corp                                                              | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    910000 | PA      | $951627.90    | 0.05%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5483517 | PA      | $4938338.10   | 0.24%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HH6B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    919000 | PA      | $43712.74     | 0.00%             | 2031-08-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XVI-S Ltd                                                  | CUSIP: 64131TAY0<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003600.00   | 0.05%             | 2039-04-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2              | JW Trust 2024-BERY                                                              | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1244721.18   | 0.06%             | 2039-11-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38385GPR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4145812 | PA      | $4059596.08   | 0.20%             | 2055-05-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RND0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1926628.30   | 0.09%             | 2045-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E              | FARM 2024-2 Mortgage Trust                                                      | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306963 | PA      | $304044.16    | 0.01%             | 2054-08-01      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORI                    | Charles River Laboratories International Inc                                    | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    975000 | PA      | $941268.22    | 0.05%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                   | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4721830 | PA      | $4177828.43   | 0.21%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       682 | NC      | $-453910.06   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FNA VI LLC                                  | FNA VI LLC                                                                      | CUSIP: 34411YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    539718 | PA      | $506464.93    | 0.02%             | 2032-01-10      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                             | Cigna Group/The                                                                 | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1548242.48   | 0.08%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                      | Chase Auto Owner Trust 2022-A                                                   | CUSIP: 16144JAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    744310 | PA      | $744348.07    | 0.04%             | 2028-03-27      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                   | CUSIP: 35563PGB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    647614 | PA      | $612958.43    | 0.03%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912797RT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9990033.30   | 0.49%             | 2026-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                   | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7339445 | PA      | $6980743.91   | 0.34%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2532563.38   | 0.12%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd               | CoreVest American Finance 2020-3 Trust                                          | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338934 | PA      | $336195.75    | 0.02%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834HV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27071000 | PA      | $13686325.54  | 0.67%             | 2040-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFRA 2024-NQM3 Trust                                                            | CUSIP: 55287GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4627201 | PA      | $4686498.31   | 0.23%             | 2069-12-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | ULTRA U.S. TREASURY BOND                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -59 | NC      | $-42406.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9667166 | PA      | $314912.76    | 0.02%             | 2030-11-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                         | Ashtead Capital Inc                                                             | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2073985.54   | 0.10%             | 2032-08-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2025-NQM5 Trust                                                             | CUSIP: 59319DAC7<br>LEI: 25490048OKUKCESK4V59 | Long             | ABS-MBS          | CORP              | US        |   3954898 | PA      | $3982067.09   | 0.20%             | 2070-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                       | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAH7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2358386.08   | 0.12%             | 2040-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834EP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $3171700.56   | 0.16%             | 2039-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2019-NQM2                                       | CUSIP: 10568LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152647 | PA      | $147577.62    | 0.01%             | 2044-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RNE8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1911223.94   | 0.09%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                       | TRK 2022-INV1 Trust                                                             | CUSIP: 872635AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2254094 | PA      | $2128021.25   | 0.10%             | 2057-02-25      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8321617 | PA      | $303856.37    | 0.01%             | 2030-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  92001300 | PA      | $2203891.14   | 0.11%             | 2031-08-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | ULTRA U.S. TREASURY BOND                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $-2812.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16000000 | PA      | $17594374.96  | 0.86%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY                                 | City of New York NY                                                             | CUSIP: 64966SME3<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   4000000 | PA      | $4208825.20   | 0.21%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Capital Street Master Trust                 | Capital Street Master Trust                                                     | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2497274.00   | 0.12%             | 2029-08-16      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                 | Corevest American Finance 2021-1 Trust                                          | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1358856 | PA      | $1341267.43   | 0.07%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2019-1 Trust                             | CUSIP: 95001TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114927 | PA      | $110000.21    | 0.01%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21500000 | PA      | $14405263.16  | 0.71%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2020-420K                                   | CUSIP: 17328QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1310000 | PA      | $1183007.81   | 0.06%             | 2042-11-10      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                    | MSCI Inc                                                                        | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    550000 | PA      | $538995.08    | 0.03%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345508 | PA      | $326296.80    | 0.02%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                     | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2569572.50   | 0.13%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -68 | NC      | $-26562.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | ULTRA U.S. TREASURY BOND                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -58 | NC      | $-17218.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8353119 | PA      | $8329827.41   | 0.41%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    405000 | PA      | $350068.71    | 0.02%             | 2046-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2022-NQM3                                       | CUSIP: 10569FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040853 | PA      | $1034793.87   | 0.05%             | 2061-09-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HDTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4855564 | PA      | $4490683.60   | 0.22%             | 2054-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                            | Hilton USA Trust 2016-HHV                                                       | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395000 | PA      | $1387903.77   | 0.07%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2014-A                                            | CUSIP: 17322GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380826 | PA      | $380047.50    | 0.02%             | 2035-01-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                        | Verisk Analytics Inc                                                            | CUSIP: 92345YAE6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    510000 | PA      | $496353.74    | 0.02%             | 2045-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3501472.21   | 0.17%             | 2030-10-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                    | Florida Power & Light Co                                                        | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   3155000 | PA      | $3034612.90   | 0.15%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912833X96<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10500000 | PA      | $6855651.50   | 0.34%             | 2035-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | ULTRA U.S. TREASURY BOND                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -12 | NC      | $-1500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HYATT HOTELS CORP                           | Hyatt Hotels Corp                                                               | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   3250000 | PA      | $3406902.04   | 0.17%             | 2032-03-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140W1D67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9407854 | PA      | $8022102.72   | 0.39%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2025-SFR3 Trust                                            | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2600000 | PA      | $2477825.22   | 0.12%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                   | CUSIP: 35563PGD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3740144 | PA      | $3379178.16   | 0.17%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4                   | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10089831 | PA      | $9878117.31   | 0.49%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                    | Constellation Brands Inc                                                        | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    425000 | PA      | $357479.02    | 0.02%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                | METLIFE SECURITIZATION TRUST 2018-1                                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    316704 | PA      | $309999.68    | 0.02%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                 | Corevest American Finance 2020-1 Trust                                          | CUSIP: 21872UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186379 | PA      | $179317.71    | 0.01%             | 2050-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust               | SFO Commercial Mortgage Trust 2021-555                                          | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3288100 | PA      | $3289898.59   | 0.16%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Capital Street Master Trust                 | Capital Street Master Trust                                                     | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250087.75    | 0.01%             | 2028-10-16      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | ULTRA U.S. TREASURY BOND                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -13 | NC      | $-1015.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XRNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5427319 | PA      | $5095816.96   | 0.25%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | EFMT 2024-INV2                                                                  | CUSIP: 26844LAA6<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |   1683811 | PA      | $1690649.01   | 0.08%             | 2069-10-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TRANSPRTN TRUST               | New Jersey Transportation Trust Fund Authority                                  | CUSIP: 64613CHQ4<br>LEI: 549300YUVD5TEXR6L889 | Long             | DBT              | MUN               | US        |   6000000 | PA      | $6214211.40   | 0.31%             | 2050-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399408 | PA      | $35835.53     | 0.00%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BTTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884510 | PA      | $890619.37    | 0.04%             | 2054-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point CLO XXVIII Ltd                                                      | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    597311 | PA      | $598803.82    | 0.03%             | 2032-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1077110 | PA      | $1024835.42   | 0.05%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132AEQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16645420 | PA      | $16386954.08  | 0.80%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380RVN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10943960 | PA      | $761192.92    | 0.04%             | 2061-01-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2018-RPL9 Trust                                                            | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    653741 | PA      | $635485.84    | 0.03%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | ULTRA U.S. TREASURY BOND                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -12 | NC      | $-1875.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                                   | CUSIP: 097023AS4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1678341.47   | 0.08%             | 2038-02-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9M71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    491667 | PA      | $490139.48    | 0.02%             | 2032-01-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                           | Brown & Brown Inc                                                               | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3105036.84   | 0.15%             | 2055-06-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2965086.51   | 0.15%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2025-PHNY                  | CUSIP: 46592UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3085000 | PA      | $3098057.26   | 0.15%             | 2041-01-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383FS53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6524091 | PA      | $6741663.08   | 0.33%             | 2052-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                            | Empower CLO 2023-3 Ltd                                                          | CUSIP: 29247KAR8<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2001048.00   | 0.10%             | 2039-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33849577 | PA      | $1641474.30   | 0.08%             | 2030-06-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2025-C35                                                   | CUSIP: 07337DAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  51837464 | PA      | $2600358.98   | 0.13%             | 2058-07-15      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 9128337V6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15100000 | PA      | $10644268.90  | 0.52%             | 2034-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND CBT                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       508 | NC      | $-580143.46   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4                   | CUSIP: 35563PHG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $12438732.02  | 0.61%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK29                                                                 | CUSIP: 06541TBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1486830 | PA      | $1317441.85   | 0.06%             | 2053-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BKYF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2698491 | PA      | $2389071.55   | 0.12%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2025-PJ11                                   | CUSIP: 36273RBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4703510 | PA      | $4735309.90   | 0.23%             | 2056-05-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                    | Northern States Power Co/MN                                                     | CUSIP: 665772DA4<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2999846.19   | 0.15%             | 2055-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140W0U86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4918490 | PA      | $4684979.42   | 0.23%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2024-277P Mortgage Trust                                                   | CUSIP: 12654FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7850000 | PA      | $183442.73    | 0.01%             | 2044-08-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg              | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $359727.80    | 0.02%             | 2053-08-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30455000 | PA      | $20946063.98  | 1.03%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO Ltd                       | Kennedy Lewis CLO 16 Ltd                                                        | CUSIP: 37149YAC3<br>LEI: 213800SVSEDOQON7JV18 | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1606969.74   | 0.08%             | 2037-07-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. ULTRA TREASURY BOND                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-2296.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Colony American Finance Ltd                 | Corevest American Finance 2020-2 Trust                                          | CUSIP: 21872VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56298 | PA      | $56209.47     | 0.00%             | 2052-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8500000 | PA      | $4170810.52   | 0.20%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HHML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3498790 | PA      | $2957414.93   | 0.15%             | 2054-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052631<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9782000 | PA      | $9906991.36   | 0.49%             | 2056-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                       | Silver Point CLO 9 Ltd                                                          | CUSIP: 82809VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1511245.45   | 0.07%             | 2038-03-31      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3302.61      | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-LTV2                                              | CUSIP: 46653LCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476322 | PA      | $441749.24    | 0.02%             | 2050-11-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| NEW HOPE CULTURAL EDU FACS FIN              | New Hope Cultural Education Facilities Finance Corp                             | CUSIP: 645424BP6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6700000 | PA      | $7283853.41   | 0.36%             | 2049-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834AT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26800000 | PA      | $14990779.39  | 0.74%             | 2038-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XDA0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $975388.52    | 0.05%             | 2035-08-03      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. ULTRA TREASURY BOND                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -51 | NC      | $-23906.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13193264 | PA      | $928684.39    | 0.05%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                 | CUSIP: 3136BRLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353443 | PA      | $288960.36    | 0.01%             | 2053-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18755786 | PA      | $1058447.13   | 0.05%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-GW                                                                | CUSIP: 12433GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2009278.60   | 0.10%             | 2042-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752BE2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97611.31     | 0.00%             | 2055-02-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040644<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -15797000 | PA      | $-15059739.00 | -0.74%            | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1130000 | PA      | $805478.13    | 0.04%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H63G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3615690 | PA      | $3337299.89   | 0.16%             | 2037-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    750000 | PA      | $748021.50    | 0.04%             | 2030-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                          | Whitebox CLO III Ltd                                                            | CUSIP: 96467HAL0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005120.16   | 0.10%             | 2035-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1318 | NC      | $1802483.60   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834AU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $16317491.40  | 0.80%             | 2039-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                   | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    372097 | PA      | $365792.00    | 0.02%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                    | Constellation Brands Inc                                                        | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    820000 | PA      | $760778.36    | 0.04%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                     | Arthur J Gallagher & Co                                                         | CUSIP: 04316JAN9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1341178.78   | 0.07%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4545894.40   | 0.22%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust              | SWCH Commercial Mortgage Trust 2025-DATA                                        | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2745000 | PA      | $2729333.46   | 0.13%             | 2042-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-NQM3 Trust                                                            | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2260541 | PA      | $2285445.18   | 0.11%             | 2070-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040636<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8218000 | PA      | $7840878.45   | 0.39%             | 2056-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3170000 | PA      | $3156193.89   | 0.15%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                     | Dell International LLC / EMC Corp                                               | CUSIP: 24703DBT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2494679.90   | 0.12%             | 2032-10-06      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -86 | NC      | $-143781.25   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| American Heritage Auto Receiva              | American Heritage Auto Receivables Trust 2024-1                                 | CUSIP: 026944AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $646907.39    | 0.03%             | 2029-09-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CROWDSTRIKE HOLDINGS INC                    | Crowdstrike Holdings Inc                                                        | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |   4550000 | PA      | $4356780.29   | 0.21%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2025-SFR1 Trust                                            | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5478050 | PA      | $5251988.26   | 0.26%             | 2042-02-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $255588.84    | 0.01%             | 2030-01-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                       | Gildan Activewear Inc                                                           | CUSIP: 375916AG8<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |   5500000 | PA      | $5495934.57   | 0.27%             | 2035-10-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi              | Freddie Mac Multifamily PC REMIC Trust 2019-RR01                                | CUSIP: 3137FQ3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23500000 | PA      | $680064.15    | 0.03%             | 2028-06-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C41                                  | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12472751 | PA      | $183850.84    | 0.01%             | 2050-11-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                          | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   5500000 | PA      | $5484690.75   | 0.27%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus              | WHARF Commercial Mortgage Trust 2025-DC                                         | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2175000 | PA      | $2243619.51   | 0.11%             | 2040-07-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2017-GS5                                           | CUSIP: 36252HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243227 | PA      | $242261.15    | 0.01%             | 2050-03-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -37 | NC      | $-39312.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4864000 | PA      | $4778753.49   | 0.23%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052649<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1076000 | PA      | $1088950.20   | 0.05%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                    | American Water Capital Corp                                                     | CUSIP: 03040WBG9<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   4333000 | PA      | $4319685.73   | 0.21%             | 2055-09-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381UKH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15970031 | PA      | $12748020.98  | 0.63%             | 2054-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A              | Research-Driven Pagaya Motor Asset Trust 2023-3                                 | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    946574 | PA      | $948296.66    | 0.05%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2024-2                       | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    906063 | PA      | $918251.11    | 0.05%             | 2034-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2024-RPL3 LLC                                                              | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230539 | PA      | $226996.74    | 0.01%             | 2054-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                     | Arthur J Gallagher & Co                                                         | CUSIP: 04316JAP4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   3805000 | PA      | $3642758.15   | 0.18%             | 2055-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HHF89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6673850 | PA      | $6713499.81   | 0.33%             | 2054-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JCRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3636299 | PA      | $3329461.57   | 0.16%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -314 | NC      | $-152093.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -206 | NC      | $-450625.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Aimco                                       | AIMCO CLO 17 Ltd                                                                | CUSIP: 00889JAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    590000 | PA      | $592092.46    | 0.03%             | 2037-07-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| AON GLOBAL LTD                              | Aon Global Ltd                                                                  | CUSIP: 00185AAH7<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |   1530000 | PA      | $1366246.84   | 0.07%             | 2045-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust              | Home Partners of America 2020-2 Trust                                           | CUSIP: 437301AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    938729 | PA      | $864960.46    | 0.04%             | 2041-01-17      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR5 Trust                        | STAR 2025-SFR5 Trust                                                            | CUSIP: 85520CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4993410 | PA      | $5001336.31   | 0.25%             | 2042-02-17      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3638000 | PA      | $3669921.56   | 0.18%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust               | INT Commercial Mortgage Trust 2025-PLAZA                                        | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1517384.70   | 0.07%             | 2037-11-05      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   3000000 | PA      | $3002201.79   | 0.15%             | 2033-11-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-L2                                          | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5601330 | PA      | $141528.81    | 0.01%             | 2052-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1476726.11   | 0.07%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6471913.70   | 0.32%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -225 | NC      | $-326953.13   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5007664.90   | 0.25%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust              | BOCA Commercial Mortgage Trust 2025-BOCA                                        | CUSIP: 05619RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1360561.73   | 0.07%             | 2042-12-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-INV1                                              | CUSIP: 46591DBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300537 | PA      | $296542.98    | 0.01%             | 2049-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| LV Trust                                    | Fashion Show Mall LLC                                                           | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1426129.18   | 0.07%             | 2041-10-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674000 | PA      | $683481.00    | 0.03%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2021-B25 Mortgage Trust                                               | CUSIP: 08163DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2475698.04   | 0.12%             | 2054-04-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                      | Santander Holdings USA Inc                                                      | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2813167.67   | 0.14%             | 2029-03-20      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                             | Cigna Group/The                                                                 | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3812643.12   | 0.19%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-DELC                                                              | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4028645.60   | 0.20%             | 2042-12-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2018-4                                      | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2970907 | PA      | $2931511.52   | 0.14%             | 2048-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3900000 | PA      | $3806689.46   | 0.19%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV              | Octagon Investment Partners XVI Ltd                                             | CUSIP: 67590BAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    255397 | PA      | $255690.04    | 0.01%             | 2030-07-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6083063 | PA      | $5636345.77   | 0.28%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2025-3                                               | CUSIP: 924928AA2<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |   1189677 | PA      | $1205892.76   | 0.06%             | 2070-05-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2434000 | PA      | $2457734.03   | 0.12%             | 2056-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4959934.35   | 0.24%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                      | Chase Auto Owner Trust 2024-1                                                   | CUSIP: 16144BAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95000 | PA      | $97084.40     | 0.00%             | 2029-10-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY Trust 2025-1535                                                            | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765000 | PA      | $804163.79    | 0.04%             | 2042-05-05      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2022-1                                                | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2033194 | PA      | $1953760.31   | 0.10%             | 2062-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi              | Freddie Mac Multiclass Certificates Series 2020-RR14                            | CUSIP: 3137F85E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5778199 | PA      | $741724.29    | 0.04%             | 2034-03-27      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B21 Mortgage Trust                                               | CUSIP: 08163LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8625536 | PA      | $454565.76    | 0.02%             | 2053-12-17      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| ABC SUPPLY CO INC                           | American Builders & Contractors Supply Co Inc                                   | CUSIP: 024747AF4<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2962796.40   | 0.15%             | 2028-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834DV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30575000 | PA      | $16421559.77  | 0.81%             | 2039-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                       | Arroyo Mortgage Trust 2020-1                                                    | CUSIP: 04285CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117112 | PA      | $114005.88    | 0.01%             | 2055-03-25      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21100000 | PA      | $14300865.13  | 0.70%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                       | TRK 2021-INV1 Trust                                                             | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2994340 | PA      | $2720729.36   | 0.13%             | 2056-07-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                   | IQVIA Inc                                                                       | CUSIP: 46266TAC2<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3093450.00   | 0.15%             | 2028-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                    | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                             | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3287845.40   | 0.16%             | 2031-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H030633<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2476000 | PA      | $-2233853.91  | -0.11%            | 2056-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                        | Signal Peak CLO 3 Ltd                                                           | CUSIP: 82672NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $492010.62    | 0.02%             | 2037-01-23      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $5480725.25   | 0.27%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust 2019-ATR2                                     | CUSIP: 16159GAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371653 | PA      | $350516.39    | 0.02%             | 2049-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2019-1                                          | CUSIP: 10568GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $434792.10    | 0.02%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    365000 | PA      | $367008.04    | 0.02%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H8WD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9427138 | PA      | $9397090.66   | 0.46%             | 2052-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2018-1                                   | CUSIP: 94989UBH3<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   2197464 | PA      | $2079010.14   | 0.10%             | 2047-07-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38384PKG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14787254 | PA      | $14307646.91  | 0.70%             | 2054-05-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2020-2                       | CUSIP: 35564CGW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    560847 | PA      | $516819.37    | 0.03%             | 2030-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5249438 | PA      | $172986.82    | 0.01%             | 2029-07-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2019-C49                                  | CUSIP: 95001WBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23351636 | PA      | $725979.03    | 0.04%             | 2052-03-15      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31374CR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444457 | PA      | $415714.25    | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                            | LPL Holdings Inc                                                                | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2040859.82   | 0.10%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Series 2025-R01                                   | CUSIP: 20755JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2122943 | PA      | $2125211.09   | 0.10%             | 2045-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6434677 | PA      | $5347422.33   | 0.26%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                   | IQVIA Inc                                                                       | CUSIP: 46266TAB4<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     65000 | PA      | $67024.75     | 0.00%             | 2028-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1                        | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927648 | PA      | $913990.97    | 0.04%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2019-AFC1 Trust                                                            | CUSIP: 12596XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222736 | PA      | $216190.91    | 0.01%             | 2049-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FVEE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8422963 | PA      | $404539.74    | 0.02%             | 2030-06-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   3335000 | PA      | $3043674.94   | 0.15%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   3500000 | PA      | $3686080.06   | 0.18%             | 2033-01-21      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust               | CHI Commercial Mortgage Trust 2025-SFT                                          | CUSIP: 16706GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2230000 | PA      | $2290165.62   | 0.11%             | 2042-04-15      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                | NY Commercial Mortgage Trust 2025-299P                                          | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520000 | PA      | $1606082.16   | 0.08%             | 2047-02-10      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BNCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2879774 | PA      | $2113900.91   | 0.10%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 31427M5H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5181775 | PA      | $4858993.69   | 0.24%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                    | MSCI Inc                                                                        | CUSIP: 55354GAS9<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3453831.22   | 0.17%             | 2036-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1314144.86   | 0.06%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2019-GC43                                   | CUSIP: 17328HBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    604384 | PA      | $590541.95    | 0.03%             | 2052-11-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132AC3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3932879 | PA      | $3921910.92   | 0.19%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                           | Brown & Brown Inc                                                               | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   7115000 | PA      | $6880549.15   | 0.34%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S              | HOMES 2024-AFC1 Trust                                                           | CUSIP: 403945AC2<br>LEI: 2549009KYOPIDSS2IL61 | Long             | ABS-MBS          | CORP              | US        |   5898179 | PA      | $5934635.27   | 0.29%             | 2059-08-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3012660.69   | 0.15%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL6 Trust                                                            | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1577470 | PA      | $1441540.00   | 0.07%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BRX77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4037523 | PA      | $3617127.00   | 0.18%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                        | Verisk Analytics Inc                                                            | CUSIP: 92345YAL0<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2030320.60   | 0.10%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834EV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $5213157.40   | 0.26%             | 2039-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383FN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6620461 | PA      | $6841076.18   | 0.34%             | 2052-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2208596 | PA      | $1845018.92   | 0.09%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BATB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313390 | PA      | $307285.44    | 0.02%             | 2050-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY Trust 2025-1535                                                            | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2190000 | PA      | $2262020.12   | 0.11%             | 2042-05-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                           | Brown & Brown Inc                                                               | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $868987.83    | 0.04%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2023-NQM3 Trust                                                            | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    631735 | PA      | $638303.27    | 0.03%             | 2068-11-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2022-3                                                | CUSIP: 89180NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3526807 | PA      | $3374873.64   | 0.17%             | 2062-08-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2024-RPL4 LLC                                                              | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533608 | PA      | $525287.62    | 0.03%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                 | Houston Galleria Mall Trust 2025-HGLR                                           | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2863191.10   | 0.14%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-RCF4 LLC                                                              | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1293089 | PA      | $1283255.48   | 0.06%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2019-GC39                                          | CUSIP: 36260JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1752152 | PA      | $52326.62     | 0.00%             | 2052-05-10      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834NV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $824033.62    | 0.04%             | 2044-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6733000 | PA      | $6431125.88   | 0.32%             | 2055-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2022-3                                      | CUSIP: 85571RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1734245 | PA      | $1729921.98   | 0.08%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                         | Fifth Third Bancorp                                                             | CUSIP: 316773DP2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4967584.70   | 0.24%             | 2037-01-29      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9800000 | PA      | $6993240.02   | 0.34%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                       | Silver Point CLO 7 LTD                                                          | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500939.42    | 0.02%             | 2038-01-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BPAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4576666 | PA      | $4569765.36   | 0.22%             | 2052-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $220072.27    | 0.01%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                   | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1636445 | PA      | $1551661.65   | 0.08%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-HY2                                              | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1653692 | PA      | $1693311.52   | 0.08%             | 2058-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 85 CLO Ltd                                                               | CUSIP: 26246BAU8<br>LEI: 549300XS2BVK8BZTXN05 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501770.09    | 0.02%             | 2037-07-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4344534.74   | 0.21%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | Bravo Residential Funding Trust 2025-Nqm3                                       | CUSIP: 105927AC1<br>LEI: 254900KREJHICFBDC014 | Long             | ABS-MBS          | CORP              | US        |   1200284 | PA      | $1213398.12   | 0.06%             | 2065-03-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912797PM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4991509.45   | 0.25%             | 2026-02-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050635<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1175000 | PA      | $1173115.75   | 0.06%             | 2056-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2025-NQM13 Trust                                                            | CUSIP: 67121UAA4<br>LEI: 254900FPAGVH6E25VL74 | Long             | ABS-MBS          | CORP              | US        |   1674436 | PA      | $1695496.63   | 0.08%             | 2065-05-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                       | Gildan Activewear Inc                                                           | CUSIP: 375916AF0<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |   8000000 | PA      | $7978344.88   | 0.39%             | 2030-10-07      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050643<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    862000 | PA      | $859809.55    | 0.04%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $7357190.70   | 0.36%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1836778 | PA      | $1811129.25   | 0.09%             | 2056-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                           | Brown & Brown Inc                                                               | CUSIP: 115236AG6<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   3245000 | PA      | $3343447.49   | 0.16%             | 2034-06-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec              | Arbor Multifamily Mortgage Securities Trust 2020-MF1                            | CUSIP: 03881BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3143359 | PA      | $99146.89     | 0.00%             | 2053-05-15      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -56 | NC      | $-34125.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CONSTELLATION BRANDS INC                    | Constellation Brands Inc                                                        | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   2645000 | PA      | $2666369.67   | 0.13%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382TZP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4988081 | PA      | $5123752.82   | 0.25%             | 2051-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BPEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4112597 | PA      | $4101909.60   | 0.20%             | 2052-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                 | Corevest American Finance 2019-3 Trust                                          | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279662 | PA      | $279183.69    | 0.01%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust               | CHI Commercial Mortgage Trust 2025-SFT                                          | CUSIP: 16706GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62200000 | PA      | $549431.26    | 0.03%             | 2042-04-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 9128334Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24800000 | PA      | $17250799.65  | 0.85%             | 2034-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31374CR57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    451493 | PA      | $402720.87    | 0.02%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752BL6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3412924.83   | 0.17%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HHUT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $305014.89    | 0.01%             | 2032-01-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust Series 2025-3                                          | CUSIP: 46593RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5150000 | PA      | $5168737.76   | 0.25%             | 2055-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust 2019-ATR2                                     | CUSIP: 16159GAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    582284 | PA      | $550618.37    | 0.03%             | 2049-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                         | Fifth Third Bancorp                                                             | CUSIP: 316773DF4<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4899356.75   | 0.24%             | 2033-04-25      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2018-1 Trust                                                                | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4545215 | PA      | $4507763.35   | 0.22%             | 2057-06-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2025-R02                                    | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124755 | PA      | $2127583.60   | 0.10%             | 2045-02-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| SODEXO INC                                  | Sodexo Inc                                                                      | CUSIP: 833794AD2<br>LEI: 549300WSZGQGJQXRFU84 | Long             | DBT              | CORP              | US        |   5375000 | PA      | $5595651.33   | 0.27%             | 2035-08-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132AA2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    903833 | PA      | $854639.83    | 0.04%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                     | Arthur J Gallagher & Co                                                         | CUSIP: 04316JAF6<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    395000 | PA      | $435177.39    | 0.02%             | 2034-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-VOLT                                                              | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1006381.60   | 0.05%             | 2044-12-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Stacr Remic Trust 2025-Hqa1                                         | CUSIP: 35564NGY3<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   1375000 | PA      | $1376984.68   | 0.07%             | 2045-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JCLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325801 | PA      | $306812.22    | 0.02%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30041862 | PA      | $1559440.03   | 0.08%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                | Centene Corp                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   4350000 | PA      | $4326247.26   | 0.21%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | CARLYLE US CLO 2019-1 LTD                                                       | CUSIP: 14316BBJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $951133.26    | 0.05%             | 2031-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4950000 | PA      | $179641.94    | 0.01%             | 2029-06-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -65 | NC      | $-49765.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BECTON DICKINSON & CO                       | Becton Dickinson & Co                                                           | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   2525000 | PA      | $2238329.45   | 0.11%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2022-NQM2 Trust                                                             | CUSIP: 67448DAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1846881.40   | 0.09%             | 2062-01-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                         | Medline Borrower LP                                                             | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7828042.08   | 0.38%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CCL INDUSTRIES INC                          | CCL Industries Inc                                                              | CUSIP: 124900AD3<br>LEI: 549300TD3EMSRRC0YH75 | Long             | DBT              | CORP              | CA        |   3500000 | PA      | $3298277.64   | 0.16%             | 2030-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                    | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                             | CUSIP: 77313LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5586000 | PA      | $5132468.19   | 0.25%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                               | AppLovin Corp                                                                   | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   3855000 | PA      | $3985490.63   | 0.20%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HDUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 116788000 | PA      | $2689931.29   | 0.13%             | 2034-06-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                | Illumina Inc                                                                    | CUSIP: 452327AR0<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3537771.02   | 0.17%             | 2030-12-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                              | PMT Loan Trust 2025-CNF2                                                        | CUSIP: 729911BE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4264322 | PA      | $4284182.39   | 0.21%             | 2057-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260169 | PA      | $253888.61    | 0.01%             | 2048-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -24 | NC      | $-33750.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B47H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130543 | PA      | $128543.24    | 0.01%             | 2049-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1484218.76   | 0.07%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                         | Ashtead Capital Inc                                                             | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |  11105000 | PA      | $11646387.18  | 0.57%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                     | United Rentals North America Inc                                                | CUSIP: 911365BQ6<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |   4765000 | PA      | $4886450.32   | 0.24%             | 2029-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6700000 | PA      | $6287138.70   | 0.31%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                       | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BA1<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4558764.69   | 0.22%             | 2033-05-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20046875.00  | 0.98%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3066537.99   | 0.15%             | 2055-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                            | Trinitas CLO XXVIII LTD                                                         | CUSIP: 89640FAA3<br>LEI: 254900DPIAGU6GHOTB83 | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $321355.09    | 0.02%             | 2037-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                         | Fifth Third Bancorp                                                             | CUSIP: 316773DG2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1023750.31   | 0.05%             | 2030-07-28      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-25

**Name of Applicant:** First Trust Exchange-Traded Fund IV

**Signature:** Derek Maltbie

**Name of Signer:** Derek Maltbie

**Title:** Treasurer, Chief Financial Officer and Chief Accounting Officer