# EDGAR Filing Document

**Accession Number:** 0001567101
**File Stem:** 0001752724-23-047334
**Filing Date:** 2023-2
**Character Count:** 2256982
**Document Hash:** 2f6ee986a89c6f4f7943f01ffec9b8ae
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-047334.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-047334

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Bridge Builder Trust
- **CENTRAL INDEX KEY:** 0001567101
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22811
- **FILM NUMBER:** 23684406

**BUSINESS ADDRESS:**
- **STREET 1:** P.O. BOX 1920
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80201
- **BUSINESS PHONE:** 414-287-3700

**MAIL ADDRESS:**
- **STREET 1:** P.O. BOX 1920
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80201

## Series and Classes Contracts Data

### Bridge Builder Core Bond Fund (Series ID: S000040853)

| Class ID   | Class Name                    | Ticker Symbol   |
|:---|:---|:---|
| C000126648 | Bridge Builder Core Bond Fund | BBTBX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Bridge Builder Trust

- **b. Investment Company Act file number:** 811-22811

- **c. CIK number of Registrant:** 0001567101

- **d. LEI of Registrant:** 549300MZGMJ1KD5SOK80

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

  - **Street Address 1:** 12555 Manchester Road

  - **City:** St. Louis

  - **State:** MO

  - **Foreign country:** US

  - **Zip / Postal Code:** 63131

  - **Telephone number:** 314-515-2000

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

- **a. Name of Series:** Bridge Builder Core Bond Fund

- **b. EDGAR series identifier (if any):** S000040853

- **c. LEI of Series:** 549300NYIQ6F8WXPBM25

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $16137791168.83

**Total Liabilities:** $550309826.74

**Net Assets:** $15587481342.09

**Delayed Delivery Securities:** $349567.39

**Cash Not Reported:** $6031896.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 14037.85973100 | **1-Year:** 471713.95451800 | **5-Year:** 1989487.99265900 | **10-Year:** 2617193.77539600 | **30-Year:** 1094593.34267300

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

- **3-Month:** 170.91338500 | **1-Year:** 3951.18093500 | **5-Year:** 7870.81218000 | **10-Year:** 7290.00192500 | **30-Year:** 6691.62344300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000126648 | -1.44%               | 3.67%                | -0.37%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-87925068.54            | $-176190580.53                             |
| Month 2  | $-77736253.56            | $587967373.90                              |
| Month 3  | $-2100824.77             | $-108611287.05                             |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. Aggregate (Returns Universe)

- **Index Identifier:** I00001

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SDART 2021-2 D 1.35% 04/15/25                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-2 SER 2021-2 CL D REGD 1.35000000                    | CUSIP: 80286XAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9300000 | NS      | $8694952.23    | 0.06%             | 2027-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK 2.431% 07/01/31                         | KIMBERLY-CLARK DE MEXICO REGD 144A P/P 2.43100000                                                | CUSIP: 494386AD7<br>LEI: 549300JGHL56QT00KT54 | Long             | DBT              | CORP              | MX        |   7500000 | NS      | $5995575.00    | 0.04%             | 2031-07-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| EMIR 2021-2 M1A V/R 04/25/34                           | EAGLE RE 2021-2 LTD SER 2021-2 CL M1A V/R REGD 144A P/P 5.47768000                               | CUSIP: 26982AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |  20708815 | NS      | $20585930.51   | 0.13%             | 2034-04-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL ED 6.05% 03/15/39                         | SOUTHERN CAL EDISON REGD 6.05000000                                                              | CUSIP: 842400FL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    253000 | NS      | $256873.24     | 0.00%             | 2039-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 05/22/30                         | HSBC HOLDINGS PLC REGD V/R 3.97300000                                                            | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1000000 | NS      | $875284.11     | 0.01%             | 2030-05-22      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FHR 3461 LZ 6% 06/15/38                                | FREDDIE MAC REMICS SER 3461 CL LZ 6.00000000                                                     | CUSIP: 31397TXJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7570 | NS      | $7751.22       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#720576 5% 06/01/33                              | FANNIE MAE POOL UMBS P#720576 5.00000000                                                         | CUSIP: 31401WQ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6004 | NS      | $6025.99       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNW 2007-W5 PO ZCP 06/25/37                            | FANNIE MAE REMIC TRUST 2007-W5 SER 2007-W5 CL PO ZCP 0.00000000                                  | CUSIP: 31396WLK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12670 | NS      | $9582.89       | 0.00%             | 2037-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH  3.3% 09/15/51                         | BURLINGTN NORTH SANTA FE REGD 3.30000000                                                         | CUSIP: 12189LBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    530000 | NS      | $385742.76     | 0.00%             | 2051-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHR 4661 KZ 3.5% 02/15/47                              | FREDDIE MAC REMICS SER 4661 CL KZ 3.50000000                                                     | CUSIP: 3137BVKS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12205834 | NS      | $10757464.94   | 0.07%             | 2047-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04951 5% 11/01/38                             | FREDDIE MAC GOLD POOL P#G04951 5.00000000                                                        | CUSIP: 3128M6ZQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       633 | NS      | $646.56        | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN NATURAL G 8% 03/01/32                         | SOUTHERN NATURAL GAS REGD 8.00000000                                                             | CUSIP: 843452AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    446000 | NS      | $489217.11     | 0.00%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 07/19/33                                   | BPCE SA REGD V/R 144A P/P 5.74800000                                                             | CUSIP: 05583JAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   1200000 | NS      | $1141039.90    | 0.01%             | 2033-07-19      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| OAK 1999-B A3 6.45% 11/15/17                           | OAKWOOD MORTGAGE INVESTORS INC SER 1999-B CL A3 REGD 6.45000000                                  | CUSIP: 67087TAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        86 | NS      | $85.35         | 0.00%             | 2023-12-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PRO 4.15% 12/01/44                         | DUKE ENERGY PROGRESS LLC REGD 4.15000000                                                         | CUSIP: 26442RAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    129000 | NS      | $107458.83     | 0.00%             | 2044-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNR 2003-17 EQ 5.5% 03/25/23                           | FANNIE MAE REMICS SER 2003-17 CL EQ 5.50000000                                                   | CUSIP: 31392JK65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       647 | NS      | $645.22        | 0.00%             | 2023-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER C 2.1% 06/15/30                         | AMERICAN TOWER CORP REGD 2.10000000                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1300000 | NS      | $1029010.32    | 0.01%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UMBS P#892868 V/R 07/01/36                             | FANNIE MAE POOL UMBS P#892868 V/R 4.02000000                                                     | CUSIP: 31410N6D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17408 | NS      | $17222.34      | 0.00%             | 2036-07-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0295 3% 02/01/49                              | FREDDIE MAC POOL UMBS P#SD0295 3.00000000                                                        | CUSIP: 3132DMKG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10243527 | NS      | $9209784.39    | 0.06%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2005-56 S V/R 07/25/35                             | FANNIE MAE REMICS SER 2005-56 CL S V/R 2.32129000                                                | CUSIP: 31394D6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30707 | NS      | $2484.15       | 0.00%             | 2035-07-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| FNR 2006-23 FK V/R 04/25/36                            | FANNIE MAE REMICS SER 2006-23 CL FK V/R 4.63871000                                               | CUSIP: 31395B4A8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55353 | NS      | $54113.73      | 0.00%             | 2036-04-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| GNR 1999-4 ZB 6% 02/20/29                              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 1999-4 CL ZB 6.00000000                             | CUSIP: 3837H1U90<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35816 | NS      | $35732.04      | 0.00%             | 2029-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5% JAN 23                                | FNMA 30YR TBA 5% JAN 23        TO BE ANNOUNCED 5.00000000                                        | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -18000000 | NS      | $-17733985.38  | -0.11%            | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CRVNA 2021-P3 A 0.7% 04/10/25                          | CARVANA AUTO RECEIVABLES TRUST 2021-P3 SER 2021-P3 CL A3 REGD 0.70000000                         | CUSIP: 14687JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3456000 | NS      | $3227244.94    | 0.02%             | 2026-11-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q10434 3.5% 08/01/42                           | FREDDIE MAC GOLD POOL P#Q10434 3.50000000                                                        | CUSIP: 3132HLPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    247182 | NS      | $231640.96     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.5% 09/15/53                                 | AT&T INC REGD 3.50000000                                                                         | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  19365000 | NS      | $13070139.13   | 0.08%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4097 3% 08/01/50                              | FANNIE MAE POOL UMBS P#MA4097 3.00000000                                                         | CUSIP: 31418DRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4862135 | NS      | $4290733.47    | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AH4R 2014-SFR2 4.29% 10/17/24                          | AMERICAN HOMES 4 RENT 2014-SFR2 TRUST SER 2014-SFR2 CL B REGD 144A P/P 4.29000000                | CUSIP: 02665UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | NS      | $290222.88     | 0.00%             | 2036-10-17      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECH 0.972% 02/15/24                         | MICROCHIP TECHNOLOGY INC REGD 0.97200000                                                         | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |  27950000 | NS      | $26542098.41   | 0.17%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| FNR 2011-118 NT 7% 11/25/41                            | FANNIE MAE REMICS SER 2011-118 CL NT 7.00000000                                                  | CUSIP: 3136A1Y82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    452322 | NS      | $476617.86     | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS0574 5% 09/01/43                              | FANNIE MAE POOL UMBS P#AS0574 5.00000000                                                         | CUSIP: 3138W9T83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    392106 | NS      | $396254.46     | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC 6% 08/15/40                                   | AT&T INC REGD SER WI 6.00000000                                                                  | CUSIP: 00206RDF6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2275000 | NS      | $2281897.78    | 0.01%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL ED 3.65% 03/01/28                         | SOUTHERN CAL EDISON REGD SER B 3.65000000                                                        | CUSIP: 842400GJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | NS      | $1118561.69    | 0.01%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60994 3.5% 01/01/45                           | FREDDIE MAC GOLD POOL P#G60994 3.50000000                                                        | CUSIP: 31335BC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6177318 | NS      | $5787626.75    | 0.04%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SASC 2004-4XS 1 S/UP 02/25/34                          | STRUCTURED ASSET SECURITIES CORP SER 2004-4XS CL 1A5 S/UP REGD 5.49000000                        | CUSIP: 86359BHL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    114899 | NS      | $107516.63     | 0.00%             | 2034-02-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2825 3% 05/20/45                           | GINNIE MAE II POOL P#MA2825 3.00000000                                                           | CUSIP: 36179RD63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    356587 | NS      | $325520.82     | 0.00%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RE 2.268% 11/15/26                         | CONTINENTAL RESOURCES REGD 144A P/P 2.26800000                                                   | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   3235000 | NS      | $2802987.46    | 0.02%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| SDART 2022-6 A 4.49% 12/15/24                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-6 SER 2022-6 CL A3 REGD 4.49000000                   | CUSIP: 802918AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8042000 | NS      | $7942271.16    | 0.05%             | 2026-11-16      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FSPC T-54 2A 6.5% 02/25/43                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-54 CL 2A 6.50000000                       | CUSIP: 31393LFK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    180386 | NS      | $187946.52     | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#688625 6% 03/01/33                              | FANNIE MAE POOL UMBS P#688625 6.00000000                                                         | CUSIP: 31400JA25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1925 | NS      | $1954.75       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDE 1.849% 03/25/26                         | BANCO SANTANDER SA REGD 1.84900000                                                               | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   6600000 | NS      | $5825418.52    | 0.04%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FHR 2596 QG 6% 03/15/33                                | FREDDIE MAC REMICS SER 2596 CL QG 6.00000000                                                     | CUSIP: 31393NXU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15792 | NS      | $15782.78      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE I 4.45% 05/15/69                         | NEW YORK LIFE INSURANCE REGD 144A P/P 4.45000000                                                 | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   4225000 | NS      | $3477108.25    | 0.02%             | 2069-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8113 2% 12/01/50                              | FREDDIE MAC POOL UMBS P#SD8113 2.00000000                                                        | CUSIP: 3132DWAN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1610662 | NS      | $1316380.31    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMSR 2020-SFR 1.355% 11/17/25                          | AMSR 2020-SFR4 TRUST SER 2020-SFR4 CL A REGD 144A P/P 1.35500000                                 | CUSIP: 66981FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4300000 | NS      | $3847871.34    | 0.02%             | 2037-11-17      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 01/20/28                         | BANK OF AMERICA CORP REGD V/R MTN 3.82400000                                                     | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10000000 | NS      | $9331160.40    | 0.06%             | 2028-01-20      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B24 2.01% 11/15/28                          | BENCHMARK 2021-B24 MORTGAGE TRUST SER 2021-B24 CL A3 REGD 2.01030000                             | CUSIP: 08163CBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | NS      | $8566094.00    | 0.05%             | 2054-03-15      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015- 3.6% 03/15/27                         | AIR CANADA 2015-1A PTT REGD P/P 3.60000000                                                       | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    603674 | NS      | $544605.91     | 0.00%             | 2027-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER 3.375% 10/15/26                         | AMERICAN TOWER CORP REGD 3.37500000                                                              | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    506000 | NS      | $473089.57     | 0.00%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHR 2344 ZJ 6.5% 08/15/31                              | FREDDIE MAC REMICS SER 2344 CL ZJ 6.50000000                                                     | CUSIP: 313399C70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10417 | NS      | $10890.12      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NAVSL 2018-A A 3.19% 11/17/25                          | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2018-A SER 2018-A CL A2 REGD 144A P/P 3.19000000       | CUSIP: 63940PAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    810679 | NS      | $804675.83     | 0.01%             | 2042-02-18      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY 3.625% 01/20/27                         | MORGAN STANLEY REGD SER 10YR 3.62500000                                                          | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   8854000 | NS      | $8349455.26    | 0.05%             | 2027-01-20      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 12/05/29                         | JPMORGAN CHASE & CO REGD V/R 4.45200000                                                          | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9660000 | NS      | $9074186.78    | 0.06%             | 2029-12-05      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS G 5.15% 05/22/45                         | GOLDMAN SACHS GROUP INC REGD 5.15000000                                                          | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3592873.96    | 0.02%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA3607 3% 09/01/50                              | FREDDIE MAC POOL UMBS P#RA3607 3.00000000                                                        | CUSIP: 3133KKAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50568 | NS      | $44880.18      | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.8% 11/15/37                              | ORACLE CORP REGD 3.80000000                                                                      | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    600000 | NS      | $475074.61     | 0.00%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNR 2005-74 CP V/R 05/25/35                            | FANNIE MAE REMICS SER 2005-74 CL CP V/R 8.65806400                                               | CUSIP: 31394FDK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6598 | NS      | $6248.39       | 0.00%             | 2035-05-25      | Variable      | 8.66%                 | No            |                  2 | On Loan: No      |
| FNR 2006-86 OB ZCP 09/25/36                            | FANNIE MAE REMICS SER 2006-86 CL OB ZCP 0.00000000                                               | CUSIP: 31396KJ52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17975 | NS      | $14327.96      | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2010-H17 XQ V/R 07/20/60                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-H17 CL XQ V/R 5.21052000                       | CUSIP: 38375BEL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1573 | NS      | $1262.02       | 0.00%             | 2060-07-20      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| BOEING CO 5.805% 05/01/50                              | BOEING CO REGD 5.80500000                                                                        | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   9737000 | NS      | $9027911.25    | 0.06%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA5286 2.5% 05/01/51                            | FREDDIE MAC POOL UMBS P#RA5286 2.50000000                                                        | CUSIP: 3133KL2T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6903238 | NS      | $5855079.90    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1120 3% 03/01/52                              | FANNIE MAE POOL UMBS P#FS1120 3.00000000                                                         | CUSIP: 3140XGG60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7356307 | NS      | $6490527.77    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H28 FA V/R 09/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H28 CL FA V/R 4.42157000                       | CUSIP: 38375BYE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5679 | NS      | $5611.52       | 0.00%             | 2062-09-20      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNR 2008-28 QS V/R 04/25/38                            | FANNIE MAE REMICS SER 2008-28 CL QS V/R 7.53387000                                               | CUSIP: 31396YY71<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14473 | NS      | $14875.28      | 0.00%             | 2038-04-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| FHR 3331 PO ZCP 06/15/37                               | FREDDIE MAC REMICS SER 3331 CL PO ZCP 0.00000000                                                 | CUSIP: 31397J5M2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11184 | NS      | $9218.27       | 0.00%             | 2037-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OZLM 2018-22A A1 V/R 01/17/31                          | OZLM XXII LTD SER 2018-22A CL A1 V/R REGD 144A P/P 5.14914000                                    | CUSIP: 67111VAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6991130 | NS      | $6892310.60    | 0.04%             | 2031-01-17      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| CD 2019-CD8 A 2.657% 07/15/29                          | CD 2019-CD8 MORTGAGE TRUST SER 2019-CD8 CL A3 REGD 2.65700000                                    | CUSIP: 12515BAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | NS      | $17101872.00   | 0.11%             | 2057-08-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| JPMMT 2006-A3 6A V/R 08/25/34                          | JP MORGAN MORTGAGE TRUST 2006-A3 SER 2006-A3 CL 6A1 V/R REGD 3.74719100                          | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23590 | NS      | $22341.48      | 0.00%             | 2034-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATI 3.85% 02/01/25                         | COX COMMUNICATIONS INC REGD P/P 3.85000000                                                       | CUSIP: 224044CE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | NS      | $1207567.78    | 0.01%             | 2025-02-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.625% 02/01/31                              | BOEING CO REGD 3.62500000                                                                        | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4745000 | NS      | $4157412.32    | 0.03%             | 2031-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA P#778793 3.5% 01/15/42                            | GINNIE MAE I POOL P#778793 3.50000000                                                            | CUSIP: 36176W7E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1996243 | NS      | $1877627.10    | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP 2.875% 11/15/29                            | PROLOGIS LP REGD 2.87500000                                                                      | CUSIP: 74340XBY6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | NS      | $696053.18     | 0.00%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BBCMS 2018-C2 4.314% 12/15/28                          | BBCMS MORTGAGE TRUST 2018-C2 SER 2018-C2 CL A5 REGD 4.31400000                                   | CUSIP: 05491UBD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5475000 | NS      | $5212373.01    | 0.03%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 10/20/32                         | BANK OF AMERICA CORP REGD V/R 2.57200000                                                         | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4515000 | NS      | $3536158.61    | 0.02%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| WFALT 2003-1 APO ZCP 09/25/33                          | WELLS FARGO ALTERNATIVE LOAN 2003-1 TRUST SER 2003-1 CL APO ZCP REGD 0.00000000                  | CUSIP: 949912AF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1319 | NS      | $974.48        | 0.00%             | 2033-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE  2.75% 01/06/23                         | CORP ANDINA DE FOMENTO REGD 2.75000000                                                           | CUSIP: 219868BZ8<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | VE        |   1125000 | NS      | $1123943.66    | 0.01%             | 2023-01-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHMS K-151 A2 V/R 10/25/32                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K-151 CL A2 V/R 3.80000000           | CUSIP: 3137H9JG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12850000 | NS      | $12128775.76   | 0.08%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FHR 3607 PO ZCP 05/15/37______                         | FREDDIE MAC REMICS SER 3607 CL  PO ZCP 0.00000000                                                | CUSIP: 31398LQT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    121959 | NS      | $98098.62      | 0.00%             | 2037-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WFCM 2022-C62 A4 V/R 09/15/31                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-C62 SER 2022-C62 CL A4 V/R REGD 4.00000000            | CUSIP: 95003MBS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3819000 | NS      | $3462507.04    | 0.02%             | 2055-04-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2010-14 BO ZCP 11/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-14 CL BO ZCP 0.00000000                        | CUSIP: 38376WBQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25846 | NS      | $20660.49      | 0.00%             | 2035-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LCCM 2013-GCP 3.985% 02/15/28                          | LADDER CAPITAL COMMERCIAL MORTGAGE 2013-GCP MORT SER 2013-GCP CL A2 REGD 144A P/P 3.98510000     | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1027000 | NS      | $914623.50     | 0.01%             | 2036-02-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| FNR 2006-71 ZL 6% 07/25/36                             | FANNIE MAE REMICS SER 2006-71 CL ZL 6.00000000                                                   | CUSIP: 31396KUT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    199439 | NS      | $204340.47     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VEROS 2021-1 A 0.92% 08/15/23                          | VEROS AUTO RECEIVABLES TRUST 2021-1 SER 2021-1 CL A REGD 144A P/P 0.92000000                     | CUSIP: 92512BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1157970 | NS      | $1140899.81    | 0.01%             | 2026-10-15      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| FHR 3920 LP 5% 01/15/34                                | FREDDIE MAC REMICS SER 3920 CL LP 5.00000000                                                     | CUSIP: 3137AF3W0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    127075 | NS      | $127624.76     | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT1257 3% 01/01/46                              | FREDDIE MAC POOL UMBS P#ZT1257 3.00000000                                                        | CUSIP: 3132ADME5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8150387 | NS      | $7358274.36    | 0.05%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.75% 12/31/24                            | UNITED STATES TREASURY NOTE 1.75000000                                                           | CUSIP: 912828YY0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  37137800 | NS      | $35251896.09   | 0.23%             | 2024-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PAID 2021-1 A 1.18% 11/15/27                           | PAGAYA AI DEBT SELECTION TRUST 2021-1 SER 2021-1 CL A REGD 144A P/P 1.18000000                   | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3444963 | NS      | $3393369.17    | 0.02%             | 2027-11-15      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COM 5.291% 12/08/46                         | FORD MOTOR COMPANY REGD 5.29100000                                                               | CUSIP: 345370CS7<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    280000 | NS      | $213364.12     | 0.00%             | 2046-12-08      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM7514 3.07% 02/01/25                           | FANNIE MAE POOL UMBS P#AM7514 3.07000000                                                         | CUSIP: 3138L8K45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4995000 | NS      | $4821913.81    | 0.03%             | 2025-02-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FHR 2552 ME 6% 01/15/33                                | FREDDIE MAC REMICS SER 2552 CL ME 6.00000000                                                     | CUSIP: 31393HXK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26950 | NS      | $27755.80      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMERICA INC 4% 02/01/29                               | COMERICA INC REGD 4.00000000                                                                     | CUSIP: 200340AT4<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | DBT              | CORP              | US        |   1900000 | NS      | $1779221.43    | 0.01%             | 2029-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 3315 HZ 6% 05/15/37                                | FREDDIE MAC REMICS SER 3315 CL HZ 6.00000000                                                     | CUSIP: 31397H3E6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21384 | NS      | $21512.94      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M38 X2 V/R 11/25/28                           | FANNIE MAE-ACES SER 2020-M38 CL X2 V/R 1.98200000                                                | CUSIP: 3136BBSN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11615401 | NS      | $1041443.78    | 0.01%             | 2028-11-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN O 3.25% 11/24/50                         | SAUDI ARABIAN OIL CO REGD 144A P/P 3.25000000                                                    | CUSIP: 80414L2L8<br>LEI: N/A                  | Long             | DBT              | CORP              | SA        |   2425000 | NS      | $1703601.30    | 0.01%             | 2050-11-24      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHR 3423 PB 5.5% 03/15/38                              | FREDDIE MAC REMICS SER 3423 CL PB 5.50000000                                                     | CUSIP: 31397RVN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    213210 | NS      | $217557.62     | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#745418 5.5% 04/01/36                            | FANNIE MAE POOL UMBS P#745418 5.50000000                                                         | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29944 | NS      | $31005.10      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8200 4% 08/20/52                           | GINNIE MAE II POOL P#MA8200 4.00000000                                                           | CUSIP: 36179XDD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25698313 | NS      | $24319445.82   | 0.16%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| YALE-NEW HAVEN 2.496% 07/01/50                         | YALE-NEW HAVEN HLTH SRVC REGD SER 2020 2.49600000                                                | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |   1530000 | NS      | $915238.38     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#920843 V/R 03/01/36                             | FANNIE MAE POOL UMBS P#920843 V/R 4.15400000                                                     | CUSIP: 31412CBL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    107936 | NS      | $110775.61     | 0.00%             | 2036-03-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHR 2201 C 8% 11/15/29                                 | FREDDIE MAC REMICS SER 2201 CL C 8.00000000                                                      | CUSIP: 3133TMGW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5081 | NS      | $5284.17       | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GR V/R 05/11/27                         | LLOYDS BANKING GROUP PLC REGD V/R 1.62700000                                                     | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2280000 | NS      | $1973443.92    | 0.01%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G02427 5.5% 12/01/36                           | FREDDIE MAC GOLD POOL P#G02427 5.50000000                                                        | CUSIP: 3128M4A45<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17293 | NS      | $17951.39      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHA 3.85% 03/15/52                         | BERKSHIRE HATHAWAY FIN REGD 3.85000000                                                           | CUSIP: 084664DB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2265000 | NS      | $1805313.52    | 0.01%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROG 4.1% 03/15/43                         | DUKE ENERGY PROGRESS LLC REGD 4.10000000                                                         | CUSIP: 144141DD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    181000 | NS      | $151586.79     | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHR 5249 AB 4% 11/25/51                                | FREDDIE MAC REMICS SER 5249 CL AB 4.00000000                                                     | CUSIP: 3137H8K83<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8663339 | NS      | $8323050.19    | 0.05%             | 2051-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2005-25 PF V/R 04/25/35                            | FANNIE MAE REMICS SER 2005-25 CL PF V/R 4.73871000                                               | CUSIP: 31394DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     53589 | NS      | $52538.82      | 0.00%             | 2035-04-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PROD 4.95% 10/15/54                         | ENTERPRISE PRODUCTS OPER REGD 4.95000000                                                         | CUSIP: 29379VBF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    177000 | NS      | $147313.14     | 0.00%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CARMX 2022-1 C 2.2% 01/15/27                           | CARMAX AUTO OWNER TRUST 2022-1 SER 2022-1 CL C REGD 2.20000000                                   | CUSIP: 14317CAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4200000 | NS      | $3806415.06    | 0.02%             | 2027-11-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNA 2021-M3 X1 V/R 11/25/33                            | FANNIE MAE-ACES SER 2021-M3 CL X1 V/R 1.94300000                                                 | CUSIP: 3136BDXR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  27800829 | NS      | $2483926.24    | 0.02%             | 2033-11-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ES 4% 02/01/50                         | ALEXANDRIA REAL ESTATE E REGD 4.00000000                                                         | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   1451000 | NS      | $1099610.69    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-50 JO ZCP 06/25/36                            | FANNIE MAE REMICS SER 2006-50 CL JO ZCP 0.00000000                                               | CUSIP: 31395DUD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58553 | NS      | $47993.07      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AP6381 3.5% 09/01/42                            | FANNIE MAE POOL UMBS P#AP6381 3.50000000                                                         | CUSIP: 3138MACT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    262297 | NS      | $245440.17     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TVA PRIN STRIP ZCP 11/01/25                            | TVA PRIN STRIP REGD ZCP SER * 0.00000000                                                         | CUSIP: 88059FAV3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1847000 | NS      | $1610173.69    | 0.01%             | 2025-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-79 OP ZCP 08/25/36                            | FANNIE MAE REMICS SER 2006-79 CL OP ZCP 0.00000000                                               | CUSIP: 31396KXD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19827 | NS      | $15820.66      | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH B 3.305% 03/11/41                         | COMMONWEALTH BANK AUST REGD 144A P/P 3.30500000                                                  | CUSIP: 202712BQ7<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   1255000 | NS      | $851673.95     | 0.01%             | 2041-03-11      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| UMBS P#884066 V/R 06/01/36                             | FANNIE MAE POOL UMBS P#884066 V/R 3.81100000                                                     | CUSIP: 31410BFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8193 | NS      | $8114.06       | 0.00%             | 2036-06-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7660 2.5% 08/01/46                            | FANNIE MAE POOL UMBS P#AS7660 2.50000000                                                         | CUSIP: 3138WHQN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    490322 | NS      | $422734.20     | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN3242 2.62% 10/01/28                           | FANNIE MAE POOL UMBS P#AN3242 2.62000000                                                         | CUSIP: 3138LFS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8857811 | NS      | $8051793.21    | 0.05%             | 2028-10-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE  4.282% 01/09/28                         | CREDIT SUISSE GROUP AG REGD 144A P/P 4.28200000                                                  | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   3973000 | NS      | $3293025.54    | 0.02%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2% 11/15/26                               | UNITED STATES TREASURY NOTE 2.00000000                                                           | CUSIP: 912828U24<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  27425000 | NS      | $25356340.75   | 0.16%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC 6.25% 07/15/32                                   | FEDERAL HOME LOAN MORTGAGE CORP 6.25000000                                                       | CUSIP: 3134A4KX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3749000 | NS      | $4372576.94    | 0.03%             | 2032-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS IN 4.875% 08/15/34                         | TYSON FOODS INC REGD 4.87500000                                                                  | CUSIP: 902494AZ6<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    400000 | NS      | $382343.04     | 0.00%             | 2034-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP 5% 09/15/23                          | ONEOK PARTNERS LP REGD 5.00000000                                                                | CUSIP: 68268NAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3589000 | NS      | $3584941.70    | 0.02%             | 2023-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.5% 06/01/41                                 | AT&T INC REGD 3.50000000                                                                         | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1353000 | NS      | $1008978.30    | 0.01%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VY 7.125% 5/1/30                             | TENNESSEE VALLEY AUTHORITY 7.12500000                                                            | CUSIP: 880591DM1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1615000 | NS      | $1871189.36    | 0.01%             | 2030-05-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| DRIVE 2021-1 B 0.65% 05/15/23                          | DRIVE AUTO RECEIVABLES TRUST 2021-1 SER 2021-1 CL B REGD 0.65000000                              | CUSIP: 262108AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    128974 | NS      | $128787.20     | 0.00%             | 2025-07-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J34888 2.5% 07/01/31                           | FREDDIE MAC GOLD POOL P#J34888 2.50000000                                                        | CUSIP: 31307RND3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1371696 | NS      | $1284238.61    | 0.01%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A70350 5% 03/01/35                             | FREDDIE MAC GOLD POOL P#A70350 5.00000000                                                        | CUSIP: 3128L3L79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11858 | NS      | $11840.55      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3455 SE V/R 06/15/38                               | FREDDIE MAC REMICS SER 3455 CL SE V/R 1.88214000                                                 | CUSIP: 31397WHQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     67593 | NS      | $4105.20       | 0.00%             | 2038-06-15      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-2 2A3 V/R 04/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES W SER 2005-2 CL 2A3 V/R REGD 0.61129000     | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     77451 | NS      | $2976.76       | 0.00%             | 2035-04-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF 5.7% 06/15/40                         | CON EDISON CO OF NY INC REGD 5.70000000                                                          | CUSIP: 209111FA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    318000 | NS      | $315317.42     | 0.00%             | 2040-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.75% 04/01/40                            | COMCAST CORP REGD 3.75000000                                                                     | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2195000 | NS      | $1810270.91    | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FORDO 2022-C A 4.48% 09/15/25                          | FORD CREDIT AUTO OWNER TRUST 2022-C SER 2022-C CL A3 REGD 4.48000000                             | CUSIP: 34535AAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15897000 | NS      | $15757699.36   | 0.10%             | 2026-12-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 02/24/28                         | GOLDMAN SACHS GROUP INC REGD V/R 2.64000000                                                      | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   8243000 | NS      | $7339446.52    | 0.05%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNW 2006-W3 2A 6% 09/25/46                             | FANNIE MAE REMIC TRUST 2006-W3 SER 2006-W3 CL 2A 6.00000000                                      | CUSIP: 31396L7E4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     59169 | NS      | $58474.37      | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TPMT 2022-3 A1 V/R 08/01/62                            | TOWD POINT MORTGAGE TRUST 2022-3 SER 2022-3 CL A1 V/R REGD 144A P/P 3.75000000                   | CUSIP: 89180NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16972622 | NS      | $15899558.63   | 0.10%             | 2062-08-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH 6.15% 05/01/37                         | BURLINGTN NORTH SANTA FE REGD 6.15000000                                                         | CUSIP: 12189TAZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    320000 | NS      | $346687.52     | 0.00%             | 2037-05-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS5245 3.5% 06/01/40                            | FANNIE MAE POOL UMBS P#AS5245 3.50000000                                                         | CUSIP: 3138WEZK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    806557 | NS      | $749831.10     | 0.00%             | 2040-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TVA PRIN STRIP ZCP 06/15/35                            | TVA PRIN STRIP REGD ZCP 0.00000000                                                               | CUSIP: 88059FBM2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    258000 | NS      | $144538.98     | 0.00%             | 2035-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0780 7.5% 04/01/39                            | FANNIE MAE POOL UMBS P#AD0780 7.50000000                                                         | CUSIP: 31418M2N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85807 | NS      | $91478.10      | 0.00%             | 2039-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSR 2004-6F 2A4 5.5% 05/25/34                          | GSR MORTGAGE LOAN TRUST 2004-6F SER 2004-6F CL 2A4 REGD 5.50000000                               | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27705 | NS      | $26505.01      | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KROGER CO 4.45% 02/01/47                               | KROGER CO REGD 4.45000000                                                                        | CUSIP: 501044DG3<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   2610000 | NS      | $2191598.44    | 0.01%             | 2047-02-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#683351 5.5% 02/01/33                            | FANNIE MAE POOL UMBS P#683351 5.50000000                                                         | CUSIP: 31400CEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       783 | NS      | $804.38        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U99051 3.5% 06/01/43                           | FREDDIE MAC GOLD POOL P#U99051 3.50000000                                                        | CUSIP: 3132H7BV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    323578 | NS      | $302589.74     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#888343 5% 11/01/35                              | FANNIE MAE POOL UMBS P#888343 5.00000000                                                         | CUSIP: 31410F5C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    249163 | NS      | $254451.56     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 2410 OE 6.375% 02/15/32                            | FREDDIE MAC REMICS SER 2410 CL OE 6.37500000                                                     | CUSIP: 31339NKQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4097 | NS      | $4119.49       | 0.00%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM4716 3.5% 12/01/30                            | FANNIE MAE POOL UMBS P#BM4716 3.50000000                                                         | CUSIP: 3140J9G21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    717030 | NS      | $700156.43     | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#888184 V/R 01/01/37                             | FANNIE MAE POOL UMBS P#888184 V/R 3.18600000                                                     | CUSIP: 31410FXM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8913 | NS      | $8731.07       | 0.00%             | 2037-01-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM O 6.384% 10/23/35                         | CHARTER COMM OPT LLC/CAP REGD SER WI 6.38400000                                                  | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5867000 | NS      | $5719065.94    | 0.04%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HGVT 2022-1D B 4.1% 06/20/34                           | HILTON GRAND VACATIONS TRUST 2022-1D SER 2022-1D CL B REGD 144A P/P 4.10000000                   | CUSIP: 43283BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3349818 | NS      | $3182190.52    | 0.02%             | 2034-06-20      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNR 2006-23 KO ZCP 04/25/36                            | FANNIE MAE REMICS SER 2006-23 CL KO ZCP 0.00000000                                               | CUSIP: 31395B4J9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9364 | NS      | $8329.40       | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 1993-21 KA 7.7% 03/25/23                           | FANNIE MAE REMICS SER 1993-21 CL KA 7.70000000                                                   | CUSIP: 31358T4H9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        10 | NS      | $9.90          | 0.00%             | 2023-03-25      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| FHR 3233 OP ZCP 05/15/36                               | FREDDIE MAC REMICS SER 3233 CL OP ZCP 0.00000000                                                 | CUSIP: 31397BYN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4448 | NS      | $3736.23       | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT7309 2% 09/01/51                              | FANNIE MAE POOL UMBS P#BT7309 2.00000000                                                         | CUSIP: 3140LWDP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1971962 | NS      | $1607267.40    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING 4.582% 12/10/25                         | LLOYDS BANKING GROUP PLC REGD SER WI 4.58200000                                                  | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    550000 | NS      | $532563.56     | 0.00%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM8674 2.81% 04/01/25                           | FANNIE MAE POOL UMBS P#AM8674 2.81000000                                                         | CUSIP: 3138L9T85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2900000 | NS      | $2775482.03    | 0.02%             | 2025-04-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM7441 3% 05/01/51                              | FANNIE MAE POOL UMBS P#FM7441 3.00000000                                                         | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3894106 | NS      | $3433588.32    | 0.02%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 02/22/48                         | JPMORGAN CHASE & CO REGD V/R 4.26000000                                                          | CUSIP: 46647PAA4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5140000 | NS      | $4203215.47    | 0.03%             | 2048-02-22      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| GNMA II P#3474 6% 11/20/33                             | GINNIE MAE II POOL P#3474 6.00000000                                                             | CUSIP: 36202D2F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2216 | NS      | $2320.59       | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8268 5.5% 11/01/52                            | FREDDIE MAC POOL UMBS P#SD8268 5.50000000                                                        | CUSIP: 3132DWFH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11840542 | NS      | $11875739.87   | 0.08%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA7087 4.5% 09/01/50                            | FANNIE MAE POOL UMBS P#CA7087 4.50000000                                                         | CUSIP: 3140QE2V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2008998 | NS      | $1942074.24    | 0.01%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO4135 3.5% 06/01/42                            | FANNIE MAE POOL UMBS P#AO4135 3.50000000                                                         | CUSIP: 3138LUSZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    659502 | NS      | $617329.49     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 3684 CY 4.5% 06/15/25                              | FREDDIE MAC REMICS SER 3684 CL CY 4.50000000                                                     | CUSIP: 31398QK30<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    101376 | NS      | $100536.95     | 0.00%             | 2025-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 01/14/27                         | STANDARD CHARTERED PLC REGD V/R 144A P/P 1.45600000                                              | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  10474000 | NS      | $9075867.64    | 0.06%             | 2027-01-14      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANC 3.75% 03/04/25                         | DISCOVER FINANCIAL SVS REGD 3.75000000                                                           | CUSIP: 254709AL2<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   2920000 | NS      | $2813091.88    | 0.02%             | 2025-03-04      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CSMCM 2018-RPL4 V/R 05/25/58                           | CSMCM 2018-RPL4 TR REGD V/R    144A 0.00000000                                                   | CUSIP: 12655RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2456528 | NS      | $2171597.34    | 0.01%             | 2058-05-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| REPUBLIC OF SO 5.875% 09/16/25                         | REPUBLIC OF SOUTH AFRICA REGD 5.87500000                                                         | CUSIP: 836205AR5<br>LEI: N/A                  | Long             | DBT              | USGA              | ZA        |    403000 | NS      | $403580.32     | 0.00%             | 2025-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNW 2005-W4 1A1 6% 08/25/35                            | FANNIE MAE TRUST 2005-W4 SER 2005-W4 CL 1A1 6.00000000                                           | CUSIP: 31394VPT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31417 | NS      | $31708.00      | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2351 PZ 6.5% 08/15/31                              | FREDDIE MAC REMICS SER 2351 CL PZ 6.50000000                                                     | CUSIP: 313399HV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6090 | NS      | $6227.79       | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNS 365 8 5.5% 05/25/36                                | FANNIE MAE INTEREST STRIP SER 365 CL 8 5.50000000                                                | CUSIP: 3136FCZH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21306 | NS      | $4655.63       | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1373 3.5% 03/01/43                            | FANNIE MAE POOL UMBS P#MA1373 3.50000000                                                         | CUSIP: 31418AQ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236048 | NS      | $220468.10     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP 2.4% 04/01/28                             | VONTIER CORP REGD SER WI 2.40000000                                                              | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   8000000 | NS      | $6392284.48    | 0.04%             | 2028-04-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL F 2.95% 11/12/26                         | ATHENE GLOBAL FUNDING REGD 144A P/P 2.95000000                                                   | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   8845000 | NS      | $7979991.90    | 0.05%             | 2026-11-12      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES  4.6% 09/01/35                         | GILEAD SCIENCES INC REGD 4.60000000                                                              | CUSIP: 375558BG7<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   4225000 | NS      | $4013042.35    | 0.03%             | 2035-09-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP L V/R 01/15/30                         | MACQUARIE GROUP LTD REGD V/R 144A P/P MTN 5.03300000                                             | CUSIP: 55608JAP3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   4445000 | NS      | $4180377.73    | 0.03%             | 2030-01-15      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| MLCC 2003-E A1 V/R 10/25/28                            | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC  SER 2003-E CL A1 V/R REGD 5.00871000         | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31050 | NS      | $28708.59      | 0.00%             | 2028-10-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNR 2008-20 SA V/R 03/25/38                            | FANNIE MAE REMICS SER 2008-20 CL SA V/R 2.60129000                                               | CUSIP: 31396YTV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40062 | NS      | $3834.04       | 0.00%             | 2038-03-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE9370 3.5% 09/01/52                            | FREDDIE MAC POOL UMBS P#QE9370 3.50000000                                                        | CUSIP: 3133BKMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    499999 | NS      | $454545.00     | 0.00%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNION CARBIDE C 7.75% 10/01/96                         | UNION CARBIDE CORP REGD 7.75000000                                                               | CUSIP: 905581AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    681000 | NS      | $763818.41     | 0.00%             | 2096-10-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2835 2% 02/01/52                              | FANNIE MAE POOL UMBS P#CB2835 2.00000000                                                         | CUSIP: 3140QNEH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11047508 | NS      | $9122653.12    | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS 2.71% 01/22/29                         | NOMURA HOLDINGS INC REGD 2.71000000                                                              | CUSIP: 65535HBB4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |  11000000 | NS      | $9165398.88    | 0.06%             | 2029-01-22      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| GMCAR 2020-1 A 1.84% 06/16/23                          | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-1 SER 2020-1 CL A3 REGD 1.84000000       | CUSIP: 36258NAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1267604 | NS      | $1259810.24    | 0.01%             | 2024-09-16      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FNR 2006-130 GI 6.5% 07/25/32                          | FANNIE MAE REMICS SER 2006-130 CL GI 6.50000000                                                  | CUSIP: 31396PAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     38515 | NS      | $4299.52       | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDON 5.315% 04/14/32                         | FREEPORT INDONESIA PT REGD 144A P/P MTN 5.31500000                                               | CUSIP: 69377FAB2<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |   2965000 | NS      | $2719599.61    | 0.02%             | 2032-04-14      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G2671 V/R 11/01/36                            | FREDDIE MAC NON GOLD POOL P#1G2671 V/R 3.04600000                                                | CUSIP: 3128QS6G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10860 | NS      | $10625.16      | 0.00%             | 2036-11-01      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| DEC VI A 7.5% 11/28/39                                 | DIVERSIFIED ABS PHASE VI LLC SER VI CL A REGD 7.50000000                                         | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-CBDO         | CORP              | US        |   8065300 | NS      | $7839834.27    | 0.05%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| AMER AIRLN 15- 3.375% 05/01/27                         | AMER AIRLN 15-1 A PTT REGD 3.37500000                                                            | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2650259 | NS      | $2209556.98    | 0.01%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#720155 5.5% 07/01/33                            | FANNIE MAE POOL UMBS P#720155 5.50000000                                                         | CUSIP: 31401WBY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4154 | NS      | $4202.07       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SDART 2022-6 B 4.72% 07/15/25                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-6 SER 2022-6 CL B REGD 4.72000000                    | CUSIP: 802918AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4604000 | NS      | $4486255.00    | 0.03%             | 2027-06-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONI 3.25% 09/08/24                         | ARROW ELECTRONICS INC REGD 3.25000000                                                            | CUSIP: 042735BG4<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    219000 | NS      | $210435.43     | 0.00%             | 2024-09-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TAOT 2020-B A3 1.36% 08/15/24                          | TOYOTA AUTO RECEIVABLES 2020-B OWNER TRUST SER 2020-B CL A3 REGD 1.36000000                      | CUSIP: 89239RAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1022535 | NS      | $1011680.13    | 0.01%             | 2024-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08742 3.5% 01/01/47                           | FREDDIE MAC GOLD POOL P#G08742 3.50000000                                                        | CUSIP: 3128MJZG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1188260 | NS      | $1106251.71    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES H 5.125% 09/15/40                         | BAKER HUGHES HLDGS LLC REGD 5.12500000                                                           | CUSIP: 057224AZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | NS      | $553223.29     | 0.00%             | 2040-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL FUND 4.55% 05/15/32                         | GE CAPITAL FUNDING LLC REGD SER WI 4.55000000                                                    | CUSIP: 36166NAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2151000 | NS      | $2041811.17    | 0.01%             | 2032-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER 5.15% 06/01/42                         | PLAINS ALL AMER PIPELINE REGD 5.15000000                                                         | CUSIP: 72650RBA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    840000 | NS      | $680833.79     | 0.00%             | 2042-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN37 2.37% 10/15/31                          | BANK 2021-BNK37 SER 2021-BN37 CL A4 REGD 2.37000000                                              | CUSIP: 06540LBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22400000 | NS      | $18099157.44   | 0.12%             | 2064-11-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| UMBS P#946260 V/R 09/01/37                             | FANNIE MAE POOL UMBS P#946260 V/R 4.16200000                                                     | CUSIP: 31413HWV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3967 | NS      | $3913.10       | 0.00%             | 2037-09-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MTG TR 0% 12/15/72                           | BENCHMARK 2019-B15 MORTGAGE TRUST SER 2019-B15 CL A4 REGD 2.67300000                             | CUSIP: 08160KAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  30000000 | NS      | $25883367.00   | 0.17%             | 2072-12-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN  4.75% 03/08/44                         | UNITED MEXICAN STATES REGD MTN 4.75000000                                                        | CUSIP: 91086QBB3<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |    450000 | NS      | $362958.81     | 0.00%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS  4.4% 06/01/43                         | SOUTHERN CO GAS CAPITAL REGD 4.40000000                                                          | CUSIP: 001192AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | NS      | $130739.51     | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7590 3% 09/20/51                           | GINNIE MAE II POOL P#MA7590 3.00000000                                                           | CUSIP: 36179WNF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3073272 | NS      | $2749487.38    | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.75% 08/15/41                            | UNITED STATES TREASURY BOND 1.75000000                                                           | CUSIP: 912810TA6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  38777000 | NS      | $26536494.75   | 0.17%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M39 X1 V/R 07/25/30                           | FANNIE MAE-ACES SER 2020-M39 CL X1 V/R 1.98400000                                                | CUSIP: 3136BBTD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        | 109454538 | NS      | $9247496.51    | 0.06%             | 2030-07-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FNR 2011-149 MF V/R 11/25/41                           | FANNIE MAE REMICS SER 2011-149 CL MF V/R 4.88871000                                              | CUSIP: 3136A3FE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79378 | NS      | $78514.00      | 0.00%             | 2041-11-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATI 3.85% 02/01/25                         | BRIXMOR OPERATING PART REGD 3.85000000                                                           | CUSIP: 11120VAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | NS      | $1055472.55    | 0.01%             | 2025-02-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ7689 4% 12/01/41                              | FANNIE MAE POOL UMBS P#AJ7689 4.00000000                                                         | CUSIP: 3138E0RK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    752857 | NS      | $723008.23     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMET 2021-A2  1.39% 07/15/28                          | CAPITAL ONE MULTI-ASSET EXECUTION TRUST SER 2021-A2 CL A2 REGD 1.39000000                        | CUSIP: 14041NFX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4701000 | NS      | $3919360.03    | 0.03%             | 2030-07-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 11/03/26                         | HSBC HOLDINGS PLC REGD V/R 7.33600000                                                            | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3359000 | NS      | $3493601.24    | 0.02%             | 2026-11-03      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| WFRBS 2013-C11 D V/R 03/15/45                          | WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11 SER 2013-C11 CL D V/R REGD 144A P/P 4.24831700          | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | NS      | $276090.45     | 0.00%             | 2045-03-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| OFFICE PPTY INCO 4.5% 02/01/25                         | OFFICE PPTY INCOME TRST REGD 4.50000000                                                          | CUSIP: 81618TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2261000 | NS      | $2048811.62    | 0.01%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RALI 2003-QS9 A3 V/R 05/25/49                          | RALI SERIES 2003-QS9 TRUST SER 2003-QS9 CL A3 V/R REGD 3.16129000                                | CUSIP: 76110HCC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       712 | NS      | $0.01          | 0.00%             | 2049-05-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| GNMA P#411829 7.5% 07/15/27                            | GINNIE MAE I POOL P#411829 7.50000000                                                            | CUSIP: 36206HPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       560 | NS      | $559.62        | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC 4.7% 12/01/32                           | AMAZON.COM INC REGD 4.70000000                                                                   | CUSIP: 023135CR5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1357000 | NS      | $1343194.06    | 0.01%             | 2032-12-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| VITERRA FINANCE  3.2% 04/21/31                         | VITERRA FINANCE BV REGD 144A P/P 3.20000000                                                      | CUSIP: 92852LAB5<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |  10250000 | NS      | $7744519.52    | 0.05%             | 2031-04-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#725017 5.5% 12/01/33                            | FANNIE MAE POOL UMBS P#725017 5.50000000                                                         | CUSIP: 31402CPA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42049 | NS      | $43351.97      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-1 A1 V/R 01/25/26                            | PRPM 2021-1 LLC SER 2021-1 CL A1 V/R REGD 144A P/P 2.11500000                                    | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6516049 | NS      | $6092556.10    | 0.04%             | 2026-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FHMS K120 XAM V/R 10/25/30                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K120 CL XAM V/R 1.30588700           | CUSIP: 3137F72T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  31375053 | NS      | $2363865.52    | 0.02%             | 2030-10-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1563 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH1563 4.00000000                                                         | CUSIP: 3138A2WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    512072 | NS      | $491777.34     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AESOP 2020-1A  2.33% 08/20/25                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2020-1A CL A REGD 144A P/P 2.33000000               | CUSIP: 05377RDU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6100000 | NS      | $5644637.44    | 0.04%             | 2026-08-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P50536 6.5% 02/01/37                           | FREDDIE MAC GOLD POOL P#P50536 6.50000000                                                        | CUSIP: 31288LSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7579 | NS      | $7542.87       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.25% 11/21/49                              | ABBVIE INC REGD SER WI 4.25000000                                                                | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  11691000 | NS      | $9702187.17    | 0.06%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FTF 2019-1 A FRN V/R 8/15/24                           | FTF 2019-1 A FRN VARIABLE /99TP6DCXD/ 5.50000000                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |     72844 | NS      | $72792.94      | 0.00%             | 2024-08-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA 4.625% 07/11/24                                | BPCE SA REGD P/P MTN 4.62500000                                                                  | CUSIP: 05578QAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   1300000 | NS      | $1265171.58    | 0.01%             | 2024-07-11      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHER 3.95% 10/01/42                         | NORFOLK SOUTHERN CORP REGD 3.95000000                                                            | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    332000 | NS      | $272643.93     | 0.00%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR &  3.268% 11/15/40                         | INTL FLAVOR & FRAGRANCES REGD 144A P/P 3.26800000                                                | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   1205000 | NS      | $859555.47     | 0.01%             | 2040-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY COR 3.75% 09/01/46                         | DUKE ENERGY CORP REGD 3.75000000                                                                 | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |  13800000 | NS      | $10239153.43   | 0.07%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LMAT 2021-GS4 A1 V/R 11/25/60                          | LEGACY MORTGAGE ASSET TRUST 2021-GS4 SER 2021-GS4 CL A1 V/R REGD 144A P/P 1.65000000             | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2260657 | NS      | $2020782.36    | 0.01%             | 2060-11-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA P#781614 7% 06/15/33                              | GINNIE MAE I POOL P#781614 7.00000000                                                            | CUSIP: 36225BYK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10593 | NS      | $11210.07      | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2020-3 MT 2% 05/25/60                             | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-3 SER 2020-3 CL MT 2.00000000                    | CUSIP: 35563PSB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5090341 | NS      | $4208276.68    | 0.03%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LT V/R 03/03/36                         | MACQUARIE BANK LTD REGD V/R 144A P/P 3.05200000                                                  | CUSIP: 556079AD3<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   2090000 | NS      | $1511709.50    | 0.01%             | 2036-03-03      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| TVA 5.88% 04/01/36                                     | TENNESSEE VALLEY AUTHORITY 5.88000000                                                            | CUSIP: 880591CS9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2967000 | NS      | $3253742.15    | 0.02%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HERTZ 2021-2A  1.68% 12/25/26                          | HERTZ VEHICLE FINANCING III LP SER 2021-2A CL A REGD 144A P/P 1.68000000                         | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7200000 | NS      | $6266558.88    | 0.04%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1A1096 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1A1096 V/R 4.31500000                                                | CUSIP: 3128NFGD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51994 | NS      | $52725.19      | 0.00%             | 2036-10-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC P#611141 V/R 01/01/27                            | FREDDIE MAC NON GOLD POOL P#611141 V/R 3.71800000                                                | CUSIP: 31337NHS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1421 | NS      | $1392.08       | 0.00%             | 2027-01-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U91488 3.5% 05/01/43                           | FREDDIE MAC GOLD POOL P#U91488 3.50000000                                                        | CUSIP: 3132HBRH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    103884 | NS      | $96833.62      | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#758916 3.5% 07/15/43                            | GINNIE MAE I POOL P#758916 3.50000000                                                            | CUSIP: 36230T3Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    324335 | NS      | $305037.37     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXIC 6.75% 09/21/47                         | PETROLEOS MEXICANOS REGD MTN 6.75000000                                                          | CUSIP: 71654QCC4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   3790000 | NS      | $2418015.07    | 0.02%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM3168 3% 05/01/38                              | FANNIE MAE POOL UMBS P#FM3168 3.00000000                                                         | CUSIP: 3140X6QW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7406947 | NS      | $6871663.85    | 0.04%             | 2038-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IBM CORP 4% 07/27/25                                   | IBM CORP REGD 4.00000000                                                                         | CUSIP: 459200KS9<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   3148000 | NS      | $3096912.52    | 0.02%             | 2025-07-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-52 SX V/R 10/25/31                            | FANNIE MAE REMICS SER 2003-52 CL SX V/R 9.78387000                                               | CUSIP: 31393CV67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6010 | NS      | $6559.16       | 0.00%             | 2031-10-25      | Variable      | 9.78%                 | No            |                  2 | On Loan: No      |
| FNR 2005-67 EY 5.5% 08/25/25                           | FANNIE MAE REMICS SER 2005-67 CL EY 5.50000000                                                   | CUSIP: 31394EE38<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27585 | NS      | $27416.55      | 0.00%             | 2025-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#758871 3.5% 03/15/43                            | GINNIE MAE I POOL P#758871 3.50000000                                                            | CUSIP: 36230T2C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    767396 | NS      | $721893.06     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 05/24/27                         | HSBC HOLDINGS PLC REGD V/R 1.58900000                                                            | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4240000 | NS      | $3655776.59    | 0.02%             | 2027-05-24      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE N 0.52% 08/09/23                         | CREDIT SUISSE NEW YORK REGD SER FXD 0.52000000                                                   | CUSIP: 22550L2F7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | NS      | $2378125.00    | 0.02%             | 2023-08-09      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| FNR 1993-247 SA V/R 12/25/23                           | FANNIE MAE REMICS SER 1993-247 CL SA V/R 7.22594000                                              | CUSIP: 31359FP51<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       339 | NS      | $327.40        | 0.00%             | 2023-12-25      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNR 1993-165 SD V/R 09/25/23                           | FANNIE MAE REMICS SER 1993-165 CL SD V/R 3.46182000                                              | CUSIP: 31359D4W0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        86 | NS      | $83.94         | 0.00%             | 2023-09-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| BMIR 2021-3A A2 V/R 09/25/31                           | BELLEMEADE RE 2021-3 LTD SER 2021-3A CL A2 V/R REGD 144A P/P 4.92768000                          | CUSIP: 078777AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8400000 | NS      | $7959718.20    | 0.05%             | 2031-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH8584 4% 02/01/41                              | FANNIE MAE POOL UMBS P#AH8584 4.00000000                                                         | CUSIP: 3138AARE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23918 | NS      | $23048.73      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HERO 2017-2A A 3.28% 09/20/39                          | HERO FUNDING TRUST 2017-2 SER 2017-2A CL A1 REGD 144A P/P 3.28000000                             | CUSIP: 42771LAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1699505 | NS      | $1571890.90    | 0.01%             | 2048-09-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-HYB1 2 V/R 05/20/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-HYB1 SER 2004-HYB1 CL 2A V/R REGD 3.75690900                | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6868 | NS      | $6245.36       | 0.00%             | 2034-05-20      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0039 4% 02/01/46                              | FREDDIE MAC POOL UMBS P#SD0039 4.00000000                                                        | CUSIP: 3132DMBG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4248183 | NS      | $4079832.29    | 0.03%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FIN 3.905% 12/07/47                         | PRUDENTIAL FINANCIAL INC REGD SER WI 3.90500000                                                  | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   1231000 | NS      | $980265.57     | 0.01%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| DRIVE 2021-3 A 0.79% 10/15/25                          | DRIVE AUTO RECEIVABLES TRUST 2021-3 SER 2021-3 CL A3 REGD 0.79000000                             | CUSIP: 262081AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2810139 | NS      | $2790307.56    | 0.02%             | 2025-10-15      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| UMBS P#308499 8.5% 05/01/25                            | FANNIE MAE POOL UMBS P#308499 8.50000000                                                         | CUSIP: 31374AUY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28 | NS      | $27.80         | 0.00%             | 2025-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PRECISION CAST 4.375% 06/15/45                         | PRECISION CASTPARTS CORP REGD 4.37500000                                                         | CUSIP: 740189AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    415000 | NS      | $360901.19     | 0.00%             | 2045-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM8368 2% 08/01/51                              | FANNIE MAE POOL UMBS P#FM8368 2.00000000                                                         | CUSIP: 3140XCJN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12128807 | NS      | $9951098.61    | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KIA CORP 1.75% 10/16/26                                | KIA CORP REGD 144A P/P 1.75000000                                                                | CUSIP: 49374JAA1<br>LEI: 988400V8MJK9N7OI5X76 | Long             | DBT              | CORP              | KR        |   1620000 | NS      | $1391858.85    | 0.01%             | 2026-10-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2637 2.5% 01/01/52                            | FANNIE MAE POOL UMBS P#CB2637 2.50000000                                                         | CUSIP: 3140QM4X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10721272 | NS      | $9114473.69    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL8558 6% 07/01/41                              | FANNIE MAE POOL UMBS P#AL8558 6.00000000                                                         | CUSIP: 3138ETQL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1848780 | NS      | $1930093.63    | 0.01%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TSQ 2018-20TS D V/R 05/15/23                           | 20 TIMES SQUARE TRUST 2018-20TS SER 2018-20TS CL D V/R REGD 144A P/P 3.09990000                  | CUSIP: 90137LAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5204000 | NS      | $4531118.64    | 0.03%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G61225 4.5% 12/01/43                           | FREDDIE MAC GOLD POOL P#G61225 4.50000000                                                        | CUSIP: 31335BLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2759344 | NS      | $2738518.83    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VOLT 2021-CF2 A1 V/R 11/25/24                          | VOLT CV LLC SER 2021-CF2 CL A1 V/R REGD 144A P/P 2.48720000                                      | CUSIP: 91835GAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8338196 | NS      | $7342427.50    | 0.05%             | 2051-11-27      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE 1.25% 10/01/25                         | LYB INT FINANCE III REGD 1.25000000                                                              | CUSIP: 50249AAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    692000 | NS      | $617337.46     | 0.00%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNR 2007-7 SG V/R 08/25/36                             | FANNIE MAE REMICS SER 2007-7 CL SG V/R 2.11129000                                                | CUSIP: 31396PRZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     93197 | NS      | $12308.76      | 0.00%             | 2036-08-25      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| FNR 2002-71 AP 5% 11/25/32                             | FANNIE MAE REMICS SER 2002-71 CL AP 5.00000000                                                   | CUSIP: 31392FES2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4132 | NS      | $4084.90       | 0.00%             | 2032-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 01/23/26                         | BANK OF AMERICA CORP REGD V/R 3.36600000                                                         | CUSIP: 06051GGZ6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1430222.31    | 0.01%             | 2026-01-23      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP6618 2.5% 08/01/50                            | FANNIE MAE POOL UMBS P#BP6618 2.50000000                                                         | CUSIP: 3140KEK80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18401162 | NS      | $15658120.28   | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC 3.35% 12/01/26                         | XCEL ENERGY INC REGD 3.35000000                                                                  | CUSIP: 98389BAU4<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |   5105000 | NS      | $4794126.28    | 0.03%             | 2026-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8195 3% 02/01/52                              | FREDDIE MAC POOL UMBS P#SD8195 3.00000000                                                        | CUSIP: 3132DWC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7764062 | NS      | $6816665.19    | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TVA 4.625% 09/15/60                                    | TENNESSEE VALLEY AUTHORITY 4.62500000                                                            | CUSIP: 880591EJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1308000 | NS      | $1222606.30    | 0.01%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAP 4% 12/01/46                         | AMERICAN WATER CAPITAL C REGD 4.00000000                                                         | CUSIP: 03040WAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2350000 | NS      | $1826582.46    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY  4.9% 08/01/41                         | DOMINION ENERGY INC REGD SER C 4.90000000                                                        | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    212000 | NS      | $187235.65     | 0.00%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FHR 4091 TF V/R 08/15/42                               | FREDDIE MAC REMICS SER 4091 CL TF V/R 4.76786000                                                 | CUSIP: 3137ATGA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    954255 | NS      | $933263.24     | 0.01%             | 2042-08-15      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHR 2434 TC 7% 04/15/32                                | FREDDIE MAC REMICS SER 2434 CL TC 7.00000000                                                     | CUSIP: 3133TVTX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26627 | NS      | $28009.71      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-BA  2.12% 09/15/27                          | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-B SER 2020-BA CL A2 REGD 144A P/P 2.12000000      | CUSIP: 63941GAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2908319 | NS      | $2640147.69    | 0.02%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GNR 2021-H03 LF V/R 02/20/71                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-H03 CL LF V/R 2.66944000                       | CUSIP: 38380QZT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12421893 | NS      | $12366217.18   | 0.08%             | 2071-02-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 4.9% 01/15/45                         | WILLIAMS COMPANIES INC REGD 4.90000000                                                           | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   7000000 | NS      | $5951979.11    | 0.04%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FHR 4740 P 3% 12/15/47                                 | FREDDIE MAC REMICS SER 4740 CL P 3.00000000                                                      | CUSIP: 3137FCEH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1105658 | NS      | $992982.21     | 0.01%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT 4.8% 03/01/50                         | CHARTER COMM OPT LLC/CAP REGD 4.80000000                                                         | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2413000 | NS      | $1751715.08    | 0.01%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4382 3.5% 04/20/47                         | GINNIE MAE II POOL P#MA4382 3.50000000                                                           | CUSIP: 36179S2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288503 | NS      | $268284.06     | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHS 262 35 3.5% 07/15/42                               | FREDDIE MAC STRIPS SER 262 CL 35 3.50000000                                                      | CUSIP: 3128HXKY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2321111 | NS      | $2169168.25    | 0.01%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6666 3% 02/01/52                              | FREDDIE MAC POOL UMBS P#RA6666 3.00000000                                                        | CUSIP: 3133KNMP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23852145 | NS      | $20941715.56   | 0.13%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TIMKEN CO 3.875% 09/01/24                              | TIMKEN CO REGD 3.87500000                                                                        | CUSIP: 887389AJ3<br>LEI: B0I35MLPFXZSE70ASS73 | Long             | DBT              | CORP              | US        |   1000000 | NS      | $974900.04     | 0.01%             | 2024-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2678 3.5% 03/20/45                         | GINNIE MAE II POOL P#MA2678 3.50000000                                                           | CUSIP: 36179Q6P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    506363 | NS      | $472591.08     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL 2.375% 10/01/31                         | LXP INDUSTRIAL TRUST REGD 2.37500000                                                             | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |   2159000 | NS      | $1636762.47    | 0.01%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W6 2 5.204% 09/25/42                          | FANNIE MAE TRUST 2003-W6 SER 2003-W6 CL 2A4 5.20400000                                           | CUSIP: 31393BU52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    210104 | NS      | $207397.15     | 0.00%             | 2042-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REA 1.875% 02/01/33                         | ALEXANDRIA REAL ESTATE E REGD 1.87500000                                                         | CUSIP: 015271AV1<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   1190000 | NS      | $884824.61     | 0.01%             | 2033-02-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SRFC 2020-2A A 1.33% 07/20/37                          | SIERRA TIMESHARE 2020-2 RECEIVABLES FUNDING LLC SER 2020-2A CL A REGD 144A P/P 1.33000000        | CUSIP: 826525AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1205418 | NS      | $1131699.52    | 0.01%             | 2037-07-20      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| UMBS P#WN1157 1.8% 11/01/28                            | FREDDIE MAC POOL UMBS P#WN1157 1.80000000                                                        | CUSIP: 3132XFJB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14000000 | NS      | $12065997.58   | 0.08%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4623 2.5% 06/01/52                            | FANNIE MAE POOL UMBS P#MA4623 2.50000000                                                         | CUSIP: 31418ED56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3952045 | NS      | $3348715.70    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY T 3.125% 07/12/41                         | QATAR ENERGY TRADING LLC REGD 144A P/P 3.12500000                                                | CUSIP: 74730DAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | QA        |    897000 | NS      | $689265.56     | 0.00%             | 2041-07-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNR 2014-6 W V/R 01/20/39                              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-6 CL W V/R 5.35925000                          | CUSIP: 38378PS33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    344235 | NS      | $348056.74     | 0.00%             | 2039-01-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRO V/R 09/11/25                         | CREDIT SUISSE GROUP AG REGD V/R 2.59300000                                                       | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2637000 | NS      | $2331267.35    | 0.01%             | 2025-09-11      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FHR 2132 SB V/R 03/15/29                               | FREDDIE MAC REMICS SER 2132 CL SB V/R 12.69606100                                                | CUSIP: 3133TJVQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       844 | NS      | $855.67        | 0.00%             | 2029-03-15      | Variable      | 12.70%                | No            |                  2 | On Loan: No      |
| HMIR 2019-1 M1 V/R 05/25/29                            | HOME RE 2019-1 LTD SER 2019-1 CL M1 V/R REGD 144A P/P 6.03871000                                 | CUSIP: 43731AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    513119 | NS      | $505265.71     | 0.00%             | 2029-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1377 4.5% 10/20/43                         | GINNIE MAE II POOL P#MA1377 4.50000000                                                           | CUSIP: 36179NQ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1215145 | NS      | $1226213.38    | 0.01%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#948208 V/R 07/01/37                             | FANNIE MAE POOL UMBS P#948208 V/R 4.23500000                                                     | CUSIP: 31413K3R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27062 | NS      | $27309.37      | 0.00%             | 2037-07-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICA 3.8% 03/15/32                         | ROGERS COMMUNICATIONS IN REGD P/P 3.80000000                                                     | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   4650000 | NS      | $4012733.87    | 0.03%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3377 4% 01/20/46                           | GINNIE MAE II POOL P#MA3377 4.00000000                                                           | CUSIP: 36179RXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    351090 | NS      | $337721.01     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 2126 CB 6.25% 02/15/29                             | FREDDIE MAC REMICS SER 2126 CL CB 6.25000000                                                     | CUSIP: 3133TJDR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29570 | NS      | $30012.61      | 0.00%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS6302 3.5% 12/01/45                            | FANNIE MAE POOL UMBS P#AS6302 3.50000000                                                         | CUSIP: 3138WGAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    226424 | NS      | $210452.02     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#486631 6.5% 10/15/28                            | GINNIE MAE I POOL P#486631 6.50000000                                                            | CUSIP: 36210ASU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       432 | NS      | $444.49        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1559 4% 12/01/40                              | FANNIE MAE POOL UMBS P#AH1559 4.00000000                                                         | CUSIP: 3138A2WV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    411007 | NS      | $394716.69     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRE 1.604% 10/04/26                         | BANQUE FED CRED MUTUEL REGD 144A P/P 1.60400000                                                  | CUSIP: 06675FAY3<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   3100000 | NS      | $2696503.01    | 0.02%             | 2026-10-04      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60774 3% 10/01/45                             | FREDDIE MAC GOLD POOL P#G60774 3.00000000                                                        | CUSIP: 31335A2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2094811 | NS      | $1908275.50    | 0.01%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINAN 3% 05/15/32                         | JBS USA/FOOD/FINANCE REGD 144A P/P 3.00000000                                                    | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7450000 | NS      | $5713037.42    | 0.04%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2010-14 CO ZCP 08/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-14 CL CO ZCP 0.00000000                        | CUSIP: 38376WBS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74368 | NS      | $63181.10      | 0.00%             | 2035-08-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY T 3.7% 08/15/27                         | DIGITAL REALTY TRUST LP REGD 3.70000000                                                          | CUSIP: 25389JAR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    462000 | NS      | $428713.36     | 0.00%             | 2027-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CR2 3.759% 08/10/25                          | COMM 2015-CCRE25 MORTGAGE TRUST SER 2015-CR25 CL A4 REGD 3.75900000                              | CUSIP: 12593PAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2437000 | NS      | $2327935.72    | 0.01%             | 2048-08-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 05/15/47                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810RX8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  13705000 | NS      | $11211332.49   | 0.07%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2013-118 YL 3% 12/25/28                            | FANNIE MAE REMICS SER 2013-118 CL YL 3.00000000                                                  | CUSIP: 3136AHCS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1237521 | NS      | $1148294.13    | 0.01%             | 2028-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA 5.15% 07/21/24                                 | BPCE SA REGD P/P 5.15000000                                                                      | CUSIP: 05578QAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   2800000 | NS      | $2740949.32    | 0.02%             | 2024-07-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH 3.55% 02/15/50                         | BURLINGTN NORTH SANTA FE REGD 3.55000000                                                         | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    517000 | NS      | $395842.65     | 0.00%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & 4.45% 02/15/44                         | VIRGINIA ELEC & POWER CO REGD 4.45000000                                                         | CUSIP: 927804FR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    126000 | NS      | $108024.73     | 0.00%             | 2044-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BPCE SA 5.7% 10/22/23                                  | BPCE SA REGD P/P MTN 5.70000000                                                                  | CUSIP: 05578QAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   3645000 | NS      | $3617531.50    | 0.02%             | 2023-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNR 2010-63 AP ZCP 06/25/40                            | FANNIE MAE REMICS SER 2010-63 CL AP ZCP 0.00000000                                               | CUSIP: 31398RPH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37833 | NS      | $31170.30      | 0.00%             | 2040-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 3.8% 09/20/31                         | BRITISH AIR 18-1 AA PTT REGD 144A P/P 3.80000000                                                 | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    926580 | NS      | $834994.24     | 0.01%             | 2031-09-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFO 3.706% 05/15/20                         | UNIV OF CALIFORNIA CA RGTS MED REGD B/E 3.70600000                                               | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3270000 | NS      | $2054833.99    | 0.01%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA9306 3% 02/01/51                              | FANNIE MAE POOL UMBS P#CA9306 0.00000000                                                         | CUSIP: 3140QHKU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4671002 | NS      | $4113540.85    | 0.03%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2441 GF 6.5% 04/15/32                              | FREDDIE MAC REMICS SER 2441 CL GF 6.50000000                                                     | CUSIP: 3133TVJF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4877 | NS      | $5055.28       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDING 2.608% 07/14/31                         | NOMURA HOLDINGS INC REGD 2.60800000                                                              | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   2025000 | NS      | $1566143.61    | 0.01%             | 2031-07-14      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS6304 4% 12/01/45                              | FANNIE MAE POOL UMBS P#AS6304 4.00000000                                                         | CUSIP: 3138WGAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1477269 | NS      | $1414993.65    | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO  4.125% 05/15/49                         | CON EDISON CO OF NY INC REGD SER A 4.12500000                                                    | CUSIP: 209111FV0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4293000 | NS      | $3488829.92    | 0.02%             | 2049-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA3534 3.5% 10/01/49                            | FREDDIE MAC POOL UMBS P#QA3534 3.50000000                                                        | CUSIP: 31339S4T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1395513 | NS      | $1287235.60    | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CWL 2004-6 M1 V/R 10/25/34                             | COUNTRYWIDE ASSET-BACKED CEFTIFICATES SERIES 2004-6 CLASS M1 REGD VARIABLE 5.28871000            | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7849 | NS      | $7630.65       | 0.00%             | 2034-10-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 5.05% 03/25/48                         | CVS HEALTH CORP REGD 5.05000000                                                                  | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4487724.45    | 0.03%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC  5.75% 03/15/29                         | ONCOR ELECTRIC DELIVERY REGD 5.75000000                                                          | CUSIP: 68233JBK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    124000 | NS      | $128603.78     | 0.00%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL E 4.125% 03/01/48                         | SOUTHERN CAL EDISON REGD SER C 4.12500000                                                        | CUSIP: 842400GK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1880000 | NS      | $1500190.74    | 0.01%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GR 2.5% 06/30/25                         | AMERICAN INTL GROUP REGD 2.50000000                                                              | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   5704000 | NS      | $5369745.60    | 0.03%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 5.4% 03/04/44                         | WILLIAMS COMPANIES INC REGD 5.40000000                                                           | CUSIP: 96950FAN4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2750000 | NS      | $2492940.59    | 0.02%             | 2044-03-04      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8235 3% 08/01/52                              | FREDDIE MAC POOL UMBS P#SD8235 3.00000000                                                        | CUSIP: 3132DWEG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    214776 | NS      | $188507.99     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDON 4.763% 04/14/27                         | FREEPORT INDONESIA PT REGD 144A P/P MTN 4.76300000                                               | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |   2121000 | NS      | $2036160.00    | 0.01%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNR 2006-94 GK V/R 10/25/26                            | FANNIE MAE REMICS SER 2006-94 CL GK V/R 11.30645000                                              | CUSIP: 31396K4D1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4683 | NS      | $4798.63       | 0.00%             | 2026-10-25      | Variable      | 11.31%                | No            |                  2 | On Loan: No      |
| UMBS P#BM5900 3% 11/01/46                              | FANNIE MAE POOL UMBS P#BM5900 3.00000000                                                         | CUSIP: 3140JARW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3075461 | NS      | $2792910.27    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AI 3.45% 11/15/26                         | WESTINGHOUSE AIR BRAKE REGD 3.45000000                                                           | CUSIP: 960386AL4<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4643826.95    | 0.03%             | 2026-11-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AMFAM HOLDINGS 2.805% 03/11/31                         | AMFAM HOLDINGS INC REGD 144A P/P 2.80500000                                                      | CUSIP: 03115AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | NS      | $3884853.40    | 0.02%             | 2031-03-11      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6333 2% 11/01/51                              | FREDDIE MAC POOL UMBS P#RA6333 2.00000000                                                        | CUSIP: 3133KNBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14768326 | NS      | $12035927.35   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC 3.5% 12/01/24                         | CARLISLE COS INC REGD 3.50000000                                                                 | CUSIP: 142339AG5<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |   3025000 | NS      | $2923121.69    | 0.02%             | 2024-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2020-30 PT V/R 03/20/48                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-30 CL PT V/R 4.76957000                        | CUSIP: 38382DF20<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6751311 | NS      | $6625019.24    | 0.04%             | 2048-03-20      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA P#736520 4.5% 04/15/40                            | GINNIE MAE I POOL P#736520 4.50000000                                                            | CUSIP: 3620AQG56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    719765 | NS      | $715144.30     | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AA1019 6% 11/01/36                              | FANNIE MAE POOL UMBS P#AA1019 6.00000000                                                         | CUSIP: 31416JDZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17142 | NS      | $17715.96      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CA 1.9% 10/15/26                         | SMBC AVIATION CAPITAL FI REGD 144A P/P 1.90000000                                                | CUSIP: 78448TAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1400000 | NS      | $1191670.12    | 0.01%             | 2026-10-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC4959 2% 08/01/51                              | FREDDIE MAC POOL UMBS P#QC4959 2.00000000                                                        | CUSIP: 3133APQL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5428083 | NS      | $4425564.31    | 0.03%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 1927 ZA 6.5% 01/15/27                              | FREDDIE MAC REMICS SER 1927 CL ZA 6.50000000                                                     | CUSIP: 3133T8U70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3139 | NS      | $3205.29       | 0.00%             | 2027-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q33507 3% 05/01/45                             | FREDDIE MAC GOLD POOL P#Q33507 3.00000000                                                        | CUSIP: 3132QP3R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1382771 | NS      | $1247437.91    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C75791 5.5% 01/01/33                           | FREDDIE MAC GOLD POOL P#C75791 5.50000000                                                        | CUSIP: 31288ENG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16985 | NS      | $17191.65      | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KKR 32A A1 V/R 01/15/32                                | KKR CLO 32 LTD SER 32A CL A1 V/R REGD 144A P/P 5.39914000                                        | CUSIP: 48254HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  26000000 | NS      | $25665900.00   | 0.16%             | 2032-01-15      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| GSMPS 2005-RP2 1 V/R 03/25/35                          | GSMPS MORTGAGE LOAN TRUST 2005-RP2 SER 2005-RP2 CL 1AF V/R REGD 4.73871000                       | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     61782 | NS      | $58039.27      | 0.00%             | 2035-03-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| EIG PEARL HOLD 3.545% 08/31/36                         | EIG PEARL HOLDINGS SARL REGD 144A P/P 3.54500000                                                 | CUSIP: 28249NAA9<br>LEI: 549300KIMRL45BWA5H76 | Long             | DBT              | CORP              | LU        |   5996000 | NS      | $5018100.37    | 0.03%             | 2036-08-31      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| GNR 2009-11 SC V/R 02/16/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-11 CL SC V/R 1.82371000                        | CUSIP: 38374TJF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54848 | NS      | $1121.93       | 0.00%             | 2039-02-16      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FHR 4217 KY 3% 06/15/43                                | FREDDIE MAC REMICS SER 4217 CL KY 3.00000000                                                     | CUSIP: 3137B2KH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    206000 | NS      | $177459.83     | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC 3% 02/15/41                           | T-MOBILE USA INC REGD SER WI 3.00000000                                                          | CUSIP: 87264ABL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2300000 | NS      | $1622935.18    | 0.01%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 01/20/32                                   | BPCE SA REGD V/R 144A P/P 2.27700000                                                             | CUSIP: 05583JAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |  10100000 | NS      | $7550729.30    | 0.05%             | 2032-01-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| GTP ACQUISITIO 3.482% 06/16/25                         | GTP ACQUISITION PARTNERS REGD P/P 3.48200000                                                     | CUSIP: 36246MAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1824000 | NS      | $1699117.10    | 0.01%             | 2025-06-16      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES L 4.486% 05/01/30                         | BAKER HUGHES LLC/CO-OBL REGD 4.48600000                                                          | CUSIP: 05724BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1365000 | NS      | $1300957.37    | 0.01%             | 2030-05-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| UMBS P#254949 5% 11/01/33                              | FANNIE MAE POOL UMBS P#254949 5.00000000                                                         | CUSIP: 31371LEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2211 | NS      | $2257.94       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#745946 5.5% 11/01/36                            | FANNIE MAE POOL UMBS P#745946 5.50000000                                                         | CUSIP: 31403DWF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9897 | NS      | $10261.22      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#V81992 4% 10/01/45                             | FREDDIE MAC GOLD POOL P#V81992 4.00000000                                                        | CUSIP: 3132L7F95<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2574074 | NS      | $2454456.41    | 0.02%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 5.25% 04/15/29                         | ENERGY TRANSFER LP REGD 5.25000000                                                               | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   5631000 | NS      | $5444928.95    | 0.03%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNR 2008-58 FA V/R 07/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-58 CL FA V/R 5.17286000                        | CUSIP: 38375DKW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    179632 | NS      | $175609.31     | 0.00%             | 2038-07-20      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CRVNA 2021-N2  0.75% 03/10/26                          | CARVANA AUTO RECEIVABLES TRUST 2021-N2 SER 2021-N2 CL B REGD 0.75000000                          | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    959950 | NS      | $873621.00     | 0.01%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHN 4.375% 12/05/33                         | JOHNSON & JOHNSON REGD 4.37500000                                                                | CUSIP: 478160BJ2<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |   1070000 | NS      | $1051953.55    | 0.01%             | 2033-12-05      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNR 2004-83 AP V/R 10/16/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-83 CL AP V/R 4.91121000                        | CUSIP: 38374JVJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        85 | NS      | $84.73         | 0.00%             | 2034-10-16      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNR 2007-14 ES V/R 03/25/37                            | FANNIE MAE REMICS SER 2007-14 CL ES V/R 2.05129000                                               | CUSIP: 31396PC33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    108089 | NS      | $9068.74       | 0.00%             | 2037-03-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/N 2.7% 05/01/25                         | NXP BV/NXP FDG/NXP USA REGD 2.70000000                                                           | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2110000 | NS      | $1985998.63    | 0.01%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3874 3.5% 08/20/46                         | GINNIE MAE II POOL P#MA3874 3.50000000                                                           | CUSIP: 36179SJT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    523832 | NS      | $488670.43     | 0.00%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MBIA INSURANCE CO V/R 01/15/33                         | MBIA INSURANCE CO REGD V/R P/P 11.88200000                                                       | CUSIP: 55276GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86000 | NS      | $6499.88       | 0.00%             | 2033-01-15      | Variable      | 11.88%                | No            |                  2 | On Loan: No      |
| AIR LEASE CORP 1.875% 08/15/26                         | AIR LEASE CORP REGD 1.87500000                                                                   | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3070000 | NS      | $2666410.13    | 0.02%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNR 2006-79 DF V/R 08/25/36                            | FANNIE MAE REMICS SER 2006-79 CL DF V/R 4.73871000                                               | CUSIP: 31396KYA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     57130 | NS      | $56215.94      | 0.00%             | 2036-08-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNR 2007-42 AO ZCP 05/25/37                            | FANNIE MAE REMICS SER 2007-42 CL AO ZCP 0.00000000                                               | CUSIP: 31396VM96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2934 | NS      | $2524.43       | 0.00%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5138 2% 12/01/41                              | FREDDIE MAC POOL UMBS P#RB5138 2.00000000                                                        | CUSIP: 3133KYV71<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18504460 | NS      | $15598168.47   | 0.10%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY  5.25% 06/15/37                         | CENOVUS ENERGY INC REGD SER WI 5.25000000                                                        | CUSIP: 15135UAP4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |   5270000 | NS      | $4800780.81    | 0.03%             | 2037-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNR 2010-16 WB V/R 03/25/40                            | FANNIE MAE REMICS SER 2010-16 CL WB V/R 6.15961500                                               | CUSIP: 31398MRV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    119558 | NS      | $122790.27     | 0.00%             | 2040-03-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE  5.212% 12/01/47                         | PG&E WILDFIRE RECOVERY REGD SER A-4 5.21200000                                                   | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1285000 | NS      | $1240415.19    | 0.01%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 05/22/32                         | MIZUHO FINANCIAL GROUP REGD V/R 2.17200000                                                       | CUSIP: 60687YBQ1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   8000000 | NS      | $6081852.16    | 0.04%             | 2032-05-22      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| UMBS P#729379 6% 08/01/33                              | FANNIE MAE POOL UMBS P#729379 6.00000000                                                         | CUSIP: 31402HJY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2450 | NS      | $2488.11       | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNA 2015-M1 A 2.532% 09/25/24                          | FANNIE MAE-ACES SER 2015-M1 CL A2 2.53200000                                                     | CUSIP: 3136AMKZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    934344 | NS      | $895241.81     | 0.01%             | 2024-09-25      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BSARM 2003-7 3A V/R 10/25/33                           | BEAR STEARNS ARM TRUST 2003-7 SER 2003-7 CL 3A V/R REGD 3.58941900                               | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2226 | NS      | $2027.44       | 0.00%             | 2033-10-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNR 2010-64 DM 5% 06/25/40                             | FANNIE MAE REMICS SER 2010-64 CL DM 5.00000000                                                   | CUSIP: 31398RM85<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    229830 | NS      | $230233.21     | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAALT 2020-2A  1.37% 08/15/23                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-2 SER 2020-2A CL A REGD 144A P/P 1.37000000               | CUSIP: 22535MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1325710 | NS      | $1312471.38    | 0.01%             | 2029-07-16      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| JAPAN FIN ORG M 1.75% 09/05/24                         | JAPAN FIN ORG MUNICIPAL REGD 144A P/P MTN 1.75000000                                             | CUSIP: 471068AQ9<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | USGA              | JP        |    200000 | NS      | $189771.26     | 0.00%             | 2024-09-05      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 3% 01/22/30                           | SOCIETE GENERALE REGD 144A P/P MTN 3.00000000                                                    | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    562000 | NS      | $458253.40     | 0.00%             | 2030-01-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO 4.85% 11/15/35                          | HALLIBURTON CO REGD 4.85000000                                                                   | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    200000 | NS      | $185022.75     | 0.00%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4777 3% 10/20/47                           | GINNIE MAE II POOL P#MA4777 3.00000000                                                           | CUSIP: 36179TJW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10697521 | NS      | $9637405.03    | 0.06%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-8 WN V/R 03/25/36                             | FANNIE MAE REMICS SER 2006-8 CL WN V/R 2.31129000                                                | CUSIP: 31394VX47<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    348717 | NS      | $33182.52      | 0.00%             | 2036-03-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FNR 2004-28 PF V/R 03/25/34                            | FANNIE MAE REMICS SER 2004-28 CL PF V/R 4.78871000                                               | CUSIP: 31393YFC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28658 | NS      | $28512.74      | 0.00%             | 2034-03-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1H2618 V/R 05/01/36                            | FREDDIE MAC NON GOLD POOL P#1H2618 V/R 3.25400000                                                | CUSIP: 3128QLSF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35129 | NS      | $35643.53      | 0.00%             | 2036-05-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4263 4% 02/20/47                           | GINNIE MAE II POOL P#MA4263 4.00000000                                                           | CUSIP: 36179SWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1026764 | NS      | $984717.34     | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HESS CORP 5.8% 04/01/47                                | HESS CORP REGD 5.80000000                                                                        | CUSIP: 42809HAH0<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1606000 | NS      | $1533189.45    | 0.01%             | 2047-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| HESS CORP 5.6% 02/15/41                                | HESS CORP REGD 5.60000000                                                                        | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   2032000 | NS      | $1920786.81    | 0.01%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FHR 1699 FC V/R 03/15/24                               | FREDDIE MAC REMICS SER 1699 CL FC V/R 4.47314000                                                 | CUSIP: 3133T4J72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        90 | NS      | $89.57         | 0.00%             | 2024-03-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA V/R 06/03/27                             | UNICREDIT SPA REGD V/R 144A P/P 1.98200000                                                       | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1135000 | NS      | $967607.85     | 0.01%             | 2027-06-03      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0654 2.5% 10/01/50                            | FANNIE MAE POOL UMBS P#FS0654 2.50000000                                                         | CUSIP: 3140XFWQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1295637 | NS      | $1112249.62    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BM2157 5% 07/20/49                           | GINNIE MAE II POOL P#BM2157 5.00000000                                                           | CUSIP: 3617JSME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    279265 | NS      | $286739.01     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM5803 4.5% 04/01/39                            | FANNIE MAE POOL UMBS P#BM5803 4.50000000                                                         | CUSIP: 3140JANV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3065572 | NS      | $3072115.17    | 0.02%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#777132 V/R 06/01/34                             | FANNIE MAE POOL UMBS P#777132 V/R 3.42000000                                                     | CUSIP: 31404SLM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18258 | NS      | $18499.20      | 0.00%             | 2034-06-01      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HE 3.91% 10/01/50                         | COMMONSPIRIT HEALTH REGD 3.91000000                                                              | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1265000 | NS      | $936209.94     | 0.01%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| NAA 2004-R2 A1 V/R 10/25/34                            | NACC REPERFORMING LOAN REMIC TRUST 2004-R2 SER 2004-R2 CL A1 V/R REGD 144A P/P 6.50000000        | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33255 | NS      | $28604.17      | 0.00%             | 2034-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07801 4% 10/01/44                             | FREDDIE MAC GOLD POOL P#G07801 4.00000000                                                        | CUSIP: 3128MAAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2822026 | NS      | $2706093.85    | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH7010 4.5% 03/01/41                            | FANNIE MAE POOL UMBS P#AH7010 4.50000000                                                         | CUSIP: 3138A8YG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    513207 | NS      | $508755.22     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#995456 6.5% 02/01/24                            | FANNIE MAE POOL UMBS P#995456 6.50000000                                                         | CUSIP: 31416BZV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1468 | NS      | $1461.86       | 0.00%             | 2024-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN 4.8% 08/15/43                         | NORFOLK SOUTHERN CORP REGD 4.80000000                                                            | CUSIP: 655844BN7<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   1273000 | NS      | $1108359.37    | 0.01%             | 2043-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A93383 5% 08/01/40                             | FREDDIE MAC GOLD POOL P#A93383 5.00000000                                                        | CUSIP: 312941XL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    130479 | NS      | $132278.73     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#371281 7% 02/15/24                              | GINNIE MAE I POOL P#371281 7.00000000                                                            | CUSIP: 36204JM60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40 | NS      | $40.38         | 0.00%             | 2024-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY  3.9% 10/01/25                         | DOMINION ENERGY INC REGD 3.90000000                                                              | CUSIP: 25746UCE7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   3558000 | NS      | $3465008.36    | 0.02%             | 2025-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES  3.6% 09/15/47                         | NORTHERN STATES PWR-MINN REGD 3.60000000                                                         | CUSIP: 665772CQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2395000 | NS      | $1844612.40    | 0.01%             | 2047-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5553 V/R 11/20/71                          | GINNIE MAE II POOL P#CE5553 V/R 6.31200000                                                       | CUSIP: 3617VUE29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10727389 | NS      | $11165030.16   | 0.07%             | 2071-11-20      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHR 3688 GT V/R 11/15/46                               | FREDDIE MAC REMICS SER 3688 CL GT V/R 7.53714200                                                 | CUSIP: 3137A0ML6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    319477 | NS      | $339543.15     | 0.00%             | 2046-11-15      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| AMGEN INC 4.875% 03/01/53                              | AMGEN INC REGD 4.87500000                                                                        | CUSIP: 031162DK3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   5157000 | NS      | $4573609.17    | 0.03%             | 2053-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 10/06/26                                   | BPCE SA REGD V/R 1.65200000                                                                      | CUSIP: 05583JAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   1566000 | NS      | $1391681.23    | 0.01%             | 2026-10-06      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30YR 3% JAN 23                                | FNMA TBA 30YR 3% JAN 23        TO BE ANNOUNCED 3.00000000                                        | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  50810000 | NS      | $44579132.10   | 0.29%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2332 ZH 7% 07/15/31                                | FREDDIE MAC REMICS SER 2332 CL ZH 7.00000000                                                     | CUSIP: 313398L98<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13444 | NS      | $14142.05      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C00785 6.5% 06/01/29                           | FREDDIE MAC GOLD POOL P#C00785 6.50000000                                                        | CUSIP: 31292G2S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5182 | NS      | $5317.92       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO V/R /PERP/                         | JPMORGAN CHASE & CO REGD V/R /PERP/ SER HH 4.60000000                                            | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1985000 | NS      | $1749281.25    | 0.01%             | 2171-08-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH  3.832% 04/27/25                         | L3HARRIS TECH INC REGD 3.83200000                                                                | CUSIP: 413875AR6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    820000 | NS      | $796303.37     | 0.01%             | 2025-04-27      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOT 3.6% 09/01/27                         | O'REILLY AUTOMOTIVE INC REGD 3.60000000                                                          | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    802000 | NS      | $755838.04     | 0.00%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GSMS 2021-RENT A V/R 11/21/22                          | GS MORTGAGE SECURITIES CORP TRUST 2021-RENT SER 2021-RENT CL A V/R REGD 144A P/P 5.05390000      | CUSIP: 36260XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5072444 | NS      | $4718959.97    | 0.03%             | 2035-11-21      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| RMIR 2020-1 M1A V/R 01/25/30                           | RADNOR RE 2020-1 LTD SER 2020-1 CL M1A V/R REGD 144A P/P 5.33871000                              | CUSIP: 750493AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    196924 | NS      | $196645.97     | 0.00%             | 2030-01-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| CSX CORP 4.5% 11/15/52                                 | CSX CORP REGD 4.50000000                                                                         | CUSIP: 126408HV8<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   2008000 | NS      | $1743165.12    | 0.01%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR8293 3% 05/01/43                              | FANNIE MAE POOL UMBS P#AR8293 3.00000000                                                         | CUSIP: 3138W6GB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    801202 | NS      | $729016.87     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GMREV 2021-1 A 1.17% 09/11/26                          | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1 SER 2021-1 CL A REGD 144A P/P 1.17000000         | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2882000 | NS      | $2504575.59    | 0.02%             | 2034-06-12      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| IPT 2018-INDP 3.763% 07/10/25                          | INDEPENDENCE PLAZA TRUST 2018-INDP SER 2018-INDP CL A REGD 144A P/P 3.76300000                   | CUSIP: 45378YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5445000 | NS      | $5100580.88    | 0.03%             | 2035-07-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08677 4% 11/01/45                             | FREDDIE MAC GOLD POOL P#G08677 4.00000000                                                        | CUSIP: 3128MJXF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3826297 | NS      | $3672594.33    | 0.02%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FMMSR 2021-SAT1  V/R 02/25/24                          | FMC GMSR ISSUER TRUST SER 2021-SAT1 CL A V/R REGD 144A P/P 3.65000000                            | CUSIP: 30259RAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16715000 | NS      | $15921037.50   | 0.10%             | 2024-02-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| MSM 2004-3 4A V/R 04/25/34                             | MORGAN STANLEY MORTGAGE LOAN TRUST 2004-3 SER 2004-3 CL 4A V/R REGD 5.64630400                   | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85572 | NS      | $82291.75      | 0.00%             | 2034-04-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| CAS 2021-R03 1M1 V/R 12/25/41                          | CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 SER 2021-R03 CL 1M1 V/R REGD 144A P/P 4.77768000    | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6056481 | NS      | $5940456.19    | 0.04%             | 2041-12-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD6813 2.5% 02/01/52                            | FREDDIE MAC POOL UMBS P#QD6813 2.50000000                                                        | CUSIP: 3133B4SA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5131697 | NS      | $4354336.90    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07995 5.5% 01/01/39                           | FREDDIE MAC GOLD POOL P#G07995 5.50000000                                                        | CUSIP: 3128MAGC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1328180 | NS      | $1371174.20    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROG 2020-SFR 2.296% 10/17/27                          | PROGRESS RESIDENTIAL 2020-SFR3 TRUST SER 2020-SFR3 CL E REGD 144A P/P 2.29600000                 | CUSIP: 74333AAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6000000 | NS      | $5234710.20    | 0.03%             | 2027-10-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4752 2.5% 04/01/30                            | FANNIE MAE POOL UMBS P#AS4752 2.50000000                                                         | CUSIP: 3138WEH69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    931272 | NS      | $873140.18     | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRECISION CASTPA 4.2% 06/15/35                         | PRECISION CASTPARTS CORP REGD 4.20000000                                                         | CUSIP: 740189AN5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | NS      | $68551.96      | 0.00%             | 2035-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-4 CX 5.5% 06/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT  SER 2005-4 CL CX REGD 5.50000000     | CUSIP: 9393367B3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    129492 | NS      | $20162.73      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MU 4.35% 09/15/27                         | NORTHWESTERN MUTUAL GLBL REGD 144A P/P MTN 4.35000000                                            | CUSIP: 66815L2K4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5440000 | NS      | $5296357.94    | 0.03%             | 2027-09-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SEMT 2004-8 A2 V/R 09/20/34                            | SEQUOIA MORTGAGE TRUST 2004-8 SER 2004-8 CL A2 V/R REGD 4.24757000                               | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     61117 | NS      | $57245.78      | 0.00%             | 2034-09-20      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE INSU V/R 10/24/67                         | PACIFIC LIFE INSURANCE C REGD V/R 4.30000000                                                     | CUSIP: 69448FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    743000 | NS      | $566064.68     | 0.00%             | 2067-10-24      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS S 3.55% 03/15/42                         | BRISTOL-MYERS SQUIBB CO REGD 3.55000000                                                          | CUSIP: 110122DV7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   2822000 | NS      | $2290471.64    | 0.01%             | 2042-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA C 7.2% 07/18/36                         | TELECOM ITALIA CAPITAL REGD 7.20000000                                                           | CUSIP: 87927VAR9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   1644000 | NS      | $1334763.60    | 0.01%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| FNS 393 6 5.5% 04/25/37                                | FANNIE MAE INTEREST STRIP SER 393 CL 6 5.50000000                                                | CUSIP: 3136FGCE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5428 | NS      | $681.94        | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-46 SW V/R 06/25/36                            | FANNIE MAE REMICS SER 2006-46 CL SW V/R 8.10795300                                               | CUSIP: 31395D7F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2681 | NS      | $2947.60       | 0.00%             | 2036-06-25      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR TBA 2% JAN 23                            | GNMA II 30 YR TBA 2% JAN 23    TO BE ANNOUNCED 2.00000000                                        | CUSIP: 21H020618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23180000 | NS      | $19421021.33   | 0.12%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A28796 6.5% 11/01/34                           | FREDDIE MAC GOLD POOL P#A28796 6.50000000                                                        | CUSIP: 31297GXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3810 | NS      | $3938.02       | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM8280 2.91% 03/01/27                           | FANNIE MAE POOL UMBS P#AM8280 2.91000000                                                         | CUSIP: 3138L9FW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9321500 | NS      | $8749639.40    | 0.06%             | 2027-03-01      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| FNR 2003-105 AZ 5.5% 10/25/33                          | FANNIE MAE REMICS SER 2003-105 CL AZ 5.50000000                                                  | CUSIP: 31393E7F0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    374132 | NS      | $379712.17     | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WFCM 2015-C26 2.991% 02/15/48                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C26 SER 2015-C26 CL ASB REGD 2.99100000               | CUSIP: 94989CAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4001556 | NS      | $3884345.29    | 0.02%             | 2048-02-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1B7242 V/R 09/01/36                            | FREDDIE MAC NON GOLD POOL P#1B7242 V/R 3.56800000                                                | CUSIP: 3128QPNJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52605 | NS      | $53126.76      | 0.00%             | 2036-09-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNW 2007-W10 2A V/R 08/25/37                           | FANNIE MAE REMIC TRUST 2007-W1 SER 2007-W10 CL 2A V/R 6.30905000                                 | CUSIP: 31396XD35<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6589 | NS      | $6568.51       | 0.00%             | 2047-08-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A95656 4% 12/01/40                             | FREDDIE MAC GOLD POOL P#A95656 4.00000000                                                        | CUSIP: 312944H95<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    458631 | NS      | $440943.38     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0% 5/31/27                                | UNITED STATES TREASURY NOTE 2.62500000                                                           | CUSIP: 91282CET4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  36850000 | NS      | $34735443.45   | 0.22%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC 3.9% 11/15/24                          | CHEVRON USA INC REGD 3.90000000                                                                  | CUSIP: 166756AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5778000 | NS      | $5679431.71    | 0.04%             | 2024-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNR 2006-34 PO ZCP 07/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-34 CL PO ZCP 0.00000000                        | CUSIP: 38374DBJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4117 | NS      | $3536.76       | 0.00%             | 2036-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3302 UT 6% 04/15/37                                | FREDDIE MAC REMICS SER 3302 CL UT 6.00000000                                                     | CUSIP: 31397GB82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29818 | NS      | $30762.37      | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-9 NZ 6.5% 02/25/33                            | FANNIE MAE REMICS SER 2003-9 CL NZ 6.50000000                                                    | CUSIP: 31392HA45<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9996 | NS      | $10328.70      | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL5 A V/R 08/25/24                          | VCAT 2021-NPL5 LLC SER 2021-NPL5 CL A1 V/R REGD 144A P/P 1.86770000                              | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6124483 | NS      | $5395971.58    | 0.03%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| XLIT LTD 5.25% 12/15/43                                | XLIT LTD REGD 5.25000000                                                                         | CUSIP: 98420EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2700000 | NS      | $2631955.60    | 0.02%             | 2043-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL COR 4.39% 08/15/37                         | BAT CAPITAL CORP REGD SER WI 4.39000000                                                          | CUSIP: 05526DBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3610000 | NS      | $2806780.45    | 0.02%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1782 2% 10/01/51                              | FANNIE MAE POOL UMBS P#CB1782 2.00000000                                                         | CUSIP: 3140QL6U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16535206 | NS      | $13478528.92   | 0.09%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE T 3.663% 05/15/25                         | CROWN CASTLE TOWERS LLC REGD P/P 3.66300000                                                      | CUSIP: 22822RBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    955000 | NS      | $925127.03     | 0.01%             | 2025-05-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| GNR 2010-41 WA V/R 10/20/33                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-41 CL WA V/R 5.82988000                        | CUSIP: 38377EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     69705 | NS      | $71097.80      | 0.00%             | 2033-10-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08731 2.5% 11/01/46                           | FREDDIE MAC GOLD POOL P#G08731 2.50000000                                                        | CUSIP: 3128MJY53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1282686 | NS      | $1107020.72    | 0.01%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5019 3.5% 02/20/48                         | GINNIE MAE II POOL P#MA5019 3.50000000                                                           | CUSIP: 36179TSG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10189739 | NS      | $9503549.83    | 0.06%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.875% 08/15/40                           | UNITED STATES TREASURY BOND 3.87500000                                                           | CUSIP: 912810QK7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  25825000 | NS      | $25191480.47   | 0.16%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS  5.3% 08/15/29                         | GLOBAL PAYMENTS INC REGD 5.30000000                                                              | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    964000 | NS      | $931966.73     | 0.01%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS  3% 06/01/26                         | KRAFT HEINZ FOODS CO REGD 3.00000000                                                             | CUSIP: 50077LAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3353000 | NS      | $3137802.45    | 0.02%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#682078 5.5% 11/01/32                            | FANNIE MAE POOL UMBS P#682078 5.50000000                                                         | CUSIP: 31400AXF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32852 | NS      | $33845.90      | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 05/12/26                              | UBS GROUP AG REGD V/R 144A P/P 4.31226000                                                        | CUSIP: 902613AN8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   5330000 | NS      | $5371743.97    | 0.03%             | 2026-05-12      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC P#785618 V/R 07/01/26                            | FREDDIE MAC NON GOLD POOL P#785618 V/R 3.87500000                                                | CUSIP: 31348SG32<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1828 | NS      | $1794.36       | 0.00%             | 2026-07-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7650 3% 10/20/51                           | GINNIE MAE II POOL P#MA7650 0.00000000                                                           | CUSIP: 36179WQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4268715 | NS      | $3814401.06    | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5985 3.5% 06/20/49                         | GINNIE MAE II POOL P#MA5985 3.50000000                                                           | CUSIP: 36179UUJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    825316 | NS      | $761972.89     | 0.00%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H04 SA V/R 02/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H04 CL SA V/R 4.26157000                       | CUSIP: 38375BL26<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    136602 | NS      | $134847.20     | 0.00%             | 2063-02-20      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM5469 3% 03/01/44                              | FANNIE MAE POOL UMBS P#BM5469 3.00000000                                                         | CUSIP: 3140JACF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    337402 | NS      | $307029.07     | 0.00%             | 2044-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ5136 3.5% 11/01/42                            | FANNIE MAE POOL UMBS P#AQ5136 3.50000000                                                         | CUSIP: 3138MLV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1268065 | NS      | $1186502.34    | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP 3% 05/15/26                            | CMS ENERGY CORP REGD 3.00000000                                                                  | CUSIP: 125896BQ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    110000 | NS      | $102348.05     | 0.00%             | 2026-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A90768 5% 01/01/40                             | FREDDIE MAC GOLD POOL P#A90768 5.00000000                                                        | CUSIP: 312938Z97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53323 | NS      | $54058.96      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AA0922 6% 09/01/36                              | FANNIE MAE POOL UMBS P#AA0922 6.00000000                                                         | CUSIP: 31416JAY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    143733 | NS      | $148695.10     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.875% 05/15/49                           | UNITED STATES TREASURY BOND 2.87500000                                                           | CUSIP: 912810SH2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7305000 | NS      | $5877956.85    | 0.04%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE T 5.55% 11/15/24                         | GE HEALTHCARE TECH INC REGD 144A P/P 5.55000000                                                  | CUSIP: 36267VAA1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   3849000 | NS      | $3862857.40    | 0.02%             | 2024-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU5016 3% 10/01/43                              | FANNIE MAE POOL UMBS P#AU5016 3.00000000                                                         | CUSIP: 3138X4SE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53330 | NS      | $48527.14      | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CR7 3.213% 04/10/23                          | COMM 2013-CCRE7 MORTGAGE TRUST SER 2013-CR7 CL A4 REGD 3.21300000                                | CUSIP: 12625FAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    840924 | NS      | $835322.71     | 0.01%             | 2046-03-10      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8257 4.5% 10/01/52                            | FREDDIE MAC POOL UMBS P#SD8257 4.50000000                                                        | CUSIP: 3132DWE66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10010636 | NS      | $9635789.12    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNR 2008-71 SC V/R 08/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-71 CL SC V/R 1.64714000                        | CUSIP: 38375XML5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27508 | NS      | $637.99        | 0.00%             | 2038-08-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7523 2.5% 08/01/50                            | FREDDIE MAC POOL UMBS P#SD7523 2.50000000                                                        | CUSIP: 3132DVLC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1167952 | NS      | $1002570.67    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#880219 7% 02/01/36                              | FANNIE MAE POOL UMBS P#880219 7.00000000                                                         | CUSIP: 31409V4C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6929 | NS      | $6911.56       | 0.00%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5467 4.5% 09/20/48                         | GINNIE MAE II POOL P#MA5467 4.50000000                                                           | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    451899 | NS      | $438529.18     | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSU 2.632% 07/14/26                         | SUMITOMO MITSUI FINL GRP REGD 2.63200000                                                         | CUSIP: 86562MAF7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    644000 | NS      | $589723.05     | 0.00%             | 2026-07-14      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0493 3% 02/01/52                              | FANNIE MAE POOL UMBS P#FS0493 3.00000000                                                         | CUSIP: 3140XFRP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10354535 | NS      | $9160841.72    | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HALST 2022-C A 4.38% 12/15/24                          | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2 SER 2022-C CL A3 REGD 144A P/P 4.38000000              | CUSIP: 448978AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4446000 | NS      | $4397740.89    | 0.03%             | 2025-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM  5.375% 07/15/25                         | DCP MIDSTREAM OPERATING REGD 5.37500000                                                          | CUSIP: 23311VAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5260000 | NS      | $5211082.00    | 0.03%             | 2025-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATI 2.95% 10/01/50                         | COX COMMUNICATIONS INC REGD 144A P/P 2.95000000                                                  | CUSIP: 224044CM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1275000 | NS      | $764427.79     | 0.00%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1B1665 V/R 04/01/34                            | FREDDIE MAC NON GOLD POOL P#1B1665 V/R 2.82500000                                                | CUSIP: 3128JLW39<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6959 | NS      | $6828.76       | 0.00%             | 2034-04-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNS 411 F1 V/R 08/25/42                                | FANNIE MAE INTEREST STRIP SER 411 CL F1 V/R 4.93871000                                           | CUSIP: 31395QDC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    576165 | NS      | $577363.04     | 0.00%             | 2042-08-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| UMBS P#BU0070 2.5% 10/01/51                            | FANNIE MAE POOL UMBS P#BU0070 2.50000000                                                         | CUSIP: 3140M1CG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11690825 | NS      | $9902625.55    | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.875% 05/31/25                           | UNITED STATES TREASURY NOTE 2.87500000                                                           | CUSIP: 9128284R8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5392000 | NS      | $5212758.11    | 0.03%             | 2025-05-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL0045 6% 12/01/32                              | FANNIE MAE POOL UMBS P#AL0045 6.00000000                                                         | CUSIP: 3138EGBP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69418 | NS      | $71783.95      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WFCM 2021-SAVE A V/R 02/15/23                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST SER 2021-SAVE CL A V/R REGD 144A P/P 5.46800000            | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4981440 | NS      | $4654417.59    | 0.03%             | 2040-02-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN IN 4.2% 03/17/32                         | BROWN & BROWN INC REGD 4.20000000                                                                | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   6000000 | NS      | $5201771.64    | 0.03%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNR 2004-90 SI V/R 10/20/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-90 CL SI V/R 1.74714000                        | CUSIP: 38374JXC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    192440 | NS      | $9549.40       | 0.00%             | 2034-10-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.125% 08/15/40                           | UNITED STATES TREASURY BOND 1.12500000                                                           | CUSIP: 912810SQ2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9056000 | NS      | $5623917.45    | 0.04%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FCAT 2020-3 A 0.7% 04/15/23                            | FLAGSHIP CREDIT AUTO TRUST 2020-3 SER 2020-3 CL A REGD 144A P/P 0.70000000                       | CUSIP: 33844TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7824 | NS      | $7813.44       | 0.00%             | 2025-04-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNAT 3.55% 11/15/24                         | EDISON INTERNATIONAL REGD 3.55000000                                                             | CUSIP: 281020AQ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   3606000 | NS      | $3481146.76    | 0.02%             | 2024-11-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91925 3.5% 04/01/37                           | FREDDIE MAC GOLD POOL P#C91925 3.50000000                                                        | CUSIP: 3128P8D65<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3473407 | NS      | $3324021.48    | 0.02%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2005-91 PI 6% 12/20/35                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-91 CL PI 6.00000000                            | CUSIP: 38374MSK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26724 | NS      | $3463.77       | 0.00%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABL 5.5% 09/01/41                         | TIME WARNER CABLE LLC REGD 5.50000000                                                            | CUSIP: 88732JBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6815000 | NS      | $5655595.95    | 0.04%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#5055 4.5% 05/20/41                           | GINNIE MAE II POOL P#5055 4.50000000                                                             | CUSIP: 36202FTL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    115101 | NS      | $114875.83     | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC 4.5% 05/15/35                                 | AT&T INC REGD 4.50000000                                                                         | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   7570000 | NS      | $6881499.87    | 0.04%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SASC 2002-AL1  3.45% 02/25/32                          | STRUCTURED ASSET SECURITIES CORP PASS-THROUGH CER SER 2002-AL1 CL A3 REGD 3.45000000             | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23194 | NS      | $13203.52      | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G2557 V/R 06/01/36                            | FREDDIE MAC NON GOLD POOL P#1G2557 V/R 3.35300000                                                | CUSIP: 3128QSZW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     68999 | NS      | $70035.67      | 0.00%             | 2036-06-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNR 1993-179 SC V/R 10/25/23                           | FANNIE MAE REMICS SER 1993-179 CL SC V/R 10.50000000                                             | CUSIP: 31359EFX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        62 | NS      | $62.31         | 0.00%             | 2023-10-25      | Variable      | 10.50%                | No            |                  2 | On Loan: No      |
| NBN CO LTD 2.625% 05/05/31                             | NBN CO LTD REGD 144A P/P MTN 2.62500000                                                          | CUSIP: 62878U2B7<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |  15025000 | NS      | $11919697.15   | 0.08%             | 2031-05-05      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNR 2006-46 FW V/R 06/25/36                            | FANNIE MAE REMICS SER 2006-46 CL FW V/R 4.78871000                                               | CUSIP: 31395D7E3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16790 | NS      | $16539.54      | 0.00%             | 2036-06-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & 4.9% 09/15/44                         | TEACHERS INSUR & ANNUITY REGD P/P 4.90000000                                                     | CUSIP: 878091BD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | NS      | $182820.08     | 0.00%             | 2044-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CGCMT 2015-GC 2.935% 03/10/25                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC29 SER 2015-GC29 CL A3 REGD 2.93500000                | CUSIP: 17323VAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9387166 | NS      | $8872637.20    | 0.06%             | 2048-04-10      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS6515 4% 01/01/46                              | FANNIE MAE POOL UMBS P#AS6515 4.00000000                                                         | CUSIP: 3138WGGZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    946592 | NS      | $906687.85     | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSFB 2003-AR15 3 V/R 06/25/33                          | CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP SER 2003-AR15 CL 3A1 V/R REGD 3.72666700     | CUSIP: 22541QCV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5948 | NS      | $5512.71       | 0.00%             | 2033-06-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-RS2 A4 5% 11/25/33                           | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-RS2 SER 2004-RS2 CL A4 REGD 5.00000000       | CUSIP: 92922FPH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19244 | NS      | $16699.53      | 0.00%             | 2033-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CO 2.625% 10/01/23                         | HF SINCLAIR CORP REGD SER WI 2.62500000                                                          | CUSIP: 403949AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $244797.74     | 0.00%             | 2023-10-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 2.625% 09/23/31                         | GLENCORE FUNDING LLC REGD 144A P/P 2.62500000                                                    | CUSIP: 378272BG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3186430.76    | 0.02%             | 2031-09-23      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 03/15/28                         | GOLDMAN SACHS GROUP INC REGD V/R 3.61500000                                                      | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  14810000 | NS      | $13794946.15   | 0.09%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOL 5.05% 03/15/42                         | WARNERMEDIA HOLDINGS INC REGD 144A P/P 5.05000000                                                | CUSIP: 55903VAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8041000 | NS      | $6152025.97    | 0.04%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHR 5222 SA V/R 05/25/52                               | FREDDIE MAC REMICS SER 5222 CL SA V/R 0.00000000                                                 | CUSIP: 3137H7BF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2245800 | NS      | $38712.65      | 0.00%             | 2052-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR3332 3.5% 02/01/43                            | FANNIE MAE POOL UMBS P#AR3332 3.50000000                                                         | CUSIP: 3138W0V22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19259 | NS      | $18028.64      | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL3 A V/R 03/25/60                          | CSMC 2020-RPL3 TRUST SER 2020-RPL3 CL A1 V/R REGD 144A P/P 2.69100000                            | CUSIP: 12656PAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2292790 | NS      | $2185661.08    | 0.01%             | 2060-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G06990 5.5% 08/01/40                           | FREDDIE MAC GOLD POOL P#G06990 5.50000000                                                        | CUSIP: 3128M9C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    342669 | NS      | $355714.56     | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC 2.625% 04/01/31                         | LOWE'S COS INC REGD 2.62500000                                                                   | CUSIP: 548661EA1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2845000 | NS      | $2357258.72    | 0.02%             | 2031-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA7144 2.5% 09/01/35                            | FANNIE MAE POOL UMBS P#CA7144 2.50000000                                                         | CUSIP: 3140QE5E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5469080 | NS      | $5017796.35    | 0.03%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRIC CO 5% 11/12/24                         | ISRAEL ELECTRIC CORP LTD REGD SER 6 5.00000000                                                   | CUSIP: 465077AK1<br>LEI: 254900JW7GE35YNJGJ55 | Long             | DBT              | CORP              | IL        |   1884000 | NS      | $1862805.00    | 0.01%             | 2024-11-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TTX CO 3.6% 01/15/25                                   | TTX CO REGD P/P MTN 3.60000000                                                                   | CUSIP: 87305QCH2<br>LEI: 549300I8CNSYS1OGX775 | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1927972.34    | 0.01%             | 2025-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FSPC T-41 3A V/R 07/25/32                              | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-41 CL 3A V/R 4.42382200                   | CUSIP: 31392MEN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39181 | NS      | $37486.25      | 0.00%             | 2032-07-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 03/17/33                             | CITIGROUP INC REGD V/R 3.78500000                                                                | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | NS      | $855291.55     | 0.01%             | 2033-03-17      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS G 6.75% 10/01/37                         | GOLDMAN SACHS GROUP INC REGD 6.75000000                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2170000 | NS      | $2315440.39    | 0.01%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BMARK 2020-B1 1.546% 12/15/29                          | BENCHMARK 2020-B19 MORTGAGE TRUST SER 2020-B19 CL A4 REGD 1.54600000                             | CUSIP: 08162WBB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21500000 | NS      | $17358975.30   | 0.11%             | 2053-09-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA 4.45% 03/03/26                         | BANK OF AMERICA CORP REGD MTN 4.45000000                                                         | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7140000 | NS      | $6996244.53    | 0.04%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHR 2466 DH 6.5% 06/15/32                              | FREDDIE MAC REMICS SER 2466 CL DH 6.50000000                                                     | CUSIP: 31392MM82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6616 | NS      | $6879.92       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 3852 TP V/R 05/15/41                               | FREDDIE MAC REMICS SER 3852 CL TP V/R 5.50000000                                                 | CUSIP: 3137ABB59<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    214158 | NS      | $209132.33     | 0.00%             | 2041-05-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| ZAIS7 2017-2A A V/R 04/15/30                           | ZAIS CLO 7 LTD SER 2017-2A CL A V/R REGD 144A P/P 5.36914000                                     | CUSIP: 98887VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8528281 | NS      | $8433702.13    | 0.05%             | 2030-04-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA P#486537 7.5% 09/15/28                            | GINNIE MAE I POOL P#486537 7.50000000                                                            | CUSIP: 36210APW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1556 | NS      | $1570.51       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMI 4.103% 03/08/27                         | TELEFONICA EMISIONES SAU REGD 4.10300000                                                         | CUSIP: 87938WAT0<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |   4775000 | NS      | $4530387.59    | 0.03%             | 2027-03-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7420 3.5% 06/20/51                         | GINNIE MAE II POOL P#MA7420 3.50000000                                                           | CUSIP: 36179WG51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1850026 | NS      | $1715728.52    | 0.01%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UDR INC 2.95% 09/01/26                                 | UDR INC REGD MTN 2.95000000                                                                      | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    276000 | NS      | $253330.68     | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7535 3% 08/20/51                           | GINNIE MAE II POOL P#MA7535 3.00000000                                                           | CUSIP: 36179WLQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22135099 | NS      | $19816127.52   | 0.13%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0533 3% 11/20/42                           | GINNIE MAE II POOL P#MA0533 3.00000000                                                           | CUSIP: 36179MSW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1056559 | NS      | $964481.24     | 0.01%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBSBB 2013-C6 3.244% 03/10/23                          | UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6 SER 2013-C6 CL A4 REGD 3.24430000                 | CUSIP: 90349GBF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    182671 | NS      | $181323.80     | 0.00%             | 2046-04-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL G 5.5% 06/15/52                         | LIBERTY MUTUAL GROUP INC REGD 144A P/P 5.50000000                                                | CUSIP: 53079EBN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5750000 | NS      | $5158938.99    | 0.03%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WOSAT 2020-A A 0.55% 08/15/23                          | WORLD OMNI SELECT AUTO TRUST 2020-A SER 2020-A CL A3 REGD 0.55000000                             | CUSIP: 98163DAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    857534 | NS      | $851771.39     | 0.01%             | 2025-07-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN8240 3.19% 01/01/33                           | FANNIE MAE POOL UMBS P#AN8240 3.19000000                                                         | CUSIP: 3138LMEN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3776423 | NS      | $3537411.01    | 0.02%             | 2033-01-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.25% 06/30/27                            | UNITED STATES TREASURY NOTE 3.25000000                                                           | CUSIP: 91282CEW7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  12172000 | NS      | $11769277.94   | 0.08%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TVA 5.5% 06/15/38                                      | TENNESSEE VALLEY AUTHORITY 5.50000000                                                            | CUSIP: 880591ED0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     57000 | NS      | $61321.53      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINA 3.65% 04/05/27                         | COREBRIDGE FINANCIAL INC REGD 144A P/P 3.65000000                                                | CUSIP: 21871XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2055000 | NS      | $1915651.87    | 0.01%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.65% 09/15/59                                | AT&T INC REGD 3.65000000                                                                         | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1685000 | NS      | $1127822.62    | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FO 4.875% 10/01/49                         | KRAFT HEINZ FOODS CO REGD SER WI 4.87500000                                                      | CUSIP: 50077LAZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2285000 | NS      | $1983478.16    | 0.01%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NCHET 2003-5 AI S/UP 11/25/33                          | NEW CENTURY HOME EQUITY LOAN TRUST SERIES 2003-5 SER 2003-5 CL AI6 S/UP REGD 5.50000000          | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     93960 | NS      | $88044.62      | 0.00%             | 2033-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2002-1 SA V/R 02/25/32                             | FANNIE MAE REMICS SER 2002-1 CL SA V/R 10.92419300                                               | CUSIP: 31392BVQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2361 | NS      | $2697.15       | 0.00%             | 2032-02-25      | Variable      | 10.92%                | No            |                  2 | On Loan: No      |
| MARP 2006-2 1A1 V/R 05/25/36                           | MASTR REPERFORMING LOAN TRUST_  SER 2006-2 CL 1A1 V/R REGD 144A P/P 4.04494300                   | CUSIP: 57645LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     68453 | NS      | $54510.58      | 0.00%             | 2036-05-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTR 3.5% 04/01/28                         | CLEVELAND ELECTRIC ILLUM REGD 144A P/P 3.50000000                                                | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1333000 | NS      | $1214307.48    | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP  6.15% 02/27/37                         | VODAFONE GROUP PLC REGD 6.15000000                                                               | CUSIP: 92857WAQ3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   4600000 | NS      | $4660312.49    | 0.03%             | 2037-02-27      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CIGAR 2020-1A  2.35% 01/12/26                          | CIG AUTO RECEIVABLES TRUST 2020-1 SER 2020-1A CL D REGD 144A P/P 2.35000000                      | CUSIP: 12597UAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6200000 | NS      | $6065471.78    | 0.04%             | 2026-01-12      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWE 5.4% 12/15/43                         | MONONGAHELA POWER CO REGD P/P 5.40000000                                                         | CUSIP: 610202BP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | NS      | $1589414.24    | 0.01%             | 2043-12-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UBSCM 2017-C5 3.212% 09/15/27                          | UBS COMMERCIAL MORTGAGE TRUST 2017-C5 SER 2017-C5 CL A4 REGD 3.21200000                          | CUSIP: 90276TAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21500000 | NS      | $19805886.00   | 0.13%             | 2050-11-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNA 2018-M12 A2 V/R 08/25/30                           | FANNIE MAE-ACES SER 2018-M12 CL A2 V/R 3.63100000                                                | CUSIP: 3136B26W7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5611341 | NS      | $5298284.85    | 0.03%             | 2030-08-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE 3.375% 05/01/23                         | JPMORGAN CHASE & CO REGD 3.37500000                                                              | CUSIP: 46625HJJ0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3800000 | NS      | $3782134.41    | 0.02%             | 2023-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VWALT 2022-A A 3.65% 12/20/24                          | VOLKSWAGEN AUTO LEASE TRUST 2022-A SER 2022-A CL A4 REGD 3.65000000                              | CUSIP: 92868AAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5487000 | NS      | $5340943.74    | 0.03%             | 2027-01-20      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC 1.3% 02/10/28                             | 7-ELEVEN INC REGD 144A P/P 1.30000000                                                            | CUSIP: 817826AD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1274000 | NS      | $1055904.28    | 0.01%             | 2028-02-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W1 1A1 V/R 12/25/42                           | FANNIE MAE REMIC TRUST 2003-W1 SER 2003-W1 CL 1A1 V/R 4.84480000                                 | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     64839 | NS      | $62040.20      | 0.00%             | 2042-12-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB5146 2% 11/01/50                              | FREDDIE MAC POOL UMBS P#QB5146 2.00000000                                                        | CUSIP: 3133ABWF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1900679 | NS      | $1553385.70    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 3261 OA ZCP 01/15/37                               | FREDDIE MAC REMICS SER 3261 CL OA ZCP 0.00000000                                                 | CUSIP: 31397EPT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11801 | NS      | $9491.16       | 0.00%             | 2037-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 2.45% 02/15/31                            | BROADCOM INC REGD 144A P/P 2.45000000                                                            | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   4393000 | NS      | $3460009.39    | 0.02%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MIDO 2014-3A A1R V/R 04/21/31                          | MIDOCEAN CREDIT CLO III SER 2014-3A CL A1R V/R REGD 144A P/P 5.39757000                          | CUSIP: 59802UAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15217777 | NS      | $14880977.19   | 0.10%             | 2031-04-21      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRO V/R 08/12/33                         | CREDIT SUISSE GROUP AG REGD V/R 144A P/P 6.53700000                                              | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   4000000 | NS      | $3509573.28    | 0.02%             | 2033-08-12      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| GNR 2008-93 AS V/R 12/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-93 CL AS V/R 1.34714000                        | CUSIP: 38375Y2X9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    109061 | NS      | $4978.57       | 0.00%             | 2038-12-20      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q33447 3% 05/01/45                             | FREDDIE MAC GOLD POOL P#Q33447 3.00000000                                                        | CUSIP: 3132QPZM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    449694 | NS      | $408832.32     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2169 TB 7% 06/15/29                                | FREDDIE MAC REMICS SER 2169 CL TB 7.00000000                                                     | CUSIP: 3133TL5G9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26771 | NS      | $27749.56      | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT4943 3.5% 05/01/43                            | FANNIE MAE POOL UMBS P#AT4943 3.50000000                                                         | CUSIP: 3138WSP51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30541 | NS      | $28559.47      | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COOF 2014-1 A V/R 06/25/40                             | COOF SECURITIZATION TRUST 2014-1 LTD SER 2014-1 CL A V/R 144A P/P 2.78247300                     | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    341417 | NS      | $23065.95      | 0.00%             | 2040-06-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH 5.15% 09/01/43                         | BURLINGTN NORTH SANTA FE REGD 5.15000000                                                         | CUSIP: 12189LAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    389000 | NS      | $379558.72     | 0.00%             | 2043-09-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| VENDE 1998-1 2E 7% 03/15/28                            | VENDEE MORTGAGE TRUST 1998-1 SER 1998-1 CL 2E 7.00000000                                         | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37723 | NS      | $37965.84      | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CGI INC 2.3% 09/14/31                                  | CGI INC REGD 2.30000000                                                                          | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   3919000 | NS      | $2975670.80    | 0.02%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNR 2011-39 ZA 6% 11/25/32                             | FANNIE MAE REMICS SER 2011-39 CL ZA 6.00000000                                                   | CUSIP: 31397SVY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    183192 | NS      | $187482.81     | 0.00%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MALT 2004-3 3A1 6% 04/25/34                            | MASTR ALTERNATIVE LOAN TRUST 2004-3 SER 2004-3 CL 3A1 REGD 6.00000000                            | CUSIP: 576434NW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    121165 | NS      | $117506.70     | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H11 VA V/R 06/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H11 CL VA V/R 4.34157000                       | CUSIP: 38375UKC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1454345 | NS      | $1438206.75    | 0.01%             | 2064-06-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNR 2006-38 SW V/R 06/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-38 CL SW V/R 2.14714000                        | CUSIP: 38374NPR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       545 | NS      | $2.89          | 0.00%             | 2036-06-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FNS 412 F2 V/R 08/25/42                                | FANNIE MAE INTEREST STRIP SER 412 CL F2 V/R 4.88871000                                           | CUSIP: 31395QDG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    255150 | NS      | $256812.70     | 0.00%             | 2042-08-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| RBSCF 2013-SMV 3.26% 02/11/23                          | RBS COMMERCIAL FUNDING INC 2013-SMV TRUST SER 2013-SMV CL A REGD 144A P/P 3.26000000             | CUSIP: 74932BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    512000 | NS      | $508895.85     | 0.00%             | 2031-03-11      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GNR 2003-25 PZ 5.5% 04/20/33                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-25 CL PZ 5.50000000                            | CUSIP: 38373QDV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100474 | NS      | $100209.58     | 0.00%             | 2033-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2007-73 MI V/R 11/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-73 CL MI V/R 1.64714000                        | CUSIP: 38375LD23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73186 | NS      | $1478.95       | 0.00%             | 2037-11-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNI 1.68% 10/30/30                         | VERIZON COMMUNICATIONS REGD SER WI 1.68000000                                                    | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    765000 | NS      | $596295.15     | 0.00%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA II P#1974 8.5% 03/20/25                           | GINNIE MAE II POOL P#1974 8.50000000                                                             | CUSIP: 36202CFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51 | NS      | $50.80         | 0.00%             | 2025-03-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| STACR 2022-DNA7  V/R 09/25/42                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA7 SER 2022-DNA7 CL M1A V/R REGD 144A P/P 6.42768000        | CUSIP: 35564KL31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6878657 | NS      | $6901642.50    | 0.04%             | 2052-03-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| UMBS P#755973 8% 11/01/28                              | FANNIE MAE POOL UMBS P#755973 8.00000000                                                         | CUSIP: 31403R2E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8618 | NS      | $8884.24       | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H21 DF V/R 05/20/61                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H21 CL DF V/R 4.49157000                       | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10764 | NS      | $10663.66      | 0.00%             | 2061-05-20      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNR 2003-97 SA V/R 11/16/33                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-97 CL SA V/R 2.22371000                        | CUSIP: 38374EVW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33083 | NS      | $973.63        | 0.00%             | 2033-11-16      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNR 2022-46 S V/R 03/20/52                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-46 CL S V/R 0.00000000                         | CUSIP: 38383PRN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4787331 | NS      | $81037.54      | 0.00%             | 2052-03-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FIN 6.625% 06/21/40                         | PRUDENTIAL FINANCIAL INC REGD MTN 6.62500000                                                     | CUSIP: 74432QBN4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   5995000 | NS      | $6496039.92    | 0.04%             | 2040-06-21      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNR 2007-18 MZ 6% 03/25/37                             | FANNIE MAE REMICS SER 2007-18 CL MZ 6.00000000                                                   | CUSIP: 31396P5P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    138166 | NS      | $137916.54     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP 3.25% 03/01/25                          | AIR LEASE CORP REGD 3.25000000                                                                   | CUSIP: 00912XBA1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    710000 | NS      | $673719.28     | 0.00%             | 2025-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2013- 4.3% 08/15/25                         | UNITED AIR 2013-1 A PTT REGD SER A 4.30000000                                                    | CUSIP: 909319AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2687447 | NS      | $2499893.87    | 0.02%             | 2025-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FHR 2196 TL 7.5% 11/15/29                              | FREDDIE MAC REMICS SER 2196 CL TL 7.50000000                                                     | CUSIP: 3133TMSB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        37 | NS      | $39.24         | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-118 A1 V/R 12/25/36                           | FANNIE MAE REMICS SER 2006-118 CL A1 V/R 4.07614000                                              | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27523 | NS      | $27338.42      | 0.00%             | 2036-12-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| UMBS P#888373 7% 03/01/37                              | FANNIE MAE POOL UMBS P#888373 7.00000000                                                         | CUSIP: 31410F6J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3399 | NS      | $3457.15       | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE 2.565% 02/15/30                         | OTIS WORLDWIDE CORP REGD SER WI 2.56500000                                                       | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |   3430000 | NS      | $2881883.63    | 0.02%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FNR 2007-67 PO ZCP 07/25/37                            | FANNIE MAE REMICS SER 2007-67 CL PO ZCP 0.00000000                                               | CUSIP: 31396WQF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30851 | NS      | $25947.59      | 0.00%             | 2037-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#1989 8.5% 04/20/25                           | GINNIE MAE II POOL P#1989 8.50000000                                                             | CUSIP: 36202CF65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       325 | NS      | $326.17        | 0.00%             | 2025-04-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WESTLAKE OH CI 5.227% 12/01/26                         | WESTLAKE OH CITY SCH DIST REGD B/E 5.22700000                                                    | CUSIP: 960470JF0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    430000 | NS      | $430165.77     | 0.00%             | 2026-12-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK 3.45% 07/27/26                           | DISCOVER BANK REGD SER BKNT 3.45000000                                                           | CUSIP: 25466AAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2800000 | NS      | $2578192.18    | 0.02%             | 2026-07-27      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP5568 3% 06/01/50                              | FANNIE MAE POOL UMBS P#BP5568 3.00000000                                                         | CUSIP: 3140KDFJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    598635 | NS      | $528003.95     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISO 4% 03/01/48                         | COMMONWEALTH EDISON CO REGD 4.00000000                                                           | CUSIP: 202795JM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4615000 | NS      | $3791049.25    | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#900191 V/R 10/01/36                             | FANNIE MAE POOL UMBS P#900191 V/R 4.32500000                                                     | CUSIP: 31410XC46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18134 | NS      | $17985.99      | 0.00%             | 2036-10-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| WFRBS 2014-LC 3.766% 12/15/23                          | WFRBS COMMERCIAL MORTGAGE TRUST 2014-LC14 SER 2014-LC14 CL A4 REGD 3.76600000                    | CUSIP: 96221TAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6642535 | NS      | $6526171.34    | 0.04%             | 2047-03-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| GNMA P#782025 6.5% 12/15/35                            | GINNIE MAE I POOL P#782025 6.50000000                                                            | CUSIP: 36241KHA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32170 | NS      | $33080.62      | 0.00%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION C 4% 12/01/46                         | AEP TRANSMISSION CO LLC REGD SER WI 4.00000000                                                   | CUSIP: 00115AAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2020000 | NS      | $1586383.04    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/ 3.25% 05/11/41                         | NXP BV/NXP FDG/NXP USA REGD 3.25000000                                                           | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   5195000 | NS      | $3624766.89    | 0.02%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNR 2022-133 SA V/R 07/20/52                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-133 CL SA V/R 0.12429000                       | CUSIP: 38383TYC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9540784 | NS      | $151846.35     | 0.00%             | 2052-07-20      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 11/24/32                              | BARCLAYS PLC REGD V/R 2.89400000                                                                 | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1572000 | NS      | $1197209.14    | 0.01%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| FNR 2008-60 JC 5% 07/25/38                             | FANNIE MAE REMICS SER 2008-60 CL JC 5.00000000                                                   | CUSIP: 31397LJ34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24867 | NS      | $24490.55      | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNS 383 33 6% 01/25/38                                 | FANNIE MAE INTEREST STRIP SER 383 CL 33 6.00000000                                               | CUSIP: 3136FFPE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14365 | NS      | $2950.38       | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FO 4.625% 10/01/39                         | KRAFT HEINZ FOODS CO REGD SER WI 4.62500000                                                      | CUSIP: 50077LAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2357000 | NS      | $2067636.77    | 0.01%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6509 2% 12/01/51                              | FREDDIE MAC POOL UMBS P#RA6509 2.00000000                                                        | CUSIP: 3133KNGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4988451 | NS      | $4086882.48    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ATCLO 2013-1A AR V/R 11/17/27                          | ATLAS SENIOR LOAN FUND III LTD SER 2013-1A CL AR V/R REGD 144A P/P 5.47971000                    | CUSIP: 04941GAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2098721 | NS      | $2075559.81    | 0.01%             | 2027-11-17      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 04/28/32                            | MORGAN STANLEY REGD V/R MTN 1.92800000                                                           | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  13945000 | NS      | $10521872.46   | 0.07%             | 2032-04-28      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| PROG 2022-SFR1 E V/R 02/17/29                          | PROGRESS RESIDENTIAL 2022-SFR1 TRUST SER 2022-SFR1 CL E1 V/R REGD 144A P/P 3.93000000            | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11100000 | NS      | $8638618.29    | 0.06%             | 2041-02-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA P#607724 7% 02/15/33                              | GINNIE MAE I POOL P#607724 7.00000000                                                            | CUSIP: 36202SD54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4583 | NS      | $4686.51       | 0.00%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#751247 4% 10/15/40                              | GINNIE MAE I POOL P#751247 4.00000000                                                            | CUSIP: 36230KL41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97350 | NS      | $94238.54      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORDF 2020-2 A 1.06% 09/15/25                          | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2020-2 CL A REGD 1.06000000                       | CUSIP: 34528QHQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14747000 | NS      | $13252735.16   | 0.09%             | 2027-09-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP 3.45% 08/15/27                         | CMS ENERGY CORP REGD 3.45000000                                                                  | CUSIP: 125896BS8<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    350000 | NS      | $324490.61     | 0.00%             | 2027-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| RAMC 2007-1 AF3 V/R 04/25/37                           | RENAISSANCE HOME EQUITY LOAN TRUST SER 2007-1 CL AF3 V/R REGD 5.61200000                         | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    298832 | NS      | $88190.04      | 0.00%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNR 1993-183 KA 6.5% 10/25/23                          | FANNIE MAE REMICS SER 1993-183 CL KA 6.50000000                                                  | CUSIP: 31359EHA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2411 | NS      | $2413.80       | 0.00%             | 2023-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS2947 4% 07/01/44                              | FANNIE MAE POOL UMBS P#AS2947 4.00000000                                                         | CUSIP: 3138WCHZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    944870 | NS      | $905048.52     | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRA 5.45% 07/15/44                         | FIRSTENERGY TRANSMISSION REGD P/P 5.45000000                                                     | CUSIP: 33767BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5027000 | NS      | $4676245.85    | 0.03%             | 2044-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL I 8.5% 05/15/25                         | LIBERTY MUTUAL INSURANCE REGD P/P 8.50000000                                                     | CUSIP: 53079QAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | NS      | $732726.02     | 0.00%             | 2025-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHR 3387 SA V/R 11/15/37                               | FREDDIE MAC REMICS SER 3387 CL SA V/R 2.10214000                                                 | CUSIP: 31397PFM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    133227 | NS      | $10419.96      | 0.00%             | 2037-11-15      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH C 4.9% 02/01/46                         | ANHEUSER-BUSCH CO/INBEV REGD SER * 4.90000000                                                    | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7910000 | NS      | $7190784.99    | 0.05%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CBSLT 2018-CGS 3.87% 02/25/46                          | COMMONBOND STUDENT LOAN TRUST 2018-C-GS SER 2018-CGS CL A1 REGD 144A P/P 3.87000000              | CUSIP: 20267XAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    545769 | NS      | $522915.87     | 0.00%             | 2046-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4071 2% 07/01/40                              | FANNIE MAE POOL UMBS P#MA4071 2.00000000                                                         | CUSIP: 31418DQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2686556 | NS      | $2288011.31    | 0.01%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08518 3% 02/01/43                             | FREDDIE MAC GOLD POOL P#G08518 3.00000000                                                        | CUSIP: 3128MJSG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    163129 | NS      | $148600.77     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT8292 3% 06/01/43                              | FANNIE MAE POOL UMBS P#AT8292 3.00000000                                                         | CUSIP: 3138WWGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    232536 | NS      | $211601.60     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CR 3.65% 08/18/25                         | TOYOTA MOTOR CREDIT CORP REGD MTN 3.65000000                                                     | CUSIP: 89236TKF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4280000 | NS      | $4158548.41    | 0.03%             | 2025-08-18      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08729 4.5% 09/01/46                           | FREDDIE MAC GOLD POOL P#G08729 4.50000000                                                        | CUSIP: 3128MJY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1261057 | NS      | $1240215.41    | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA7618 5% 07/01/52                              | FREDDIE MAC POOL UMBS P#RA7618 5.00000000                                                        | CUSIP: 3133KPPB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5931568 | NS      | $5849538.83    | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNR 2009-87 BE 5.5% 10/20/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-87 CL BE 5.50000000                            | CUSIP: 38376KWP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    402654 | NS      | $409914.40     | 0.00%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08735 4.5% 10/01/46                           | FREDDIE MAC GOLD POOL P#G08735 4.50000000                                                        | CUSIP: 3128MJY95<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1025447 | NS      | $1008500.82    | 0.01%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK2799 V/R 03/20/72                          | GINNIE MAE II POOL P#CK2799 V/R 6.26000000                                                       | CUSIP: 3617XXDC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10440421 | NS      | $10863949.60   | 0.07%             | 2072-03-20      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNR 2007-79 SB V/R 08/25/37                            | FANNIE MAE REMICS SER 2007-79 CL SB V/R 7.92473300                                               | CUSIP: 31396XDL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28302 | NS      | $30077.25      | 0.00%             | 2037-08-25      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| FHR 4739 Z 3.5% 11/15/47                               | FREDDIE MAC REMICS SER 4739 CL Z 3.50000000                                                      | CUSIP: 3137FBXB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1870456 | NS      | $1677069.08    | 0.01%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC &  3.5% 03/15/27                         | VIRGINIA ELEC & POWER CO REGD SER A 3.50000000                                                   | CUSIP: 927804FX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1732000 | NS      | $1636801.97    | 0.01%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 3.875% 04/27/51                         | GLENCORE FUNDING LLC REGD 144A P/P 3.87500000                                                    | CUSIP: 378272BC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | NS      | $715727.17     | 0.00%             | 2051-04-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 11/03/32                             | CITIGROUP INC REGD V/R 2.52000000                                                                | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1140000 | NS      | $886542.49     | 0.01%             | 2032-11-03      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4964 4.5% 01/20/48                         | GINNIE MAE II POOL P#MA4964 4.50000000                                                           | CUSIP: 36179TQR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    448070 | NS      | $441143.54     | 0.00%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 4.3% 07/08/34                              | ORACLE CORP REGD 4.30000000                                                                      | CUSIP: 68389XAV7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    221000 | NS      | $194111.87     | 0.00%             | 2034-07-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4654 4.5% 08/20/47                         | GINNIE MAE II POOL P#MA4654 4.50000000                                                           | CUSIP: 36179TE35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    594645 | NS      | $585936.54     | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 2002-83 C 6.881% 08/25/23                          | FANNIE MAE REMICS SER 2002-83 CL CS 6.88111000                                                   | CUSIP: 31392GKS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1470 | NS      | $1467.47       | 0.00%             | 2023-08-25      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNR 2008-32 SA V/R 04/25/38                            | FANNIE MAE REMICS SER 2008-32 CL SA V/R 2.46129000                                               | CUSIP: 31396Y5B4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14964 | NS      | $1279.79       | 0.00%             | 2038-04-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNR 1999-52 NS V/R 10/25/23                            | FANNIE MAE REMICS SER 1999-52 CL NS V/R 11.09161200                                              | CUSIP: 31359W5E7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       172 | NS      | $172.32        | 0.00%             | 2023-10-25      | Variable      | 11.09%                | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC 5.8% 10/11/41                          | BAE SYSTEMS PLC REGD P/P 5.80000000                                                              | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    400000 | NS      | $402268.81     | 0.00%             | 2041-10-11      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNR 2009-60 HT 6% 08/25/39                             | FANNIE MAE REMICS SER 2009-60 CL HT 6.00000000                                                   | CUSIP: 31396QPL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    196352 | NS      | $201088.96     | 0.00%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3740 SB V/R 10/15/40                               | FREDDIE MAC REMICS SER 3740 CL SB V/R 1.68214000                                                 | CUSIP: 3137GARP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    125166 | NS      | $7285.69       | 0.00%             | 2040-10-15      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018- 3.5% 03/01/30                         | UNITED AIR 2018-1 AA PTT REGD SER AA 3.50000000                                                  | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4024531 | NS      | $3474454.52    | 0.02%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2007-45 QA V/R 07/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-45 CL QA V/R 2.28714000                        | CUSIP: 38375KW24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     93308 | NS      | $4418.89       | 0.00%             | 2037-07-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| JPMCC 2017-JP 3.194% 06/15/27                          | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7 SER 2017-JP7 CL A4 REGD 3.19460000           | CUSIP: 465968AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | NS      | $18121490.00   | 0.12%             | 2050-09-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH B 3.743% 09/12/39                         | COMMONWEALTH BANK AUST REGD 144A P/P MTN 3.74300000                                              | CUSIP: 202712BL8<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   5000000 | NS      | $3652925.90    | 0.02%             | 2039-09-12      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS C 5.2% 04/01/45                         | GENERAL MOTORS CO REGD 5.20000000                                                                | CUSIP: 37045VAJ9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   2750000 | NS      | $2235118.60    | 0.01%             | 2045-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CGCMT 2016-C1 2.944% 04/10/26                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1 SER 2016-C1 CL A3 REGD 2.94400000                    | CUSIP: 17290YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10100000 | NS      | $9343482.73    | 0.06%             | 2049-05-10      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD9151 5% 08/01/40                              | FANNIE MAE POOL UMBS P#AD9151 5.00000000                                                         | CUSIP: 31418XEZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    103205 | NS      | $104667.74     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 1998-36 ZB 6% 07/18/28                             | FANNIE MAE REMICS SER 1998-36 CL ZB 6.00000000                                                   | CUSIP: 31359T5E4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2846 | NS      | $2891.57       | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J2945 V/R 11/01/37                            | FREDDIE MAC NON GOLD POOL P#1J2945 V/R 4.00000000                                                | CUSIP: 3128NKHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4689 | NS      | $4621.50       | 0.00%             | 2037-11-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-54 FA V/R 06/25/37                            | FANNIE MAE REMICS SER 2007-54 CL FA V/R 4.78871000                                               | CUSIP: 31396WFQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    101242 | NS      | $99092.59      | 0.00%             | 2037-06-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC 4% 03/15/27                              | NORDSTROM INC REGD 4.00000000                                                                    | CUSIP: 655664AS9<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |   2511000 | NS      | $2090658.60    | 0.01%             | 2027-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR 2020-SFR 1.856% 11/17/25                          | AMSR 2020-SFR4 TRUST SER 2020-SFR4 CL C REGD 144A P/P 1.85600000                                 | CUSIP: 66981FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9000000 | NS      | $7975314.00    | 0.05%             | 2037-11-17      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RE 6.5% 02/15/37                         | CANADIAN NATL RESOURCES REGD 6.50000000                                                          | CUSIP: 136385AJ0<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    118000 | NS      | $117592.08     | 0.00%             | 2037-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY T 1.375% 09/12/26                         | QATAR ENERGY TRADING LLC REGD 144A P/P 1.37500000                                                | CUSIP: 74730DAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | QA        |   9743000 | NS      | $8635103.99    | 0.06%             | 2026-09-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO9352 4% 07/01/42                              | FANNIE MAE POOL UMBS P#AO9352 4.00000000                                                         | CUSIP: 3138M1MA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    205624 | NS      | $196979.32     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 10/01/25                         | BANK OF AMERICA CORP REGD V/R MTN 3.09300000                                                     | CUSIP: 06051GGT0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4790112.15    | 0.03%             | 2025-10-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY 2.45% 01/15/23                         | DOMINION ENERGY INC REGD 144A P/P 2.45000000                                                     | CUSIP: 25746UDC0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   3264000 | NS      | $3260597.21    | 0.02%             | 2023-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPAN 5.75% 06/24/44                         | WILLIAMS COMPANIES INC REGD 5.75000000                                                           | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2500000 | NS      | $2380181.65    | 0.02%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03094 5% 06/01/37                             | FREDDIE MAC GOLD POOL P#G03094 5.00000000                                                        | CUSIP: 3128M4XX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     88068 | NS      | $90039.47      | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOLT 2021-NP11 A V/R 07/25/24                          | VERICREST OPPORTUNITY LOAN TRANSFEREE SER 2021-NP11 CL A1 V/R REGD 144A P/P 1.86780000           | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6034717 | NS      | $5206943.06    | 0.03%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| PHYSICIANS REA 2.625% 11/01/31                         | PHYSICIANS REALTY LP REGD 2.62500000                                                             | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1360000 | NS      | $1061533.57    | 0.01%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.25% 02/15/52                            | UNITED STATES TREASURY BOND 2.25000000                                                           | CUSIP: 912810TD0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  30950000 | NS      | $21522339.69   | 0.14%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INT 4.1% 05/15/28                         | MID-ATLANTIC INTERSTATE REGD 144A P/P 4.10000000                                                 | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9900000 | NS      | $9316062.26    | 0.06%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| IDAHO ENERGY R 2.861% 09/01/46                         | IDAHO ENERGY RESOURCES AUTH TR REGD N/C B/E 2.86100000                                           | CUSIP: 451174AX4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3175000 | NS      | $2157590.94    | 0.01%             | 2046-09-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| EATON OH CMNTY  5.39% 08/25/27                         | EATON OH CMNTY CITY SCHS REGD B/E SD CRED 5.39000000                                             | CUSIP: 278182BG4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    275000 | NS      | $275080.96     | 0.00%             | 2027-08-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4652 3.5% 08/20/47                         | GINNIE MAE II POOL P#MA4652 3.50000000                                                           | CUSIP: 36179TEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    256322 | NS      | $238909.91     | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA0171 4.5% 09/01/29                            | FANNIE MAE POOL UMBS P#MA0171 4.50000000                                                         | CUSIP: 31417YFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65862 | NS      | $65355.26      | 0.00%             | 2029-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES  3.127% 05/29/50                         | TOTALENERGIES CAP INTL REGD 3.12700000                                                           | CUSIP: 89153VAV1<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   2465000 | NS      | $1740822.54    | 0.01%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| UMBS P#888568 5% 12/01/34                              | FANNIE MAE POOL UMBS P#888568 5.00000000                                                         | CUSIP: 31410GFH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13616 | NS      | $13905.18      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT0656 4% 04/01/43                              | FANNIE MAE POOL UMBS P#AT0656 4.00000000                                                         | CUSIP: 3138WMWS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3749991 | NS      | $3662645.72    | 0.02%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A61572 5% 09/01/34                             | FREDDIE MAC GOLD POOL P#A61572 5.00000000                                                        | CUSIP: 3128KRW91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49098 | NS      | $50196.74      | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA IN 5.125% 05/18/45                         | CRH AMERICA INC REGD P/P 5.12500000                                                              | CUSIP: 12626PAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | NS      | $202860.68     | 0.00%             | 2045-05-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHS 272 F2 V/R 08/15/42                                | FREDDIE MAC STRIPS SER 272 CL F2 V/R 4.86786000                                                  | CUSIP: 3128HXYS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400097 | NS      | $390925.79     | 0.00%             | 2042-08-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A2 1A V/R 05/25/08                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A2 SER 2007-A2 CL 1A1 V/R REGD 3.21478800               | CUSIP: 16163LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8158 | NS      | $7767.01       | 0.00%             | 2035-06-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROU 5.773% 01/31/33                         | CVS PASS-THROUGH TRUST REGD   144A P/P 5.77300000                                                | CUSIP: 126650BV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    649006 | NS      | $634283.18     | 0.00%             | 2033-01-10      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8146 2% 05/01/51                              | FREDDIE MAC POOL UMBS P#SD8146 2.00000000                                                        | CUSIP: 3132DWBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    944829 | NS      | $771287.76     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CO 3.095% 08/16/49                         | EXXON MOBIL CORPORATION REGD 3.09500000                                                          | CUSIP: 30231GAZ5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   2040000 | NS      | $1457875.15    | 0.01%             | 2049-08-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA 6.603% 07/01/50                         | LOS ANGELES CA DEPT WTR & PWR REGD N/C B/E 6.60300000                                            | CUSIP: 544495WA8<br>LEI: 549300S8NXV6YU61GG95 | Long             | DBT              | MUN               | US        |   2400000 | NS      | $2838618.96    | 0.02%             | 2050-07-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC /  6.02% 06/15/26                         | DELL INT LLC / EMC CORP REGD 6.02000000                                                          | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8889000 | NS      | $9068165.26    | 0.06%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| FHLMC P#848699 V/R 07/01/40                            | FREDDIE MAC NON GOLD POOL P#848699 V/R 3.77900000                                                | CUSIP: 31300LUY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16336 | NS      | $16527.30      | 0.00%             | 2040-07-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| UMBS P#890268 6.5% 10/01/38                            | FANNIE MAE POOL UMBS P#890268 6.50000000                                                         | CUSIP: 31410LCD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37171 | NS      | $38941.03      | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMF 2015-K51 C V/R 10/25/25                          | FREMF 2015-K51 MORTGAGE TRUST SER 2015-K51 CL C V/R REGD 144A P/P 3.95065300                     | CUSIP: 30293XAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | NS      | $1406335.20    | 0.01%             | 2048-10-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| CWALT 2004-2CB  5.75% 03/25/34                         | COUNTRYWIDE ALTERNATIVE LOAN T  RUST SER 2004-2CB CL 1A9 REGD 5.75000000                         | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    280853 | NS      | $277751.66     | 0.00%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CSFB 2005-9 DX 5.5% 10/25/35                           | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES SERI SER 2005-9 CL DX REGD 5.50000000             | CUSIP: 2254586J2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    109271 | NS      | $12097.18      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRA 4.55% 04/01/49                         | FIRSTENERGY TRANSMISSION REGD 144A P/P 4.55000000                                                | CUSIP: 33767BAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2143000 | NS      | $1734005.11    | 0.01%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHMS K111 X1 V/R 05/25/30                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K111 CL X1 V/R 1.68092900            | CUSIP: 3137FUZE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  28065122 | NS      | $2491015.35    | 0.02%             | 2030-05-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| GFORT 2020-1 A 0.68% 08/15/23                          | GMF FLOORPLAN OWNER REVOLVING TRUST SER 2020-1 CL A REGD 144A P/P 0.68000000                     | CUSIP: 361886CH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4031000 | NS      | $3914041.74    | 0.03%             | 2025-08-15      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 02/11/26                         | WELLS FARGO & COMPANY REGD V/R MTN 2.16400000                                                    | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4525000 | NS      | $4218354.51    | 0.03%             | 2026-02-11      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4306 2.5% 04/01/51                            | FANNIE MAE POOL UMBS P#MA4306 2.50000000                                                         | CUSIP: 31418DYC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25526092 | NS      | $21684052.02   | 0.14%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0364 5% 05/01/23                              | FANNIE MAE POOL UMBS P#AD0364 5.00000000                                                         | CUSIP: 31418MMN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30 | NS      | $29.92         | 0.00%             | 2023-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ1407 4% 09/01/41                              | FANNIE MAE POOL UMBS P#AJ1407 4.00000000                                                         | CUSIP: 3138ASR53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85611 | NS      | $82216.99      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO 4.81% 09/17/30                         | NISSAN MOTOR CO REGD 144A P/P 4.81000000                                                         | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   2686000 | NS      | $2279532.29    | 0.01%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN  3.75% 01/11/28                         | UNITED MEXICAN STATES REGD 3.75000000                                                            | CUSIP: 91087BAE0<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   3517000 | NS      | $3319273.94    | 0.02%             | 2028-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC 5.8% 09/15/62                         | T-MOBILE USA INC REGD 5.80000000                                                                 | CUSIP: 87264ACX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3386000 | NS      | $3275780.32    | 0.02%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2141 8% 12/20/25                             | GINNIE MAE II POOL P#2141 8.00000000                                                             | CUSIP: 36202CLW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140 | NS      | $141.76        | 0.00%             | 2025-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 4.15% 04/11/24                         | UNITED AIRLINES 2012-1 A REGD SER A 4.15000000                                                   | CUSIP: 210795PZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    878496 | NS      | $850794.80     | 0.01%             | 2024-04-11      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA6518 3% 01/01/50                              | FREDDIE MAC POOL UMBS P#QA6518 3.00000000                                                        | CUSIP: 3133A1G30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1656121 | NS      | $1470009.76    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION C 3.625% 05/13/51                         | ALIMENTATION COUCHE-TARD REGD 144A P/P 3.62500000                                                | CUSIP: 01626PAQ9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   3500000 | NS      | $2339727.78    | 0.02%             | 2051-05-13      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHR 2163 PC 7.5% 06/15/29                              | FREDDIE MAC REMICS SER 2163 CL PC 7.50000000                                                     | CUSIP: 3133TLFS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2266 | NS      | $195.66        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ANCHC 2013-1A A1 V/R 10/13/30                          | ANCHORAGE CAPITAL CLO 2013-1 LTD SER 2013-1A CL A1R V/R REGD 144A P/P 5.19071000                 | CUSIP: 033292AQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | NS      | $2472797.50    | 0.02%             | 2030-10-13      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB  3% 04/18/26                         | PRINCIPAL LFE GLB FND II REGD 144A P/P 3.00000000                                                | CUSIP: 74256LAU3<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1855421.58    | 0.01%             | 2026-04-18      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES  2.95% 10/01/51                         | ANALOG DEVICES INC REGD 2.95000000                                                               | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |   2122000 | NS      | $1429926.00    | 0.01%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#BC5981 3.5% 04/01/46                            | FANNIE MAE POOL UMBS P#BC5981 3.50000000                                                         | CUSIP: 3140F1UF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    568859 | NS      | $531628.14     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-22 2A1 V/R 11/25/35                          | CHL MORTGAGE PASS-THROUGH TRUST 2005-22 SER 2005-22 CL 2A1 V/R REGD 3.44456600                   | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     91428 | NS      | $71408.74      | 0.00%             | 2035-11-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FNR 1997-29 J 7.5% 04/20/27                            | FANNIE MAE REMICS SER 1997-29 CL J 7.50000000                                                    | CUSIP: 31359PFV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2763 | NS      | $2842.77       | 0.00%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ENI SPA 5.7% 10/01/40                                  | ENI SPA REGD P/P SER 0000 5.70000000                                                             | CUSIP: 26874RAC2<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    557000 | NS      | $505657.02     | 0.00%             | 2040-10-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHMS K142 A2 2.4% 03/25/32                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K142 CL A2 2.40000000           | CUSIP: 3137H73P6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13700000 | NS      | $11541377.31   | 0.07%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GSMS 2014-GC1 4.074% 01/10/24                          | GS MORTGAGE SECURITIES TRUST 2014-GC18 SER 2014-GC18 CL A4 REGD 4.07400000                       | CUSIP: 36252RAM1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8419000 | NS      | $8237641.27    | 0.05%             | 2047-01-10      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI 3.04% 07/16/29                         | SUMITOMO MITSUI FINL GRP REGD 3.04000000                                                         | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   5005000 | NS      | $4327608.89    | 0.03%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI HC C 3.96% 09/19/23                         | MITSUBISHI HC CAPITAL REGD 144A P/P 3.96000000                                                   | CUSIP: 60682LAC6<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | JP        |   2730000 | NS      | $2697758.70    | 0.02%             | 2023-09-19      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| GNR 2017-H19 FA V/R 08/20/67                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H19 CL FA V/R 4.29157000                       | CUSIP: 38375UJ84<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    918718 | NS      | $912501.48     | 0.01%             | 2067-08-20      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W1 2A2 7% 12/25/33                            | FANNIE MAE TRUST 2004-W1 SER 2004-W1 CL 2A2 7.00000000                                           | CUSIP: 31393U4Q3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    135762 | NS      | $142428.63     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.375% 02/15/42                           | UNITED STATES TREASURY BOND 2.37500000                                                           | CUSIP: 912810TF5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  80179000 | NS      | $61217918.90   | 0.39%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-9 2A2 V/R 11/25/35                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2005-9 CL 2A2 V/R REGD 5.50000000                          | CUSIP: 17307GM62<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       786 | NS      | $579.69        | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORDO 2020-C A 0.51% 08/15/26                          | FORD CREDIT AUTO OWNER TRUST 2020-C SER 2020-C CL A4 REGD 0.51000000                             | CUSIP: 34533YAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5576000 | NS      | $5211083.14    | 0.03%             | 2026-08-15      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD6056 3% 02/01/52                              | FREDDIE MAC POOL UMBS P#QD6056 3.00000000                                                        | CUSIP: 3133B3WR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1010411 | NS      | $892364.07     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 01/28/27                             | CITIGROUP INC REGD V/R 1.12200000                                                                | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  32820000 | NS      | $28602141.97   | 0.18%             | 2027-01-28      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM2972 4% 12/01/44                              | FANNIE MAE POOL UMBS P#FM2972 4.00000000                                                         | CUSIP: 3140X6JS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10801830 | NS      | $10375156.32   | 0.07%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-130 SX V/R 01/25/34                           | FANNIE MAE REMICS SER 2003-130 CL SX V/R 4.93693500                                              | CUSIP: 31393UWF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1041 | NS      | $1021.93       | 0.00%             | 2034-01-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FSPC T-58 4A 7.5% 09/25/43                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-58 CL 4A 7.50000000                       | CUSIP: 31394JY50<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    210132 | NS      | $215264.68     | 0.00%             | 2043-09-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#782615 7% 06/15/35                              | GINNIE MAE I POOL P#782615 7.00000000                                                            | CUSIP: 36241K3Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     82105 | NS      | $86070.04      | 0.00%             | 2035-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-42 B 6% 05/25/37                              | FANNIE MAE REMICS SER 2007-42 CL B 6.00000000                                                    | CUSIP: 31396VR83<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63042 | NS      | $64494.57      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS4866 2.67% 12/01/35                           | FANNIE MAE POOL UMBS P#BS4866 2.67000000                                                         | CUSIP: 3140LFMQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15510000 | NS      | $12450081.58   | 0.08%             | 2035-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERG 5.375% 11/15/32                         | DOMINION ENERGY INC REGD 5.37500000                                                              | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   5634000 | NS      | $5584339.11    | 0.04%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JPMMT 2007-A1  V/R 07/25/35                            | JPMMT 2007-A1  V/R 07/25/35 3.45295000                                                           | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    307962 | NS      | $297176.02     | 0.00%             | 2035-07-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08747 3% 02/01/47                             | FREDDIE MAC GOLD POOL P#G08747 3.00000000                                                        | CUSIP: 3128MJZM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4817782 | NS      | $4310759.08    | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2287 2.5% 12/01/51                            | FANNIE MAE POOL UMBS P#CB2287 2.50000000                                                         | CUSIP: 3140QMRH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1372288 | NS      | $1169827.30    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNA 2014-M2 A2 V/R 12/25/23                            | FANNIE MAE-ACES SER 2014-M2 CL A2 V/R 3.51300000                                                 | CUSIP: 3136AJDU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    788397 | NS      | $775229.62     | 0.00%             | 2023-12-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FNR 2009-84 WS V/R 10/25/39                            | FANNIE MAE REMICS SER 2009-84 CL WS V/R 1.51129000                                               | CUSIP: 31398FHB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23298 | NS      | $1409.07       | 0.00%             | 2039-10-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FORDR 2018-1 A 3.19% 01/15/25                          | FORD CREDIT AUTO OWNER TRUST 2018-REV1 SER 2018-1 CL A REGD 144A P/P 3.19000000                  | CUSIP: 34532RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20424000 | NS      | $19509166.15   | 0.13%             | 2031-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 5.75% 02/15/33                         | ENERGY TRANSFER LP REGD 5.75000000                                                               | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   6421000 | NS      | $6282049.56    | 0.04%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC 3.8% 10/01/47                            | AEP TEXAS INC REGD SER WI 3.80000000                                                             | CUSIP: 00108WAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3715000 | NS      | $2699276.87    | 0.02%             | 2047-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FHG 29 L 7.5% 04/25/24                                 | FHLMC-GNMA SER 29 CL L 7.50000000                                                                | CUSIP: 3133T5FM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2972 | NS      | $2977.75       | 0.00%             | 2024-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GMCAR 2020-3 A 0.45% 12/18/23                          | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-3 SER 2020-3 CL A3 REGD 0.45000000       | CUSIP: 362590AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1750294 | NS      | $1714799.00    | 0.01%             | 2025-04-16      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT8331 3% 07/01/43                              | FANNIE MAE POOL UMBS P#AT8331 3.00000000                                                         | CUSIP: 3138WWHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    231850 | NS      | $210976.00     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL ED 4.05% 03/15/42                         | SOUTHERN CAL EDISON REGD 4.05000000                                                              | CUSIP: 842400FV0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | NS      | $636386.39     | 0.00%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FREMF 2013-K35 C V/R 08/25/23                          | FREMF 2013-K35 MORTGAGE TRUST SER 2013-K35 CL C V/R REGD 144A P/P 3.93239200                     | CUSIP: 30291VAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2951000 | NS      | $2905096.60    | 0.02%             | 2046-12-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3937 3.5% 09/20/46                         | GINNIE MAE II POOL P#MA3937 3.50000000                                                           | CUSIP: 36179SLS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    409723 | NS      | $383251.58     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY I 6.8% 09/15/37                         | CENOVUS ENERGY INC REGD 6.80000000                                                               | CUSIP: 448055AD5<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |   2100000 | NS      | $2153782.45    | 0.01%             | 2037-09-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| FHR 3424 PI V/R 04/15/38                               | FREDDIE MAC REMICS SER 3424 CL PI V/R 2.48214000                                                 | CUSIP: 31397T4Y5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79437 | NS      | $8142.97       | 0.00%             | 2038-04-15      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD9153 4.5% 08/01/40                            | FANNIE MAE POOL UMBS P#AD9153 4.50000000                                                         | CUSIP: 31418XE38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1379794 | NS      | $1367834.03    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC 3.625% 03/15/32                                | HCA INC REGD 144A P/P 3.62500000                                                                 | CUSIP: 404119CF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | NS      | $2961537.53    | 0.02%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-AR14 A V/R 01/25/35                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR14 SER 2004-AR14 CL A1 V/R REGD 3.95209100 | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1048310 | NS      | $945396.33     | 0.01%             | 2035-01-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| SYNIT 2022-A1  3.37% 04/15/25                          | SYNCHRONY CARD FUNDING LLC SER 2022-A1 CL A REGD 3.37000000                                      | CUSIP: 87166PAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10650000 | NS      | $10274650.34   | 0.07%             | 2028-04-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.05% 11/21/39                              | ABBVIE INC REGD SER WI 4.05000000                                                                | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   4531000 | NS      | $3878306.10    | 0.02%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3960 3% 03/01/50                              | FANNIE MAE POOL UMBS P#MA3960 3.00000000                                                         | CUSIP: 31418DMJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1355181 | NS      | $1196413.67    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q51555 3.5% 10/01/47                           | FREDDIE MAC GOLD POOL P#Q51555 3.50000000                                                        | CUSIP: 3132XTWR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2795902 | NS      | $2595723.04    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT3487 3.5% 04/01/43                            | FANNIE MAE POOL UMBS P#AT3487 3.50000000                                                         | CUSIP: 3138WQ2V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1864055 | NS      | $1742997.41    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/31                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833XZ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  12590000 | NS      | $9090575.63    | 0.06%             | 2031-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY I 2.379% 06/15/28                         | PUGET ENERGY INC REGD 2.37900000                                                                 | CUSIP: 745310AM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4023000 | NS      | $3423068.07    | 0.02%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHR 3373 TO ZCP 04/15/37                               | FREDDIE MAC REMICS SER 3373 CL TO ZCP 0.00000000                                                 | CUSIP: 31397KUV1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12269 | NS      | $9832.24       | 0.00%             | 2037-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC 3.85% 06/01/25                              | FISERV INC REGD 3.85000000                                                                       | CUSIP: 337738AP3<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4843964.30    | 0.03%             | 2025-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM6448 3.25% 09/01/26                           | FANNIE MAE POOL UMBS P#AM6448 3.25000000                                                         | CUSIP: 3138L7EW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1384902 | NS      | $1321706.47    | 0.01%             | 2026-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FGLMC P#V60283 3% 09/01/28                             | FREDDIE MAC GOLD POOL P#V60283 3.00000000                                                        | CUSIP: 3132KEJ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1148870 | NS      | $1103387.19    | 0.01%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| G2SF 30 YR TBA 3.5% JAN 23                             | G2SF 30 YR TBA 3.5% JAN 23     TO BE ANNOUNCED 3.50000000                                        | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1620000 | NS      | $1488156.66    | 0.01%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT 5.5% 07/31/47                         | MEXICO CITY ARPT TRUST REGD 144A P/P 5.50000000                                                  | CUSIP: 59284MAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   3902000 | NS      | $3004540.00    | 0.02%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#920934 6.5% 01/01/37                            | FANNIE MAE POOL UMBS P#920934 6.50000000                                                         | CUSIP: 31412CEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31410 | NS      | $32030.85      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CAFL 2019-3 B 3.163% 09/15/29                          | COREVEST AMERICAN FINANCE 2019-3 TRUST SER 2019-3 CL B REGD 144A P/P 3.16300000                  | CUSIP: 21872NAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2250000 | NS      | $1904993.78    | 0.01%             | 2052-10-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4586 2% 04/01/42                              | FANNIE MAE POOL UMBS P#MA4586 2.00000000                                                         | CUSIP: 31418ECY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6677419 | NS      | $5628639.14    | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC 2.95% 09/01/29                            | NISOURCE INC REGD 2.95000000                                                                     | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1520000 | NS      | $1318285.10    | 0.01%             | 2029-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 11/23/25                         | STANDARD CHARTERED PLC REGD V/R 144A P/P 1.82200000                                              | CUSIP: 853254CE8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  10598000 | NS      | $9679616.96    | 0.06%             | 2025-11-23      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| SIEMENS FINANCI 2.35% 10/15/26                         | SIEMENS FINANCIERINGSMAT REGD 144A P/P 2.35000000                                                | CUSIP: 82620KAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    700000 | NS      | $636894.61     | 0.00%             | 2026-10-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.625% 08/15/30                           | UNITED STATES TREASURY NOTE 0.62500000                                                           | CUSIP: 91282CAE1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2700000 | NS      | $2125300.79    | 0.01%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| GRNPK 2018-1A A2 V/R 04/15/31                          | GREENWOOD PARK CLO LTD SER 2018-1A CL A2 V/R REGD 144A P/P 5.08914000                            | CUSIP: 39729RAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  23000000 | NS      | $22655690.00   | 0.15%             | 2031-04-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNR 2001-49 Z 6.5% 09/25/31                            | FANNIE MAE REMICS SER 2001-49 CL Z 6.50000000                                                    | CUSIP: 313921AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3830 | NS      | $3968.29       | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#688655 6% 03/01/33                              | FANNIE MAE POOL UMBS P#688655 6.00000000                                                         | CUSIP: 31400JBY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       514 | NS      | $521.47        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD OPERATI 2.8% 06/15/31                         | SAFEHOLD OPERATING PARTN REGD 2.80000000                                                         | CUSIP: 78646UAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | NS      | $5372192.77    | 0.03%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CIFC 2021-5A A V/R 07/15/34                            | CIFC FUNDING 2021-V LTD SER 2021-5A CL A V/R REGD 144A P/P 5.21914000                            | CUSIP: 12565EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | NS      | $9683680.00    | 0.06%             | 2034-07-15      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BB8816 4.5% 04/20/48                         | GINNIE MAE II POOL P#BB8816 4.50000000                                                           | CUSIP: 3617B0YM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1191465 | NS      | $1165672.06    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS3293 4% 09/01/44                              | FANNIE MAE POOL UMBS P#AS3293 4.00000000                                                         | CUSIP: 3138WCUT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    386726 | NS      | $370428.61     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM4518 3.5% 10/01/47                            | FREDDIE MAC POOL UMBS P#ZM4518 3.50000000                                                        | CUSIP: 3131XYAT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    201932 | NS      | $187341.64     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DRIVE 2021-2 B 0.58% 10/16/23                          | DRIVE AUTO RECEIVABLES TRUST 2021-2 SER 2021-2 CL B REGD 0.58000000                              | CUSIP: 262104AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6624531 | NS      | $6541118.11    | 0.04%             | 2025-12-15      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q22043 3.5% 10/01/43                           | FREDDIE MAC GOLD POOL P#Q22043 3.50000000                                                        | CUSIP: 3132JPHU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     90737 | NS      | $84765.45      | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB9551 3% 06/01/43                              | FANNIE MAE POOL UMBS P#AB9551 3.00000000                                                         | CUSIP: 31417GTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1459497 | NS      | $1327956.24    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H04 FB V/R 02/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H04 CL FB V/R 4.49157000                       | CUSIP: 38375UDJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2664099 | NS      | $2653189.97    | 0.02%             | 2064-02-20      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNR 2010-40 FJ V/R 04/25/40                            | FANNIE MAE REMICS SER 2010-40 CL FJ V/R 4.98871000                                               | CUSIP: 31398PQB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16502 | NS      | $16473.51      | 0.00%             | 2040-04-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| TMST 2005-1 A3 V/R 04/25/45                            | TMST 2005-1 A3 V/R 04/25/45 2.41196000                                                           | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    299698 | NS      | $278796.07     | 0.00%             | 2045-04-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| UMBS P#256311 6% 07/01/26                              | FANNIE MAE POOL UMBS P#256311 6.00000000                                                         | CUSIP: 31371MVC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8604 | NS      | $8733.31       | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0047 3% 12/01/47                              | FANNIE MAE POOL UMBS P#FS0047 3.00000000                                                         | CUSIP: 3140XFBR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    939173 | NS      | $840657.73     | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.875% 6/30/26                            | UNITED STATES TREASURY NOTE 0.87500000                                                           | CUSIP: 91282CCJ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  30935000 | NS      | $27662657.03   | 0.18%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| JPMMT 2007-A2 2A V/R 04/25/37                          | JP MORGAN MORTGAGE TRUST 2007-A2 SER 2007-A2 CL 2A3 V/R REGD 3.47970000                          | CUSIP: 46630PAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96377 | NS      | $70737.03      | 0.00%             | 2037-04-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS  4.125% 03/01/42                         | EVERGY KANSAS CENTRAL REGD 4.12500000                                                            | CUSIP: 95709TAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4175000 | NS      | $3466110.05    | 0.02%             | 2042-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNR 2009-10 SA V/R 02/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-10 CL SA V/R 1.59714000                        | CUSIP: 38374TAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     76037 | NS      | $3416.04       | 0.00%             | 2039-02-20      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FI V/R 07/20/27                         | MITSUBISHI UFJ FIN GRP REGD V/R 1.53800000                                                       | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2780000 | NS      | $2410092.25    | 0.02%             | 2027-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8214 3.5% 05/01/52                            | FREDDIE MAC POOL UMBS P#SD8214 3.50000000                                                        | CUSIP: 3132DWDT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6513650 | NS      | $5924248.40    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HERO 2016-4A A 3.57% 09/20/37                          | HERO FUNDING TRUST 2016-4A SER 2016-4A CL A1 REGD 144A P/P 3.57000000                            | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1024337 | NS      | $969081.30     | 0.01%             | 2047-09-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNO 2.75% 04/01/31                         | TELEDYNE TECHNOLOGIES IN REGD 2.75000000                                                         | CUSIP: 879360AE5<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |  12950000 | NS      | $10589227.17   | 0.07%             | 2031-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP 3.875% 07/03/23                         | AIR LEASE CORP REGD 3.87500000                                                                   | CUSIP: 00912XBC7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2500000 | NS      | $2477422.28    | 0.02%             | 2023-07-03      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNA 2014-M3 A2 V/R 01/25/24                            | FANNIE MAE-ACES SER 2014-M3 CL A2 V/R 3.50100000                                                 | CUSIP: 3136AJLC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3058070 | NS      | $3002271.99    | 0.02%             | 2024-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EA 2.742% 08/15/26                         | KEYSPAN GAS EAST CORP REGD 144A P/P 2.74200000                                                   | CUSIP: 49338CAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    538000 | NS      | $480661.82     | 0.00%             | 2026-08-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| LDPT 2020-REV 4.494% 08/15/24                          | LENDINGPOINT 2020-REV1 ASSET SECURITIZATION TRUST SER 2020-REV1 CL B REGD 144A P/P 4.49400000    | CUSIP: 52606YAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8407000 | NS      | $8182600.36    | 0.05%             | 2028-10-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS 1.375% 11/01/27                         | CONAGRA BRANDS INC REGD 1.37500000                                                               | CUSIP: 205887CF7<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   1755000 | NS      | $1462014.16    | 0.01%             | 2027-11-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE0096 5.5% 07/01/25                            | FANNIE MAE POOL UMBS P#AE0096 5.50000000                                                         | CUSIP: 31419ADA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2634 | NS      | $2641.08       | 0.00%             | 2025-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATI 2.25% 04/01/28                         | BRIXMOR OPERATING PART REGD 2.25000000                                                           | CUSIP: 11120VAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1930000 | NS      | $1592718.01    | 0.01%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO1856 3% 08/01/49                              | FANNIE MAE POOL UMBS P#BO1856 3.00000000                                                         | CUSIP: 3140JWB25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12573222 | NS      | $11236282.05   | 0.07%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHA 2.85% 05/15/51                         | BERKSHIRE HATHAWAY ENERG REGD SER WI 2.85000000                                                  | CUSIP: 084659BC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7650000 | NS      | $5008304.37    | 0.03%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1378 V/R 11/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1378 V/R 3.89000000                                                | CUSIP: 3128NHQ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24296 | NS      | $24108.49      | 0.00%             | 2036-11-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| GNMA II P#783444 5.5% 09/20/39                         | GINNIE MAE II POOL P#783444 5.50000000                                                           | CUSIP: 36241LZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53943 | NS      | $55324.98      | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV V/R 06/16/27                          | ABN AMRO BANK NV REGD V/R 144A P/P 1.54200000                                                    | CUSIP: 00084DAU4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   5000000 | NS      | $4300202.10    | 0.03%             | 2027-06-16      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| FNR 2005-72 SB V/R 08/25/35                            | FANNIE MAE REMICS SER 2005-72 CL SB V/R 5.90322500                                               | CUSIP: 31394EWU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12022 | NS      | $12278.92      | 0.00%             | 2035-08-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GNR 2009-79 OK ZCP 11/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-79 CL OK ZCP 0.00000000                        | CUSIP: 38376CXX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    114922 | NS      | $96054.28      | 0.00%             | 2037-11-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXIC 6.49% 01/23/27                         | PETROLEOS MEXICANOS REGD 6.49000000                                                              | CUSIP: 71654QDB5<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   1185000 | NS      | $1079864.05    | 0.01%             | 2027-01-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2562 6% 03/20/28                             | GINNIE MAE II POOL P#2562 6.00000000                                                             | CUSIP: 36202CZ30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2223 | NS      | $2279.14       | 0.00%             | 2028-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN I 5.45% 08/01/52                         | KINDER MORGAN INC REGD 5.45000000                                                                | CUSIP: 49456BAW1<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   5858000 | NS      | $5258016.20    | 0.03%             | 2052-08-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM6871 2.5% 04/01/51                            | FANNIE MAE POOL UMBS P#FM6871 2.50000000                                                         | CUSIP: 3140XAT51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3092885 | NS      | $2627221.44    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HPA 2021-3 E1 3.198% 01/17/29                          | HOME PARTNERS OF AMERICA 2021-3 TRUST SER 2021-3 CL E1 REGD 144A P/P 3.19800000                  | CUSIP: 43730XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5374174 | NS      | $4417302.46    | 0.03%             | 2041-01-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1565 4.5% 12/01/40                            | FANNIE MAE POOL UMBS P#AH1565 4.50000000                                                         | CUSIP: 3138A2W39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    636598 | NS      | $631078.44     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#5175 4.5% 09/20/41                           | GINNIE MAE II POOL P#5175 4.50000000                                                             | CUSIP: 36202FXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    283571 | NS      | $283016.40     | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE E 3.6% 12/01/47                         | PUBLIC SERVICE ELECTRIC REGD MTN 3.60000000                                                      | CUSIP: 74456QBT2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1605000 | NS      | $1218793.63    | 0.01%             | 2047-12-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA 7.125% 01/15/30                                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION 7.12500000                                                 | CUSIP: 31359MFJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | NS      | $1779157.74    | 0.01%             | 2030-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CLARK CNTY NV S 5.51% 06/15/24                         | CLARK CNTY NV SCH DIST REGD N/C OID B/E 5.51000000                                               | CUSIP: 181059QF6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1700000 | NS      | $1714561.35    | 0.01%             | 2024-06-15      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE L V/R 06/16/26                         | CREDIT AGRICOLE LONDON REGD V/R 144A P/P MTN 1.90700000                                          | CUSIP: 22535WAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   6715000 | NS      | $6120894.27    | 0.04%             | 2026-06-16      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| CNART 2021-2A B 1.3% 01/15/26                          | CARNOW AUTO RECEIVABLES TRUST 2021-2 SER 2021-2A CL B REGD 144A P/P 1.30000000                   | CUSIP: 14369HAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2041516 | NS      | $2005170.09    | 0.01%             | 2026-01-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELEC 4% 12/01/46                         | PACIFIC GAS & ELECTRIC REGD 4.00000000                                                           | CUSIP: 694308HR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2289000 | NS      | $1532447.07    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB4827 3.5% 04/01/42                            | FANNIE MAE POOL UMBS P#AB4827 3.50000000                                                         | CUSIP: 31417BLH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97195 | NS      | $90980.15      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H07 HA V/R 03/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H07 CL HA V/R 4.25157000                       | CUSIP: 38375BQ96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    379939 | NS      | $376503.73     | 0.00%             | 2063-03-20      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL3876 V/R 06/01/23                             | FANNIE MAE POOL UMBS P#AL3876 V/R 2.40000000                                                     | CUSIP: 3138ELJW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    198943 | NS      | $196660.73     | 0.00%             | 2023-06-01      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 11/15/27                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833QB9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4607000 | NS      | $3779382.58    | 0.02%             | 2027-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSFB 2003-1 DB1 V/R 02/25/33                           | CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP SER 2003-1 CL DB1 V/R REGD 6.65626900        | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46860 | NS      | $45202.93      | 0.00%             | 2033-02-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q49494 4.5% 07/01/47                           | FREDDIE MAC GOLD POOL P#Q49494 4.50000000                                                        | CUSIP: 3132WPRQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    486123 | NS      | $476900.06     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARMX 2020-3 A 0.77% 06/17/24                          | CARMAX AUTO OWNER TRUST 2020-3 SER 2020-3 CL A4 REGD 0.77000000                                  | CUSIP: 14315FAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2901000 | NS      | $2753847.36    | 0.02%             | 2026-03-16      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07849 3.5% 05/01/44                           | FREDDIE MAC GOLD POOL P#G07849 3.50000000                                                        | CUSIP: 3128MABS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7645290 | NS      | $7159808.71    | 0.05%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016- 3.1% 07/07/28                         | UNITED AIR 2016-1 AA PTT REGD SER AA 3.10000000                                                  | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5881998 | NS      | $5302564.68    | 0.03%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD 3.9% 04/06/28                            | AIA GROUP LTD REGD P/P 3.90000000                                                                | CUSIP: 00131LAF2<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   1000000 | NS      | $938927.40     | 0.01%             | 2028-04-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AMCAR 2021-1 A 0.37% 09/18/23                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-1 SER 2021-1 CL A3 REGD 0.37000000                 | CUSIP: 03063FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3741056 | NS      | $3676659.14    | 0.02%             | 2025-08-18      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| AID-ISRAEL ZCP 09/15/23                                | AID-ISRAEL REGD ZCP SER 2-Z 0.00000000                                                           | CUSIP: 465139CA9<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |   1837000 | NS      | $1777715.31    | 0.01%             | 2023-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3037 5% 08/20/45                           | GINNIE MAE II POOL P#MA3037 5.00000000                                                           | CUSIP: 36179RLS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    360779 | NS      | $366557.57     | 0.00%             | 2045-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ3086 3.5% 11/01/41                            | FANNIE MAE POOL UMBS P#AJ3086 3.50000000                                                         | CUSIP: 3138AUNC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    138405 | NS      | $129558.39     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ7604 2% 11/01/50                              | FANNIE MAE POOL UMBS P#BQ7604 2.00000000                                                         | CUSIP: 3140KTNW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    376838 | NS      | $308204.10     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785294 3.5% 01/20/51                         | GINNIE MAE II POOL P#785294 3.50000000                                                           | CUSIP: 3622AAXX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8757575 | NS      | $7960954.74    | 0.05%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 3316 PO ZCP 05/15/37                               | FREDDIE MAC REMICS SER 3316 CL PO ZCP 0.00000000                                                 | CUSIP: 31397HKV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20930 | NS      | $16447.47      | 0.00%             | 2037-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MALT 2004-7 30PO ZCP 08/25/34                          | MASTR ALTERNATIVE LOAN TRUST 2004-7 SER 2004-7 CL 30PO ZCP REGD 0.00000000                       | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10730 | NS      | $7892.44       | 0.00%             | 2034-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CAFL 2019-3 A 2.705% 07/15/29                          | COREVEST AMERICAN FINANCE 2019-3 TRUST SER 2019-3 CL A REGD 144A P/P 2.70500000                  | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3193431 | NS      | $2990534.32    | 0.02%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| SASC 2003-37A 8A V/R 12/25/33                          | STRUCTURED ASSET SECURITIES CORP MORTGAGE PASS SER 2003-37A CL 8A2 V/R REGD 4.02611200           | CUSIP: 86359BCM1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    734859 | NS      | $700571.74     | 0.00%             | 2033-12-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J25251 3% 08/01/28                             | FREDDIE MAC GOLD POOL P#J25251 3.00000000                                                        | CUSIP: 31307DZQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    322110 | NS      | $309659.08     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TCI COMMUNICAT 7.125% 02/15/28                         | TCI COMMUNICATIONS INC REGD 7.12500000                                                           | CUSIP: 872287AL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    138000 | NS      | $150600.94     | 0.00%             | 2028-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#995203 5% 07/01/35                              | FANNIE MAE POOL UMBS P#995203 5.00000000                                                         | CUSIP: 31416BRY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1095226 | NS      | $1099533.42    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3940 5% 09/20/46                           | GINNIE MAE II POOL P#MA3940 5.00000000                                                           | CUSIP: 36179SLV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    870452 | NS      | $885228.73     | 0.01%             | 2046-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1380 V/R 03/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1380 V/R 3.66600000                                                | CUSIP: 3128NHQ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11167 | NS      | $11163.32      | 0.00%             | 2036-03-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2278 2% 12/01/51                              | FANNIE MAE POOL UMBS P#CB2278 2.00000000                                                         | CUSIP: 3140QMQ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13441606 | NS      | $11069258.76   | 0.07%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2007-19 SD V/R 04/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-19 CL SD V/R 1.84714000                        | CUSIP: 38375JTV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40574 | NS      | $855.83        | 0.00%             | 2037-04-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA 5% 05/18/27                             | VAR ENERGI ASA REGD 144A P/P 5.00000000                                                          | CUSIP: 92212WAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |  11460000 | NS      | $10738427.63   | 0.07%             | 2027-05-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.875% 02/28/29                           | UNITED STATES TREASURY NOTE 1.87500000                                                           | CUSIP: 91282CEB3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  33900000 | NS      | $30021363.37   | 0.19%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNR 05-84 XM 5.75% 10/25/35                            | FNR 05-84 XM 5.75% 10/25/35 5.75000000                                                           | CUSIP: 31394FN50<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34093 | NS      | $34370.57      | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S V/R 09/11/26                           | DANSKE BANK A/S REGD V/R 144A P/P 1.62100000                                                     | CUSIP: 23636AAZ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   2000000 | NS      | $1761471.70    | 0.01%             | 2026-09-11      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| AMGEN INC 1.65% 08/15/28                               | AMGEN INC REGD 1.65000000                                                                        | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1155000 | NS      | $963046.76     | 0.01%             | 2028-08-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCI 4.1% 02/09/27                         | DISCOVER FINANCIAL SVS REGD 4.10000000                                                           | CUSIP: 254709AM0<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   3471000 | NS      | $3266192.85    | 0.02%             | 2027-02-09      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHR 2802 OH 6% 05/15/34                                | FREDDIE MAC REMICS SER 2802 CL OH 6.00000000                                                     | CUSIP: 31394YPD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     43609 | NS      | $44300.26      | 0.00%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#H05030 6% 11/01/36                             | FREDDIE MAC GOLD POOL P#H05030 6.00000000                                                        | CUSIP: 3128MXST7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6389 | NS      | $6451.66       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN2 1.997% 11/15/30                          | BANK 2020-BNK29 SER 2020-BN29 CL A4 REGD 1.99700000                                              | CUSIP: 06541TBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11175000 | NS      | $8850987.77    | 0.06%             | 2053-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC 3.8% 04/01/32                              | WORKDAY INC REGD 3.80000000                                                                      | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   2910000 | NS      | $2568764.41    | 0.02%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1836 2.5% 05/01/52                            | FANNIE MAE POOL UMBS P#FS1836 2.50000000                                                         | CUSIP: 3140XHBE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  34457562 | NS      | $29376701.14   | 0.19%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAFC 2005-8 30PO ZCP 01/25/36                          | BANC OF AMERICA FUNDING 2005-8 TRUST SER 2005-8 CL 30PO ZCP REGD 0.00000000                      | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3312 | NS      | $2129.46       | 0.00%             | 2036-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.999% 11/01/49                           | COMCAST CORP REGD SER WI 3.99900000                                                              | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    638000 | NS      | $503444.61     | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDI 3.9% 12/01/41                         | SOUTHERN CAL EDISON REGD 3.90000000                                                              | CUSIP: 842400FT5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    392000 | NS      | $294200.56     | 0.00%             | 2041-12-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| MALT 2005-6 3A1 5.5% 12/25/35                          | MASTR ALTERNATIVE LOAN TRUST 2005-6 SER 2005-6 CL 3A1 REGD 5.50000000                            | CUSIP: 576434W59<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7942 | NS      | $5543.70       | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7079 3% 11/01/42                              | FANNIE MAE POOL UMBS P#AB7079 3.00000000                                                         | CUSIP: 31417D2M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1261211 | NS      | $1147676.29    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN 2.691% 09/15/31                         | STELLANTIS FIN US INC REGD 144A P/P 2.69100000                                                   | CUSIP: 85855CAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2008000 | NS      | $1532108.72    | 0.01%             | 2031-09-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH0936 3.5% 12/01/40                            | FANNIE MAE POOL UMBS P#AH0936 3.50000000                                                         | CUSIP: 3138A2BE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37456 | NS      | $35052.10      | 0.00%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SASC 2005-RF3 1A V/R 06/25/35                          | STRUCTURED ASSET SECURITIES CORP SER 2005-RF3 CL 1A V/R REGD 4.73871000                          | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45799 | NS      | $42497.29      | 0.00%             | 2035-06-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| CWL 2004-S1 A3 V/R 02/25/35                            | COUNTRYWIDE ASSET-BACKED CERTIFICATES SER 2004-S1 CL A3 V/R REGD 5.11500000                      | CUSIP: 126673TD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7395 | NS      | $7298.63       | 0.00%             | 2035-02-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD1143 4.5% 09/01/50                            | FREDDIE MAC POOL UMBS P#SD1143 4.50000000                                                        | CUSIP: 3132DNHU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5100794 | NS      | $4983208.06    | 0.03%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 3645 KZ 5.5% 08/15/36                              | FREDDIE MAC REMICS SER 3645 CL KZ 5.50000000                                                     | CUSIP: 31398VFA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27754 | NS      | $28214.15      | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTROCK MWV LLC 8.2% 01/15/30                         | WESTROCK MWV LLC REGD 8.20000000                                                                 | CUSIP: 961548AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    537000 | NS      | $605517.99     | 0.00%             | 2030-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.25% 12/31/26                            | UNITED STATES TREASURY NOTE 1.25000000                                                           | CUSIP: 91282CDQ1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   8469000 | NS      | $7584055.64    | 0.05%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE 6.625% 11/15/37                         | PUBLIC SERVICE OKLAHOMA REGD SER G 6.62500000                                                    | CUSIP: 744533BJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    649000 | NS      | $680025.35     | 0.00%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| AIRBUS SE 3.95% 04/10/47                               | AIRBUS SE REGD 144A P/P 3.95000000                                                               | CUSIP: 009279AC4<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | FR        |    150000 | NS      | $121435.37     | 0.00%             | 2047-04-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ALBEMARLE CORP 5.45% 12/01/44                          | ALBEMARLE CORP REGD SER 30YR 5.45000000                                                          | CUSIP: 012725AD9<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | DBT              | CORP              | US        |    600000 | NS      | $542182.65     | 0.00%             | 2044-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#888656 6.5% 04/01/25                            | FANNIE MAE POOL UMBS P#888656 6.50000000                                                         | CUSIP: 31410GH97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67 | NS      | $68.94         | 0.00%             | 2025-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FO 4.375% 06/01/46                         | KRAFT HEINZ FOODS CO REGD SER WI 4.37500000                                                      | CUSIP: 50077LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11542000 | NS      | $9379063.48    | 0.06%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COMISION FEDER 4.688% 05/15/29                         | COMISION FEDERAL DE ELEC REGD 144A P/P 4.68800000                                                | CUSIP: 200447AL4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   3900000 | NS      | $3449273.49    | 0.02%             | 2029-05-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| FNGT 1999-T2 A1 V/R 01/19/39                           | FANNIE MAE GRANTOR TRUST 1999-T2 SER 1999-T2 CL A1 V/R 7.50000000                                | CUSIP: 31359VYH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36642 | NS      | $36927.10      | 0.00%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL  4.375% 04/22/49                         | AMERICA MOVIL SAB DE CV REGD 4.37500000                                                          | CUSIP: 02364WBG9<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |   1214000 | NS      | $1036889.54    | 0.01%             | 2049-04-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H19 FE V/R 09/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H19 CL FE V/R 4.31157000                       | CUSIP: 38375UPU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2320779 | NS      | $2296518.53    | 0.01%             | 2064-09-20      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHR 3022 SX V/R 08/15/25                               | FREDDIE MAC REMICS SER 3022 CL SX V/R 6.08035000                                                 | CUSIP: 31395XHN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1273 | NS      | $1220.11       | 0.00%             | 2025-08-15      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| UMBS P#256051 5.5% 12/01/35                            | FANNIE MAE POOL UMBS P#256051 5.50000000                                                         | CUSIP: 31371ML88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8940 | NS      | $8950.07       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2013-75 WA V/R 06/20/40                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-75 CL WA V/R 5.11730000                        | CUSIP: 38378J4C3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83207 | NS      | $83501.08      | 0.00%             | 2040-06-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNR 2006-33 Z 6.5% 07/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-33 CL Z 6.50000000                             | CUSIP: 38374DEC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    135444 | NS      | $140799.61     | 0.00%             | 2036-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60988 3% 05/01/47                             | FREDDIE MAC GOLD POOL P#G60988 3.00000000                                                        | CUSIP: 31335BCZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7591148 | NS      | $6808763.66    | 0.04%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4321 3.5% 03/20/47                         | GINNIE MAE II POOL P#MA4321 3.50000000                                                           | CUSIP: 36179SYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121484 | NS      | $113322.77     | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA V/R 03/30/28                              | DNB BANK ASA REGD V/R 144A P/P 1.60500000                                                        | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   3435000 | NS      | $2905875.07    | 0.02%             | 2028-03-30      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.75% 01/15/28                                 | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75000000                                        | CUSIP: 912810PV4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    853512 | NS      | $852921.16     | 0.01%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDE 5.147% 08/18/25                         | BANCO SANTANDER SA REGD 5.14700000                                                               | CUSIP: 05964HAR6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2200000 | NS      | $2175648.93    | 0.01%             | 2025-08-18      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AESOP 2019-3A  2.36% 03/20/25                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2019-3A CL A REGD 144A P/P 2.36000000               | CUSIP: 05377RDQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12000000 | NS      | $11168504.40   | 0.07%             | 2026-03-20      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| FNR 2021-3 JI 2.5% 02/25/51                            | FANNIE MAE REMICS SER 2021-3 CL JI 2.50000000                                                    | CUSIP: 3136BDQ27<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11936699 | NS      | $1591640.61    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM4660 3.765% 12/01/25                          | FANNIE MAE POOL UMBS P#AM4660 3.76500000                                                         | CUSIP: 3138L5FA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3267840 | NS      | $3199045.82    | 0.02%             | 2025-12-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| RALI 2004-QS6 A1 5% 05/25/19                           | RALI SERIES 2004-QS6 TRUST SER 2004-QS6 CL A1 REGD 5.00000000                                    | CUSIP: 76110HTG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       778 | NS      | $723.78        | 0.00%             | 2023-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH COR 4.875% 07/20/35                         | CVS HEALTH CORP REGD 4.87500000                                                                  | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2515000 | NS      | $2388424.78    | 0.02%             | 2035-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNR 2006-117 GS V/R 12/25/36                           | FANNIE MAE REMICS SER 2006-117 CL GS V/R 2.26129000                                              | CUSIP: 31396LD23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     62769 | NS      | $3518.97       | 0.00%             | 2036-12-25      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| SCART 2021-AA  0.48% 08/15/24                          | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2021-A SER 2021-AA CL A4 REGD 144A P/P 0.48000000      | CUSIP: 80282YAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3258000 | NS      | $3066903.64    | 0.02%             | 2026-06-15      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| UMBS P#995002 5% 07/01/37                              | FANNIE MAE POOL UMBS P#995002 5.00000000                                                         | CUSIP: 31416BKP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    325210 | NS      | $332100.50     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 06/09/32                          | SOCIETE GENERALE REGD V/R 144A P/P 2.88900000                                                    | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   8975000 | NS      | $6904712.88    | 0.04%             | 2032-06-09      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4720 4% 09/20/47                           | GINNIE MAE II POOL P#MA4720 4.00000000                                                           | CUSIP: 36179TG58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    948290 | NS      | $912772.68     | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-44 PU 7% 09/25/31                             | FANNIE MAE REMICS SER 2001-44 CL PU 7.00000000                                                   | CUSIP: 3139204T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2607 | NS      | $2759.34       | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NZES 2021-FNT 3.228% 05/25/26                          | NRZ EXCESS SPREAD-COLLATERALIZED  SER 2021-FNT2 CL A REGD 144A P/P 3.22800000                    | CUSIP: 62955WAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6083410 | NS      | $5387365.43    | 0.03%             | 2026-05-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| APRES 2019-1A A1 V/R 10/15/28                          | APRES STATIC CLO LTD SER 2019-1A CL A1R V/R REGD 144A P/P 5.14914000                             | CUSIP: 03835JBA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1672326 | NS      | $1653263.27    | 0.01%             | 2028-10-15      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| GNR 2021-205 DS V/R 11/20/51                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-205 CL DS V/R 0.00000000                       | CUSIP: 38383C3X6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19826425 | NS      | $314201.25     | 0.00%             | 2051-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANC 3.55% 06/15/26                         | EMERA US FINANCE LP REGD SER WI 3.55000000                                                       | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3895000 | NS      | $3648447.12    | 0.02%             | 2026-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP5576 2.5% 06/01/50                            | FANNIE MAE POOL UMBS P#BP5576 2.50000000                                                         | CUSIP: 3140KDFS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4595462 | NS      | $3898081.02    | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP 2.979% 12/15/55                             | NUCOR CORP REGD SER WI 2.97900000                                                                | CUSIP: 670346AU9<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    800000 | NS      | $494857.53     | 0.00%             | 2055-12-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| TMST 2003-5 3A V/R 10/25/43                            | THORNBURG MORTGAGE SECURITIES TRUST 2003-5 SER 2003-5 CL 3A V/R REGD 3.34729600                  | CUSIP: 885220ED1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1063090 | NS      | $1011720.35    | 0.01%             | 2043-10-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR C 4.345% 09/17/27                         | NISSAN MOTOR CO REGD 144A P/P 4.34500000                                                         | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   4222000 | NS      | $3828281.32    | 0.02%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO 5.113% 08/01/27                            | SOUTHERN CO REGD 5.11300000                                                                      | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   4294000 | NS      | $4278062.35    | 0.03%             | 2027-08-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV9931 4% 06/01/52                              | FANNIE MAE POOL UMBS P#BV9931 4.00000000                                                         | CUSIP: 3140MQA90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14556108 | NS      | $13657351.86   | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1287 4.5% 09/20/43                         | GINNIE MAE II POOL P#MA1287 4.50000000                                                           | CUSIP: 36179NNC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    642048 | NS      | $648298.09     | 0.00%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 1999-17 C 6.35% 04/25/29                           | FANNIE MAE REMICS SER 1999-17 CL C 6.35000000                                                    | CUSIP: 31359VSW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1808 | NS      | $1833.32       | 0.00%             | 2029-04-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BP4243 5% 08/20/49                           | GINNIE MAE II POOL P#BP4243 5.00000000                                                           | CUSIP: 3617LAWC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5814082 | NS      | $5920517.50    | 0.04%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#569568 6.5% 01/15/32                            | GINNIE MAE I POOL P#569568 6.50000000                                                            | CUSIP: 36200QW59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31490 | NS      | $32662.17      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATIN 2.5% 08/16/31                         | BRIXMOR OPERATING PART REGD 2.50000000                                                           | CUSIP: 11120VAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1080000 | NS      | $826029.12     | 0.01%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2005-106 US V/R 11/25/35                           | FANNIE MAE REMICS SER 2005-106 CL US V/R 8.47473300                                              | CUSIP: 31394UN81<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     72330 | NS      | $74540.96      | 0.00%             | 2035-11-25      | Variable      | 8.47%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CP1819 V/R 07/20/72                          | GINNIE MAE II POOL P#CP1819 V/R 6.35900000                                                       | CUSIP: 3617FRAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10033392 | NS      | $10548074.59   | 0.07%             | 2072-07-20      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST 7.3% 10/01/39                            | CALIFORNIA ST REGD N/C B/E 7.30000000                                                            | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5260000 | NS      | $6390240.40    | 0.04%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| UST BDS 4.75% 2/15/37 912810PT9                        | UST BDS 4.75% 2/15/37 912810PT9 4.75000000                                                       | CUSIP: 912810PT9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   6162000 | NS      | $6731503.62    | 0.04%             | 2037-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCIN 3.4% 03/01/27                         | LEVEL 3 FINANCING INC REGD 144A P/P 3.40000000                                                   | CUSIP: 527298BP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | NS      | $2957449.04    | 0.02%             | 2027-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO 5.3% 10/01/41                             | EVERGY METRO REGD 5.30000000                                                                     | CUSIP: 485134BM1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1032000 | NS      | $984970.41     | 0.01%             | 2041-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| LCCM 2017-LC2 3.289% 04/10/27                          | LCCM 2017-LC26 SER 2017-LC26 CL A3 REGD 144A P/P 3.28900000                                      | CUSIP: 50190DAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15067493 | NS      | $13861306.64   | 0.09%             | 2050-07-12      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FHR 1720 PL 7.5% 04/15/24                              | FREDDIE MAC REMICS SER 1720 CL PL 7.50000000                                                     | CUSIP: 3133T5DV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1054 | NS      | $1057.90       | 0.00%             | 2024-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 3704 DT 7.5% 11/15/36                              | FREDDIE MAC REMICS SER 3704 CL DT 7.50000000                                                     | CUSIP: 3137A0Y41<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    266577 | NS      | $286533.61     | 0.00%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A16107 6% 12/01/33                             | FREDDIE MAC GOLD POOL P#A16107 6.00000000                                                        | CUSIP: 31296QYC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9294 | NS      | $9450.65       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#821378 V/R 05/01/35                             | FANNIE MAE POOL UMBS P#821378 V/R 3.03600000                                                     | CUSIP: 31406VQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4844 | NS      | $4712.45       | 0.00%             | 2035-05-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4587 2.5% 04/01/42                            | FANNIE MAE POOL UMBS P#MA4587 2.50000000                                                         | CUSIP: 31418ECZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9217074 | NS      | $8015238.70    | 0.05%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7936 2.5% 03/20/52                         | GINNIE MAE II POOL P#MA7936 2.50000000                                                           | CUSIP: 36179WY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11483054 | NS      | $9951671.22    | 0.06%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M11 A 2.98% 08/25/29                          | FANNIE MAE-ACES SER 2017-M11 CL A2 2.98000000                                                    | CUSIP: 3136AX3J2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200000 | NS      | $2000854.90    | 0.01%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC 2.9% 11/18/26                              | EQUINIX INC REGD 2.90000000                                                                      | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   2580000 | NS      | $2358110.38    | 0.02%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD1345 2.5% 10/01/51                            | FREDDIE MAC POOL UMBS P#SD1345 2.50000000                                                        | CUSIP: 3132DNP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2480452 | NS      | $2102809.55    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF 2015-K45 B V/R 02/25/25                          | FREMF 2015-K45 MORTGAGE TRUST SER 2015-K45 CL B V/R REGD 3.61010700                              | CUSIP: 30292PAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2135000 | NS      | $2037627.56    | 0.01%             | 2048-04-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR 2.538% 05/17/26                          | PROGRESS RESIDENTIAL 2021-SFR3 SER 2021-SFR3 CL E1 REGD 144A P/P 2.53800000                      | CUSIP: 74333VAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6250000 | NS      | $5287900.63    | 0.03%             | 2026-05-17      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FNR 1996-48 Z 7% 11/25/26                              | FANNIE MAE REMICS SER 1996-48 CL Z 7.00000000                                                    | CUSIP: 31359KXE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3912 | NS      | $3929.76       | 0.00%             | 2026-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU0972 3% 08/01/43                              | FANNIE MAE POOL UMBS P#AU0972 3.00000000                                                         | CUSIP: 3138X0CJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2398387 | NS      | $2182400.79    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA  4% 03/15/33                         | ENTERGY LOUISIANA LLC REGD 4.00000000                                                            | CUSIP: 29364WBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2610000 | NS      | $2355463.09    | 0.02%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1144 3% 03/01/52                              | FANNIE MAE POOL UMBS P#FS1144 3.00000000                                                         | CUSIP: 3140XGHW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11980678 | NS      | $10565417.95   | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAS 2022-R01 1M2 V/R 12/25/41                          | CONNECTICUT AVENUE SECURITIES TRUST 2022-R01 SER 2022-R01 CL 1M2 V/R REGD 144A P/P 5.82768000    | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7380000 | NS      | $7008293.75    | 0.04%             | 2041-12-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH  4.95% 01/15/42                         | ANHEUSER-BUSCH INBEV WOR REGD 4.95000000                                                         | CUSIP: 035240AG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2735000 | NS      | $2564716.44    | 0.02%             | 2042-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNR 2001-60 PX 6% 11/25/31                             | FANNIE MAE REMICS SER 2001-60 CL PX 6.00000000                                                   | CUSIP: 3139213T3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24411 | NS      | $24973.04      | 0.00%             | 2031-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4333 2% 05/01/41                              | FANNIE MAE POOL UMBS P#MA4333 2.00000000                                                         | CUSIP: 31418DY71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23932266 | NS      | $20381468.35   | 0.13%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 01/07/33                          | DEUTSCHE BANK NY REGD V/R 3.74200000                                                             | CUSIP: 25160PAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | NS      | $3550878.05    | 0.02%             | 2033-01-07      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD 4.2% 04/01/29                              | NUTRIEN LTD REGD 4.20000000                                                                      | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    420000 | NS      | $394507.57     | 0.00%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAG 1.512% 04/15/26                         | GRAPHIC PACKAGING INTERN REGD 144A P/P 1.51200000                                                | CUSIP: 38869PAP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11485000 | NS      | $10018447.73   | 0.06%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| FNR 2002-21 PE 6.5% 04/25/32                           | FANNIE MAE REMICS SER 2002-21 CL PE 6.50000000                                                   | CUSIP: 31392CPT5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10914 | NS      | $11299.43      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS0294 3% 08/01/28                              | FANNIE MAE POOL UMBS P#AS0294 3.00000000                                                         | CUSIP: 3138W9KG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    446063 | NS      | $428027.37     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 3181 AZ 6.5% 07/15/36                              | FREDDIE MAC REMICS SER 3181 CL AZ 6.50000000                                                     | CUSIP: 31396UQN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39879 | NS      | $41691.72      | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROG 4.2% 08/15/45                         | DUKE ENERGY PROGRESS LLC REGD 4.20000000                                                         | CUSIP: 26442UAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | NS      | $271823.27     | 0.00%             | 2045-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016 3.45% 07/07/28                         | UNITED AIR 2016-1 A PTT REGD SER A 3.45000000                                                    | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1306707 | NS      | $1099493.78    | 0.01%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS  1.65% 10/15/27                         | STEEL DYNAMICS INC REGD 1.65000000                                                               | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |   1637000 | NS      | $1371563.97    | 0.01%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CO 5.875% 04/01/26                         | HF SINCLAIR CORP REGD SER WI 5.87500000                                                          | CUSIP: 403949AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4573000 | NS      | $4576839.63    | 0.03%             | 2026-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3183 4% 11/01/47                              | FANNIE MAE POOL UMBS P#MA3183 4.00000000                                                         | CUSIP: 31418CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2505215 | NS      | $2395105.91    | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G61502 5% 02/01/48                             | FREDDIE MAC GOLD POOL P#G61502 5.00000000                                                        | CUSIP: 31335BU38<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    697333 | NS      | $699629.26     | 0.00%             | 2048-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAPTIST HEALTHC 3.54% 08/15/50                         | BAPTIST HEALTHCARE REGD SER 20B 3.54000000                                                       | CUSIP: 06684QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2280000 | NS      | $1636483.89    | 0.01%             | 2050-08-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| ACTIVISION BLIZ 1.35% 09/15/30                         | ACTIVISION BLIZZARD REGD 1.35000000                                                              | CUSIP: 00507VAP4<br>LEI: 549300TPQQDBP9GNOF40 | Long             | DBT              | CORP              | US        |   1423000 | NS      | $1111973.14    | 0.01%             | 2030-09-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| HAROT 2020-3 A 0.46% 11/20/23                          | HONDA AUTO RECEIVABLES 2020-3 OWNER TRUST SER 2020-3 CL A4 REGD 0.46000000                       | CUSIP: 43813KAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5701000 | NS      | $5452307.56    | 0.03%             | 2027-04-19      | Fixed         | 0.46%                 | No            |                  2 | On Loan: No      |
| FNR 2006-65 QO ZCP 07/25/36                            | FANNIE MAE REMICS SER 2006-65 CL QO ZCP 0.00000000                                               | CUSIP: 31396KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18571 | NS      | $15657.92      | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL1459 4% 10/01/41                              | FANNIE MAE POOL UMBS P#AL1459 4.00000000                                                         | CUSIP: 3138EHTR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    487249 | NS      | $467934.43     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QU7450 2.5% 07/01/50                            | FREDDIE MAC POOL UMBS P#QU7450 2.50000000                                                        | CUSIP: 3133JLH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1453257 | NS      | $1220020.75    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOODG 2017-2A  3.26% 10/15/53                          | GOODGREEN 2017-2 TRUST SER 2017-2A CL A REGD 144A P/P 3.26000000                                 | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2021786 | NS      | $1816416.00    | 0.01%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| MALT 2003-9 2A1 6% 12/25/33                            | MASTR ALTERNATIVE LOAN TRUST 2003-9 SER 2003-9 CL 2A1 REGD 6.00000000                            | CUSIP: 576434KV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21713 | NS      | $21043.96      | 0.00%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-58 IG V/R 07/25/36                            | FANNIE MAE REMICS SER 2006-58 CL IG V/R 2.13129000                                               | CUSIP: 31395NE86<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16516 | NS      | $1211.33       | 0.00%             | 2036-07-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH2905 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH2905 4.00000000                                                         | CUSIP: 3138A4GP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    420254 | NS      | $403592.39     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LMT 2007-6 1A8 6% 07/25/37                             | LEHMAN MORTGAGE TRUST 2007-6 SER 2007-6 CL 1A8 REGD 6.00000000                                   | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11009 | NS      | $8856.88       | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3200 AY 5.5% 08/15/36                              | FREDDIE MAC REMICS SER 3200 CL AY 5.50000000                                                     | CUSIP: 31397AGM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     77839 | NS      | $79129.25      | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR 2005-7F 3A9 6% 09/25/35                            | GSR MORTGAGE LOAN TRUST 2005-7F SER 2005-7F CL 3A9 REGD 6.00000000                               | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50928 | NS      | $48501.12      | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2014-188 W V/R 10/20/41                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-188 CL W V/R 4.55434000                        | CUSIP: 38379HTQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    286863 | NS      | $281718.80     | 0.00%             | 2041-10-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINAN 4.35% 02/15/28                         | TOLL BROS FINANCE CORP REGD SER 10YR 4.35000000                                                  | CUSIP: 88947EAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17435000 | NS      | $15840767.31   | 0.10%             | 2028-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN1330 3.19% 03/01/36                           | FANNIE MAE POOL UMBS P#AN1330 3.19000000                                                         | CUSIP: 3138LDPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2230282 | NS      | $2051198.33    | 0.01%             | 2036-03-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO S/UP 08/01/24                              | SOUTHERN CO REGD S/UP 4.47500000                                                                 | CUSIP: 842587DC8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   9015000 | NS      | $8902046.38    | 0.06%             | 2024-08-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHS 197 PO ZCP 04/01/28                                | FREDDIE MAC STRIPS SER 197 CL PO ZCP 0.00000000                                                  | CUSIP: 31351BWQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24304 | NS      | $22147.96      | 0.00%             | 2028-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2275 2.5% 12/01/51                            | FANNIE MAE POOL UMBS P#CB2275 2.50000000                                                         | CUSIP: 3140QMQ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7085141 | NS      | $6012356.20    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2009-86 OT ZCP 10/25/37                            | FANNIE MAE REMICS SER 2009-86 CL OT ZCP 0.00000000                                               | CUSIP: 31398FRT0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    276458 | NS      | $223022.93     | 0.00%             | 2037-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP 2.5% 09/15/24                              | AMEREN CORP REGD 2.50000000                                                                      | CUSIP: 023608AH5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |   2153000 | NS      | $2059269.06    | 0.01%             | 2024-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASS MUTUAL LI 3.729% 10/15/70                         | MASS MUTUAL LIFE INS CO REGD 144A P/P 3.72900000                                                 | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |   2690000 | NS      | $1762903.82    | 0.01%             | 2070-10-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| GNR 2005-72 AZ 5.5% 09/20/35                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-72 CL AZ 5.50000000                            | CUSIP: 38374L7K1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     67186 | NS      | $67954.02      | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6937 3% 09/01/50                              | FANNIE MAE POOL UMBS P#CA6937 0.00000000                                                         | CUSIP: 3140QEV74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5377805 | NS      | $4741612.61    | 0.03%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2000-2 ZE 7.5% 02/25/30                            | FANNIE MAE REMICS SER 2000-2 CL ZE 7.50000000                                                    | CUSIP: 31359XSV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15405 | NS      | $16162.18      | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#848115 V/R 11/01/36                            | FREDDIE MAC NON GOLD POOL P#848115 V/R 3.75100000                                                | CUSIP: 31300LAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14966 | NS      | $15072.90      | 0.00%             | 2036-11-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8141 2.5% 04/01/51                            | FREDDIE MAC POOL UMBS P#SD8141 2.50000000                                                        | CUSIP: 3132DWBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24613971 | NS      | $20906756.21   | 0.13%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.25% 06/30/29                            | UNITED STATES TREASURY NOTE 3.25000000                                                           | CUSIP: 91282CEV9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  40000000 | NS      | $38278124.80   | 0.25%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOT 4.7% 06/15/32                         | O'REILLY AUTOMOTIVE INC REGD 4.70000000                                                          | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   3150000 | NS      | $3044698.21    | 0.02%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CRVNA 2021-P3  1.03% 03/10/26                          | CARVANA AUTO RECEIVABLES TRUST 2021-P3 SER 2021-P3 CL A4 REGD 1.03000000                         | CUSIP: 14687JAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2994000 | NS      | $2608471.00    | 0.02%             | 2027-06-10      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| UMBS P#766610 V/R 01/01/34                             | FANNIE MAE POOL UMBS P#766610 V/R 3.35700000                                                     | CUSIP: 31404EVB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3188 | NS      | $3128.49       | 0.00%             | 2034-01-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| UMBS P#598559 6.5% 08/01/31                            | FANNIE MAE POOL UMBS P#598559 6.50000000                                                         | CUSIP: 31387Y5U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7250 | NS      | $7601.10       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMISION FEDER 4.875% 01/15/24                         | COMISION FEDERAL DE ELEC REGD P/P 4.87500000                                                     | CUSIP: 200447AD2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    322000 | NS      | $318619.00     | 0.00%             | 2024-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AALLC 2021-1H B 1.9% 10/20/40                          | ACCELERATED 2021-1H LLC SER 2021-1H CL B REGD 144A P/P 1.90000000                                | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2884989 | NS      | $2537075.35    | 0.02%             | 2040-10-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA4515 4% 02/01/51                              | FREDDIE MAC POOL UMBS P#RA4515 4.00000000                                                        | CUSIP: 3133KLAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3789194 | NS      | $3588823.67    | 0.02%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 3.15% 12/15/29                             | PHILLIPS 66 REGD 144A P/P 3.15000000                                                             | CUSIP: 718547AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19655000 | NS      | $17146465.37   | 0.11%             | 2029-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| HPA 2021-2 E2 2.952% 12/17/26                          | HOME PARTNERS OF AMERICA 2021-2 TRUST SER 2021-2 CL E2 REGD 144A P/P 2.95200000                  | CUSIP: 43732VAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6319491 | NS      | $5156410.31    | 0.03%             | 2026-12-17      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHR 4106 DF V/R 09/15/42                               | FREDDIE MAC REMICS SER 4106 CL DF V/R 4.71786000                                                 | CUSIP: 3137ATVQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    282376 | NS      | $275133.04     | 0.00%             | 2042-09-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| HERTZ 2021-1A  1.21% 12/25/24                          | HERTZ VEHICLE FINANCING LLC SER 2021-1A CL A REGD 144A P/P 1.21000000                            | CUSIP: 42806MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8200000 | NS      | $7575851.26    | 0.05%             | 2025-12-26      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB4438 3.5% 02/01/42                            | FANNIE MAE POOL UMBS P#AB4438 3.50000000                                                         | CUSIP: 31417A4Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126415 | NS      | $118337.37     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q17665 3% 04/01/43                             | FREDDIE MAC GOLD POOL P#Q17665 3.00000000                                                        | CUSIP: 3132J86B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40655 | NS      | $37033.92      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 2.95% 03/01/26                         | PACIFIC GAS & ELECTRIC REGD 2.95000000                                                           | CUSIP: 694308HP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    990000 | NS      | $907335.65     | 0.01%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C68485 7% 07/01/32                             | FREDDIE MAC GOLD POOL P#C68485 7.00000000                                                        | CUSIP: 31287UNA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2329 | NS      | $2370.32       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2209 TC 8% 01/15/30                                | FREDDIE MAC REMICS SER 2209 CL TC 8.00000000                                                     | CUSIP: 3133TNCF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4046 | NS      | $4302.75       | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-36 DE 7% 08/25/31                             | FANNIE MAE REMICS SER 2001-36 CL DE 7.00000000                                                   | CUSIP: 313920LG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14004 | NS      | $14646.78      | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM1205 3% 07/01/49                              | FANNIE MAE POOL UMBS P#FM1205 3.00000000                                                         | CUSIP: 3140X4KT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    826357 | NS      | $732577.47     | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 4746 ZN 3.5% 12/15/47                              | FREDDIE MAC REMICS SER 4746 CL ZN 3.50000000                                                     | CUSIP: 3137FCYW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5954714 | NS      | $5351858.29    | 0.03%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA4549 2.5% 02/01/51                            | FREDDIE MAC POOL UMBS P#RA4549 2.50000000                                                        | CUSIP: 3133KLBS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13020870 | NS      | $11211185.61   | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FSPC T-51 2A V/R 08/25/42                              | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-51 CL 2A V/R 7.50000000                   | CUSIP: 31392W7D6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31093 | NS      | $31761.38      | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE4038 3% 06/01/52                              | FREDDIE MAC POOL UMBS P#QE4038 3.00000000                                                        | CUSIP: 3133BDPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    227957 | NS      | $200077.24     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2015-144 HP 3% 10/20/45                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-144 CL HP 3.00000000                           | CUSIP: 38379QZV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    663733 | NS      | $590446.63     | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH C 4.7% 02/01/36                         | ANHEUSER-BUSCH CO/INBEV REGD SER * 4.70000000                                                    | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12795000 | NS      | $12084145.75   | 0.08%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#888430 5% 11/01/33                              | FANNIE MAE POOL UMBS P#888430 5.00000000                                                         | CUSIP: 31410GA78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1450985 | NS      | $1481726.76    | 0.01%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-10 A1 V/R 10/25/26                           | PRPM 2021-10 LLC SER 2021-10 CL A1 V/R REGD 144A P/P 2.48700000                                  | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2022861 | NS      | $1870400.57    | 0.01%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANA 6.4% 02/14/35                         | REPUBLIC OF PANAMA REGD 6.40000000                                                               | CUSIP: 698299BT0<br>LEI: N/A                  | Long             | DBT              | USGA              | PA        |   2014000 | NS      | $2043021.62    | 0.01%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#888307 V/R 04/01/37                             | FANNIE MAE POOL UMBS P#888307 V/R 2.22900000                                                     | CUSIP: 31410F3Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9562 | NS      | $9371.38       | 0.00%             | 2037-04-01      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GREAT-WEST LIF 4.581% 05/17/48                         | GREAT-WEST LIFECO FIN 18 REGD 144A P/P 4.58100000                                                | CUSIP: 39138QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | NS      | $533976.74     | 0.00%             | 2048-05-17      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.5% 05/15/46                             | UNITED STATES TREASURY BOND 2.50000000                                                           | CUSIP: 912810RS9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  38500000 | NS      | $28720097.56   | 0.18%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2002-13 SJ V/R 03/25/32                            | FANNIE MAE REMICS SER 2002-13 CL SJ V/R 1.60000000                                               | CUSIP: 31392A7G7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20917 | NS      | $582.82        | 0.00%             | 2032-03-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PROD 5.95% 02/01/41                         | ENTERPRISE PRODUCTS OPER REGD 5.95000000                                                         | CUSIP: 29379VAT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    201000 | NS      | $201369.53     | 0.00%             | 2041-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDE 5.179% 11/19/25                         | BANCO SANTANDER SA REGD 5.17900000                                                               | CUSIP: 05971KAA7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1500000 | NS      | $1475516.81    | 0.01%             | 2025-11-19      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FORDR 2020-2 A 1.06% 10/15/25                          | FORD CREDIT AUTO OWNER TRUST 2020-REV2 SER 2020-2 CL A REGD 144A P/P 1.06000000                  | CUSIP: 34532JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3800000 | NS      | $3402559.14    | 0.02%             | 2033-04-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB  1.65% 03/11/31                         | CHARLES SCHWAB CORP REGD 1.65000000                                                              | CUSIP: 808513BG9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  11130000 | NS      | $8663855.00    | 0.06%             | 2031-03-11      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNR 2008-55 SA V/R 06/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-55 CL SA V/R 1.84714000                        | CUSIP: 38375QK73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23728 | NS      | $783.99        | 0.00%             | 2038-06-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| JPMCC 2006-CB15  V/R 06/12/26                          | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUS SER 2006-CB15 CL X1 V/R REGD 0.29627600      | CUSIP: 46627QBE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    450949 | NS      | $6.09          | 0.00%             | 2043-06-12      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHS 310 PO ZCP 09/15/43                                | FREDDIE MAC STRIPS SER 310 CL PO ZCP 0.00000000                                                  | CUSIP: 3132HTSS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    401765 | NS      | $314845.01     | 0.00%             | 2043-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS1385 4% 12/01/43                              | FANNIE MAE POOL UMBS P#AS1385 4.00000000                                                         | CUSIP: 3138WARF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50766 | NS      | $48624.82      | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2003-1 2 5.25% 10/25/33                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2003-1 CL 2A5 REGD 5.25000000                              | CUSIP: 17307GBH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6161 | NS      | $5880.43       | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHRR R007 ZA 6% 05/15/36                               | FREDDIE MAC REFERENCE REMIC SER R007 CL ZA 6.00000000                                            | CUSIP: 31396NRF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    195523 | NS      | $200509.57     | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT3527 3% 10/01/51                              | FANNIE MAE POOL UMBS P#BT3527 3.00000000                                                         | CUSIP: 3140LR4M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2352773 | NS      | $2066404.79    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.9% 05/15/35                              | ORACLE CORP REGD 3.90000000                                                                      | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    936000 | NS      | $782742.14     | 0.01%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| STACR 2021-DNA7  V/R 11/25/41                          | FREDDIE MAC STACR REMIC TRUST 2021-DNA7 SER 2021-DNA7 CL M1 V/R REGD 144A P/P 4.77768000         | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    370442 | NS      | $364042.25     | 0.00%             | 2041-11-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CN6123 V/R 04/20/72                          | GINNIE MAE II POOL P#CN6123 V/R 6.26100000                                                       | CUSIP: 3617F5YU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9857998 | NS      | $10260288.02   | 0.07%             | 2072-04-20      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U90975 4% 06/01/42                             | FREDDIE MAC GOLD POOL P#U90975 4.00000000                                                        | CUSIP: 3132H4CL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    804500 | NS      | $771551.31     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TVA- GEN STRIP ZCP 07/15/28                            | TENNESSEE VALLEY AUTHORITY GENERIC STRIP ZCP 0.00000000                                          | CUSIP: 88059ENP5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2000000 | NS      | $1550642.16    | 0.01%             | 2028-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS 4.25% 04/15/26                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 4.25000000                                                | CUSIP: 05401AAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1710000 | NS      | $1550202.65    | 0.01%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHR 4238 WY 3% 08/15/33                                | FREDDIE MAC REMICS SER 4238 CL WY 3.00000000                                                     | CUSIP: 3137B4FZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    273279 | NS      | $256530.23     | 0.00%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL  1.9% 08/15/30                         | PIONEER NATURAL RESOURCE REGD 1.90000000                                                         | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |  10650000 | NS      | $8340234.07    | 0.05%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE0218 4.5% 08/01/40                            | FANNIE MAE POOL UMBS P#AE0218 4.50000000                                                         | CUSIP: 31419AG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1361077 | NS      | $1349278.76    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-54 WI V/R 06/25/37                            | FANNIE MAE REMICS SER 2007-54 CL WI V/R 1.71129000                                               | CUSIP: 31396WFF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22634 | NS      | $1767.28       | 0.00%             | 2037-06-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| BABSN LP-2A A V/R 01/20/34                             | BARINGS LOAN PARTNERS CLO LTD 3 SER LP-2A CL A V/R REGD 144A P/P 5.34257000                      | CUSIP: 06763BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  22150000 | NS      | $21713977.25   | 0.14%             | 2034-01-20      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| CARMX 2021-3 A 0.55% 08/15/23                          | CARMAX AUTO OWNER TRUST 2021-3 SER 2021-3 CL A3 REGD 0.55000000                                  | CUSIP: 14317DAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5500000 | NS      | $5224137.60    | 0.03%             | 2026-06-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| FORDR 2021-2 B 1.91% 11/15/26                          | FORD CREDIT AUTO OWNER TRUST 2021-REV2 SER 2021-2 CL B REGD 144A P/P 1.91000000                  | CUSIP: 345285AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2150000 | NS      | $1847660.34    | 0.01%             | 2034-05-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFE 6.125% 12/15/45                         | ENERGY TRANSFER LP REGD 6.12500000                                                               | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    810000 | NS      | $749445.42     | 0.00%             | 2045-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNR 2007-35 SI V/R 04/25/37                            | FANNIE MAE REMICS SER 2007-35 CL SI V/R 1.71129000                                               | CUSIP: 31396VMR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35089 | NS      | $1276.33       | 0.00%             | 2037-04-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FSPC T-59 1AP ZCP 10/25/43                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-59 CL 1AP ZCP 0.00000000                  | CUSIP: 31394PPU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16371 | NS      | $8912.16       | 0.00%             | 2043-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5550 V/R 10/20/71                          | GINNIE MAE II POOL P#CE5550 V/R 6.28300000                                                       | CUSIP: 3617VUEX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10785954 | NS      | $11202924.48   | 0.07%             | 2071-10-20      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| MFIT 2019-AA A 2.96% 08/21/23                          | MARINER FINANCE ISSUANCE TRUST 2019-A SER 2019-AA CL A REGD 144A P/P 2.96000000                  | CUSIP: 56847MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3742782 | NS      | $3692346.60    | 0.02%             | 2032-07-20      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| UDR INC 3% 08/15/31                                    | UDR INC REGD 3.00000000                                                                          | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    415000 | NS      | $346051.36     | 0.00%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EART 2022-4A D 5.98% 12/15/28                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4 SER 2022-4A CL D REGD 5.98000000                      | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6264000 | NS      | $5936629.58    | 0.04%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| WOSAT 2021-A A 0.29% 05/15/23                          | WORLD OMNI SELECT AUTO TRUST 2021-A SER 2021-A CL A2 REGD 0.29000000                             | CUSIP: 98163HAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    393767 | NS      | $392981.45     | 0.00%             | 2025-02-18      | Fixed         | 0.29%                 | No            |                  2 | On Loan: No      |
| UMBS P#303031 7.5% 10/01/24                            | FANNIE MAE POOL UMBS P#303031 7.50000000                                                         | CUSIP: 31373TSU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62 | NS      | $62.29         | 0.00%             | 2024-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07316 3.5% 03/01/43                           | FREDDIE MAC GOLD POOL P#G07316 3.50000000                                                        | CUSIP: 3128M9N99<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    287858 | NS      | $269630.60     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CJ3811 3% 12/20/51                           | GINNIE MAE II POOL P#CJ3811 3.00000000                                                           | CUSIP: 3617XLGU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5487094 | NS      | $4974072.34    | 0.03%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LMT 2008-2 1A6 6% 02/25/38                             | LEHMAN MORTGAGE TRUST 2008-2 SER 2008-2 CL 1A6 REGD 6.00000000                                   | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    221890 | NS      | $76569.71      | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-103 MB V/R 12/25/39                           | FANNIE MAE REMICS SER 2009-103 CL MB V/R 3.40310400                                              | CUSIP: 31398GJB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78832 | NS      | $79090.54      | 0.00%             | 2039-12-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A91541 5% 03/01/40                             | FREDDIE MAC GOLD POOL P#A91541 5.00000000                                                        | CUSIP: 312939WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     93360 | NS      | $94394.35      | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 2.45% 12/02/27                          | NRG ENERGY INC REGD 144A P/P 2.45000000                                                          | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   6215000 | NS      | $5149468.27    | 0.03%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC 1.4% 09/01/30                           | SERVICENOW INC REGD 1.40000000                                                                   | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |   6530000 | NS      | $4995558.27    | 0.03%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| CGCMT 2017-P8 3.203% 07/15/27                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 SER 2017-P8 CL A3 REGD 3.20300000                    | CUSIP: 17326DAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21000000 | NS      | $19222557.90   | 0.12%             | 2050-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015 3.75% 12/15/27                         | AIR CANADA 2015-2AA PTT REGD 144A P/P 3.75000000                                                 | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    978349 | NS      | $852106.76     | 0.01%             | 2027-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNR 2012-97 FB V/R 09/25/42                            | FANNIE MAE REMICS SER 2012-97 CL FB V/R 4.88871000                                               | CUSIP: 3136A72Y7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    505507 | NS      | $492463.72     | 0.00%             | 2042-09-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A17537 6% 01/01/34                             | FREDDIE MAC GOLD POOL P#A17537 6.00000000                                                        | CUSIP: 31296SLS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14331 | NS      | $14731.93      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLYA 2019-4 A 1.92% 01/15/25                          | ALLY AUTO RECEIVABLES TRUST 2019-4 SER 2019-4 CL A4 REGD 1.92000000                              | CUSIP: 02007TAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1987000 | NS      | $1965301.56    | 0.01%             | 2025-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| MSBAM 2015-C2 3.732% 07/15/25                          | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 20 SER 2015-C24 CL A4 REGD 3.73200000         | CUSIP: 61765LAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6507000 | NS      | $6187133.45    | 0.04%             | 2048-05-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| UNIV OF MICHIG 4.454% 04/01/22                         | UNIV OF MICHIGAN MI REGD B/E 4.45400000                                                          | CUSIP: 914455UJ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7800000 | NS      | $6323716.62    | 0.04%             | 2122-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHR 1573 PZ 7% 09/15/23                                | FREDDIE MAC REMICS SER 1573 CL PZ 7.00000000                                                     | CUSIP: 3133T0R71<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       663 | NS      | $663.89        | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2259 ZM 7% 10/15/30                                | FREDDIE MAC REMICS SER 2259 CL ZM 7.00000000                                                     | CUSIP: 3133TQC54<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10658 | NS      | $11184.84      | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS4472 3.5% 02/01/42                            | FREDDIE MAC POOL UMBS P#ZS4472 3.50000000                                                        | CUSIP: 3132A46H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    871164 | NS      | $815463.41     | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC2 3.774% 10/10/25                          | COMM 2015-LC23 MORTGAGE TRUST SER 2015-LC23 CL A4 REGD 3.77400000                                | CUSIP: 12636FBJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4039090 | NS      | $3842269.59    | 0.02%             | 2048-10-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07828 4.5% 09/01/44                           | FREDDIE MAC GOLD POOL P#G07828 4.50000000                                                        | CUSIP: 3128MAA58<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    691772 | NS      | $680345.65     | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-4 CB 5.5% 06/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SER 2005-4 CL CB7 REGD 5.50000000     | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    124614 | NS      | $112002.39     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PLMRS 2014-1A A1 V/R 01/17/31                          | PALMER SQUARE CLO 2014-1 LTD SER 2014-1A CL A1R2 V/R REGD 144A P/P 5.20914000                    | CUSIP: 69688XAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | NS      | $3949992.00    | 0.03%             | 2031-01-17      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNIC 3.4% 03/22/41                         | VERIZON COMMUNICATIONS REGD 3.40000000                                                           | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1127853.68    | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FTAB 2021-NPL2 A V/R 06/25/61                          | 510 ASSET BACKED 2021-NPL2 TRUST SER 2021-NPL2 CL A1 V/R REGD 144A P/P 2.11560000                | CUSIP: 33835JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5258957 | NS      | $4714483.79    | 0.03%             | 2061-06-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#725027 5% 11/01/33                              | FANNIE MAE POOL UMBS P#725027 5.00000000                                                         | CUSIP: 31402CPL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19554 | NS      | $19968.82      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G67702 4% 01/01/47                             | FREDDIE MAC GOLD POOL P#G67702 4.00000000                                                        | CUSIP: 3132XCRX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5861458 | NS      | $5622933.71    | 0.04%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  6.05% 10/10/25                         | GENERAL MOTORS FINL CO REGD 6.05000000                                                           | CUSIP: 37045XDZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7667000 | NS      | $7798436.07    | 0.05%             | 2025-10-10      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4070 4% 11/20/46                           | GINNIE MAE II POOL P#MA4070 4.00000000                                                           | CUSIP: 36179SQX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    697098 | NS      | $670563.38     | 0.00%             | 2046-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPTN 2021-A B 1.76% 03/08/23                           | OPORTUN FUNDING XIV LLC SER 2021-A CL B REGD 144A P/P 1.76000000                                 | CUSIP: 68377BAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5625000 | NS      | $5209705.13    | 0.03%             | 2028-03-08      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FHMS K061 A2 V/R 11/25/26                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K061 CL A2 V/R 3.34700000            | CUSIP: 3137BTUM1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14450000 | NS      | $13828193.38   | 0.09%             | 2026-11-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| ENI USA INC 7.3% 11/15/27                              | ENI USA INC REGD 7.30000000                                                                      | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | NS      | $423724.80     | 0.00%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN6933 2.9% 10/01/29                            | FANNIE MAE POOL UMBS P#AN6933 2.90000000                                                         | CUSIP: 3138LKV38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3268888 | NS      | $2989279.86    | 0.02%             | 2029-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CWL 2004-1 M1 V/R 03/25/34                             | CWABS INC ASSET-BACKED CERTIFICATES SERIES 2004-1 SER 2004-1 CL M1 V/R REGD 5.13871000           | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5891 | NS      | $5731.11       | 0.00%             | 2034-03-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM  5.125% 05/15/29                         | DCP MIDSTREAM OPERATING REGD 5.12500000                                                          | CUSIP: 23311VAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9226000 | NS      | $8891405.55    | 0.06%             | 2029-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO &  5.375% 11/02/43                         | WELLS FARGO & COMPANY REGD 5.37500000                                                            | CUSIP: 94974BFP0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    317000 | NS      | $294706.94     | 0.00%             | 2043-11-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG 4.125% 09/24/25                           | UBS GROUP AG REGD 144A P/P 4.12500000                                                            | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2510000 | NS      | $2440534.95    | 0.02%             | 2025-09-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-S9 P ZCP 10/25/33                            | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-S9 SER 2003-S9 CL P ZCP REGD 0.00000000      | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1440 | NS      | $1057.54       | 0.00%             | 2033-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3275 FL V/R 02/15/37                               | FREDDIE MAC REMICS SER 3275 CL FL V/R 4.75786000                                                 | CUSIP: 31397FDQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15453 | NS      | $15118.08      | 0.00%             | 2037-02-15      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| NHELI 2006-FM1 1 V/R 11/25/35                          | NOMURA HOME EQUITY LOAN INC HOME EQUITY LOAN TRUST SERIE SER 2006-FM1 CL 1A1 V/R REGD 4.84871000 | CUSIP: 65536HBT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1174920 | NS      | $1159412.76    | 0.01%             | 2035-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHR 2306 SE V/R 05/15/24                               | FREDDIE MAC REMICS SER 2306 CL SE V/R 6.81000000                                                 | CUSIP: 3133TSK69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1297 | NS      | $45.75         | 0.00%             | 2024-05-15      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNR 2003-33 IA 6.5% 05/25/33                           | FANNIE MAE REMICS SER 2003-33 CL IA 6.50000000                                                   | CUSIP: 31393BFR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41587 | NS      | $8172.61       | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC 4.3% 11/20/26                            | CITIGROUP INC REGD 4.30000000                                                                    | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1570000 | NS      | $1518723.75    | 0.01%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA  4.2% 08/26/24                         | BANK OF AMERICA CORP REGD MTN 4.20000000                                                         | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4140000 | NS      | $4075950.52    | 0.03%             | 2024-08-26      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL ED 2.95% 02/01/51                         | SOUTHERN CAL EDISON REGD SER 20A 2.95000000                                                      | CUSIP: 842400GY3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6220000 | NS      | $3984723.45    | 0.03%             | 2051-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKIN 3.133% 11/18/41                         | WESTPAC BANKING CORP REGD 3.13300000                                                             | CUSIP: 961214EY5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   2377000 | NS      | $1567911.44    | 0.01%             | 2041-11-18      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| JPMMT 2006-A2 4A V/R 08/25/34                          | JP MORGAN MORTGAGE TRUST 2006-A2 SER 2006-A2 CL 4A1 V/R REGD 3.64978700                          | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    198105 | NS      | $195271.79     | 0.00%             | 2034-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL  3.625% 04/22/29                         | AMERICA MOVIL SAB DE CV REGD 3.62500000                                                          | CUSIP: 02364WBH7<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |   7155000 | NS      | $6489646.25    | 0.04%             | 2029-04-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 05/12/26                              | UBS GROUP AG REGD V/R 144A P/P 4.48800000                                                        | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1770000 | NS      | $1729933.50    | 0.01%             | 2026-05-12      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE H 5.5% 02/15/24                         | PARK AEROSPACE HOLDINGS REGD 144A P/P 5.50000000                                                 | CUSIP: 70014LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    275000 | NS      | $271413.87     | 0.00%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FKH 2020-SFR2 1.266% 11/17/25                          | FIRSTKEY HOMES 2020-SFR2 TRUST SER 2020-SFR2 CL A REGD 144A P/P 1.26600000                       | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19357359 | NS      | $17151943.85   | 0.11%             | 2037-10-19      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7473 3% 07/20/51                           | GINNIE MAE II POOL P#MA7473 3.00000000                                                           | CUSIP: 36179WJS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30198035 | NS      | $27023126.66   | 0.17%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FTAB 2021-NPL1 A V/R 06/25/61                          | 510 ASSET BACKED 2021-NPL1 TRUST SER 2021-NPL1 CL A1 V/R REGD 144A P/P 2.23950000                | CUSIP: 33835CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1411701 | NS      | $1289988.38    | 0.01%             | 2061-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.5% 02/15/45                             | UNITED STATES TREASURY BOND 2.50000000                                                           | CUSIP: 912810RK6<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 147275000 | NS      | $110876213.50  | 0.71%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNA 2014-M13 A2 V/R 08/25/24                           | FANNIE MAE-ACES SER 2014-M13 CL A2 V/R 3.02100000                                                | CUSIP: 3136ALYF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    644591 | NS      | $623856.65     | 0.00%             | 2024-08-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| MLMBS 2007-3 1A3 V/R 02/25/37                          | MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST SERIES  SER 2007-3 CL 1A3 V/R REGD 4.39540000     | CUSIP: 59025JAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24331 | NS      | $22472.10      | 0.00%             | 2037-06-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNR 2006-111 EO ZCP 11/25/36                           | FANNIE MAE REMICS SER 2006-111 CL EO ZCP 0.00000000                                              | CUSIP: 31396LSR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15125 | NS      | $12351.33      | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SDART 2020-4 C 1.01% 01/15/26                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4 SER 2020-4 CL C REGD 1.01000000                    | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7254568 | NS      | $7181523.08    | 0.05%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ7084 3.5% 12/01/32                            | FANNIE MAE POOL UMBS P#AQ7084 3.50000000                                                         | CUSIP: 3138MN2S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    164224 | NS      | $155002.85     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0783 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1Q0783 V/R 2.76800000                                                | CUSIP: 3128S42Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27008 | NS      | $26471.88      | 0.00%             | 2037-05-01      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| CORNING INC 3.9% 11/15/49                              | CORNING INC REGD 3.90000000                                                                      | CUSIP: 219350BP9<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    960000 | NS      | $698818.98     | 0.00%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHR 2733 SB V/R 10/15/33                               | FREDDIE MAC REMICS SER 2733 CL SB V/R 4.12392600                                                 | CUSIP: 31394NUY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    264076 | NS      | $246450.36     | 0.00%             | 2033-10-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#809319 V/R 01/01/35                             | FANNIE MAE POOL UMBS P#809319 V/R 1.88100000                                                     | CUSIP: 31406GDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6141 | NS      | $6005.45       | 0.00%             | 2035-01-01      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 5.875% 05/01/42                            | PHILLIPS 66 REGD SER WI 5.87500000                                                               | CUSIP: 718546AH7<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $3072967.77    | 0.02%             | 2042-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA8070 4.5% 11/01/52                            | FREDDIE MAC POOL UMBS P#RA8070 4.50000000                                                        | CUSIP: 3133KP6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8188728 | NS      | $7882098.28    | 0.05%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ 2.193% 02/25/25                         | MITSUBISHI UFJ FIN GRP REGD 2.19300000                                                           | CUSIP: 606822BN3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   5000000 | NS      | $4679471.25    | 0.03%             | 2025-02-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS F 4.3% 07/13/25                         | GENERAL MOTORS FINL CO REGD 4.30000000                                                           | CUSIP: 37045XAZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1765000 | NS      | $1709345.03    | 0.01%             | 2025-07-13      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4286 1.5% 03/01/41                            | FANNIE MAE POOL UMBS P#MA4286 1.50000000                                                         | CUSIP: 31418DXQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1155666 | NS      | $945448.95     | 0.01%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7125 2.5% 05/01/46                            | FANNIE MAE POOL UMBS P#AS7125 2.50000000                                                         | CUSIP: 3138WG4K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    518439 | NS      | $446981.38     | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINAN 2.638% 09/30/32                         | CITIZENS FINANCIAL GROUP REGD 2.63800000                                                         | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    343000 | NS      | $254592.44     | 0.00%             | 2032-09-30      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP5474 2.5% 06/01/50                            | FANNIE MAE POOL UMBS P#BP5474 2.50000000                                                         | CUSIP: 3140KDCL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2260187 | NS      | $1932216.67    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 3582 PO ZCP 10/15/49                               | FREDDIE MAC REMICS SER 3582 CL PO ZCP 0.00000000                                                 | CUSIP: 31398KBZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    225302 | NS      | $193506.42     | 0.00%             | 2049-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GMACM 2005-AR3 3 V/R 06/19/35                          | GMACM MORTGAGE LOAN TRUST 2005-AR3 SER 2005-AR3 CL 3A4 V/R REGD 3.17819700                       | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36612 | NS      | $32891.56      | 0.00%             | 2035-06-19      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA7485 4% 06/01/52                              | FREDDIE MAC POOL UMBS P#RA7485 0.00000000                                                        | CUSIP: 3133KPJ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13704988 | NS      | $12861461.82   | 0.08%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEPPERDINE UNI 3.301% 12/01/59                         | PEPPERDINE UNIV REGD SER 2020 3.30100000                                                         | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |   1440000 | NS      | $903090.84     | 0.01%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHR 3134 PO ZCP 03/15/36                               | FREDDIE MAC REMICS SER 3134 CL PO ZCP 0.00000000                                                 | CUSIP: 31396J5T8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3511 | NS      | $3013.57       | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP4938 3% 05/01/50                              | FANNIE MAE POOL UMBS P#BP4938 3.00000000                                                         | CUSIP: 3140KCPY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800209 | NS      | $1597979.71    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDING 2.875% 02/15/25                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 2.87500000                                                | CUSIP: 05401AAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3704000 | NS      | $3421627.37    | 0.02%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WFCM 2016-C34 3.096% 04/15/26                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C34 SER 2016-C34 CL A4 REGD 3.09600000                | CUSIP: 95000DBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3698000 | NS      | $3426796.08    | 0.02%             | 2049-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.75% 11/15/42                            | UNITED STATES TREASURY BOND 2.75000000                                                           | CUSIP: 912810QY7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  13300000 | NS      | $10660781.25   | 0.07%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHR 2410 QS V/R 02/15/32                               | FREDDIE MAC REMICS SER 2410 CL QS V/R 8.27356400                                                 | CUSIP: 31339NJ23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17441 | NS      | $18686.78      | 0.00%             | 2032-02-15      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAW 4.3% 05/15/43                         | BERKSHIRE HATHAWAY FIN REGD 4.30000000                                                           | CUSIP: 084664BV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    322000 | NS      | $288656.20     | 0.00%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E 2.95% 08/15/51                         | SAN DIEGO G & E REGD SER WWW 2.95000000                                                          | CUSIP: 797440CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2230000 | NS      | $1506071.22    | 0.01%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| NAVSL 2021-GA  1.58% 05/15/28                          | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-G SER 2021-GA CL A REGD 144A P/P 1.58000000       | CUSIP: 63942KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9517161 | NS      | $8058787.20    | 0.05%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE1087 3.5% 04/01/52                            | FREDDIE MAC POOL UMBS P#QE1087 3.50000000                                                        | CUSIP: 3133BAF48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  33544260 | NS      | $30735921.81   | 0.20%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM3118 3% 05/01/50                              | FANNIE MAE POOL UMBS P#FM3118 3.00000000                                                         | CUSIP: 3140X6PC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    378995 | NS      | $337513.25     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 3138 PO ZCP 04/15/36                               | FREDDIE MAC REMICS SER 3138 CL PO ZCP 0.00000000                                                 | CUSIP: 31396N7B6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17614 | NS      | $14611.22      | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09029 3% 03/01/43                             | FREDDIE MAC GOLD POOL P#C09029 3.00000000                                                        | CUSIP: 31292SA67<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2240902 | NS      | $2041319.24    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GECMS 1999-HE1 M V/R 04/25/29                          | GE CAPITAL MORTGAGE SERVICES INC 1999-HE1 TRUST SER 1999-HE1 CL M V/R REGD 6.70500000            | CUSIP: 36157RD93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10268 | NS      | $8419.53       | 0.00%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| UMBS P#BE8361 4.5% 05/01/48                            | FANNIE MAE POOL UMBS P#BE8361 4.50000000                                                         | CUSIP: 3140FUJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    731945 | NS      | $717359.22     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTI 3.65% 02/01/26                         | BOSTON PROPERTIES LP REGD 3.65000000                                                             | CUSIP: 10112RAX2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    557000 | NS      | $527975.39     | 0.00%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHR 1706 K 7% 03/15/24                                 | FREDDIE MAC REMICS SER 1706 CL K 7.00000000                                                      | CUSIP: 3133T4UA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2786 | NS      | $2789.71       | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4523 2% 10/01/50                              | FANNIE MAE POOL UMBS P#FM4523 2.00000000                                                         | CUSIP: 3140X8AZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1604034 | NS      | $1318419.82    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 3194 SA V/R 07/15/36                               | FREDDIE MAC REMICS SER 3194 CL SA V/R 2.78214000                                                 | CUSIP: 31396UD64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4905 | NS      | $489.23        | 0.00%             | 2036-07-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FNR 2003-22 UD 4% 04/25/33                             | FANNIE MAE REMICS SER 2003-22 CL UD 4.00000000                                                   | CUSIP: 31393ANT0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    102803 | NS      | $99209.93      | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMP 4.15% 04/01/48                         | OHIO POWER COMPANY REGD 4.15000000                                                               | CUSIP: 677415CQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1190000 | NS      | $965417.23     | 0.01%             | 2048-04-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WFCM 2020-C57 2.118% 08/15/53                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57 SER 2020-C57 CL A4 REGD 2.11800000                | CUSIP: 95002XBD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1003000 | NS      | $811535.32     | 0.01%             | 2053-08-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4512 2.5% 01/01/52                            | FANNIE MAE POOL UMBS P#MA4512 2.50000000                                                         | CUSIP: 31418EAN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4344425 | NS      | $3685953.35    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LIFE STORAGE LP 4% 06/15/29                            | LIFE STORAGE LP REGD 4.00000000                                                                  | CUSIP: 53227JAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1831000 | NS      | $1640088.11    | 0.01%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH  3.6% 03/15/51                         | ELEVANCE HEALTH INC REGD 3.60000000                                                              | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   4420000 | NS      | $3303912.61    | 0.02%             | 2051-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GNR 2006-20 QA 5.75% 02/20/36                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-20 CL QA 5.75000000                            | CUSIP: 38374MN88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       344 | NS      | $342.91        | 0.00%             | 2036-02-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNR 2007-67 SI V/R 11/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-67 CL SI V/R 2.15714000                        | CUSIP: 38375LG53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78331 | NS      | $2938.30       | 0.00%             | 2037-11-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS 3.375% 01/09/25                            | BNP PARIBAS REGD 144A P/P 3.37500000                                                             | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   7335000 | NS      | $7058627.32    | 0.05%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC P#848365 V/R 07/01/36                            | FREDDIE MAC NON GOLD POOL P#848365 V/R 3.68400000                                                | CUSIP: 31300LJJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17591 | NS      | $17856.61      | 0.00%             | 2036-07-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FHR 2075 PH 6.5% 08/15/28                              | FREDDIE MAC REMICS SER 2075 CL PH 6.50000000                                                     | CUSIP: 3133TGCG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13530 | NS      | $13849.74      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE AME 7.1% 10/14/27                         | ENEL FINANCE AMERICA LLC REGD 144A P/P 7.10000000                                                | CUSIP: 29280HAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4902000 | NS      | $5068958.59    | 0.03%             | 2027-10-14      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND  1.65% 10/29/24                         | AERCAP IRELAND CAP/GLOBA REGD 1.65000000                                                         | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    330000 | NS      | $304392.10     | 0.00%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BAXALTA INC 5.25% 06/23/45                             | BAXALTA INC REGD 5.25000000                                                                      | CUSIP: 07177MAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | NS      | $47778.66      | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T3 1A 6.5% 02/25/44                          | FANNIE MAE GRANTOR TRUST 2004-T3 SER 2004-T3 CL 1A2 6.50000000                                   | CUSIP: 31393YU60<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200160 | NS      | $205020.27     | 0.00%             | 2044-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP IN 2.45% 02/04/32                         | ALTRIA GROUP INC REGD 2.45000000                                                                 | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   3845000 | NS      | $2900646.20    | 0.02%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEK 4.875% 03/06/42                         | DEUTSCHE TELEKOM INT FIN REGD P/P 4.87500000                                                     | CUSIP: 25156PAR4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    240000 | NS      | $214333.06     | 0.00%             | 2042-03-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2% 8/15/51                                | UNITED STATES TREASURY BOND 2.00000000                                                           | CUSIP: 912810SZ2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  29796000 | NS      | $19509396.41   | 0.13%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.875% 05/15/32                           | UNITED STATES TREASURY NOTE 2.87500000                                                           | CUSIP: 91282CEP2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  91320000 | NS      | $84157087.50   | 0.54%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A96184 4% 01/01/41                             | FREDDIE MAC GOLD POOL P#A96184 4.00000000                                                        | CUSIP: 3129442R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    451104 | NS      | $431476.76     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.25% 02/15/27                            | UNITED STATES TREASURY NOTE 2.25000000                                                           | CUSIP: 912828V98<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1530000 | NS      | $1423796.49    | 0.01%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE I 1.375% 07/12/26                         | ENEL FINANCE INTL NV REGD 144A P/P 1.37500000                                                    | CUSIP: 29278GAM0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   3757000 | NS      | $3237636.30    | 0.02%             | 2026-07-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPIT 3.875% 05/01/23                         | AVIATION CAPITAL GROUP REGD 144A P/P 3.87500000                                                  | CUSIP: 05369AAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    780000 | NS      | $773655.32     | 0.00%             | 2023-05-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM O 6.834% 10/23/55                         | CHARTER COMM OPT LLC/CAP REGD SER WI 6.83400000                                                  | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    690000 | NS      | $636550.46     | 0.00%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H09 H 1.65% 04/20/63                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H09 CL HA 1.65000000                           | CUSIP: 38375BR95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7687 | NS      | $7160.03       | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#770405 5% 04/01/34                              | FANNIE MAE POOL UMBS P#770405 5.00000000                                                         | CUSIP: 31404J3N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50469 | NS      | $50908.79      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 04/25/53                         | WELLS FARGO & COMPANY REGD V/R MTN 4.61100000                                                    | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3301000 | NS      | $2794996.91    | 0.02%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| MPLX LP 2.65% 08/15/30                                 | MPLX LP REGD 2.65000000                                                                          | CUSIP: 55336VBQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7390000 | NS      | $5988836.79    | 0.04%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7733 3% 01/01/43                              | FANNIE MAE POOL UMBS P#AB7733 3.00000000                                                         | CUSIP: 31417ESX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    750810 | NS      | $683155.46     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM 2018-HOME A V/R 04/10/28                          | COMM 2018-HOME MORTGAGE TRUST SER 2018-HOME CL A V/R REGD 144A P/P 3.81507000                    | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10975000 | NS      | $9965965.09    | 0.06%             | 2033-04-10      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| CAFL 2020-3 B 2.203% 07/15/30                          | COREVEST AMERICAN FINANCE 2020-3 TRUST SER 2020-3 CL B REGD 144A P/P 2.20300000                  | CUSIP: 21873CAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6314000 | NS      | $4789294.65    | 0.03%             | 2053-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTU 4.2% 03/23/25                         | APA INFRASTRUCTURE LTD REGD P/P 4.20000000                                                       | CUSIP: 00205GAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   2100000 | NS      | $2027703.53    | 0.01%             | 2025-03-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN4363 3.25% 02/01/27                           | FANNIE MAE POOL UMBS P#AN4363 3.25000000                                                         | CUSIP: 3138LGZ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5339689 | NS      | $5071114.71    | 0.03%             | 2027-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CORPORATE OFFICE 2.9% 12/01/33                         | CORPORATE OFFICE PROP LP REGD 2.90000000                                                         | CUSIP: 22003BAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5350000 | NS      | $3794545.82    | 0.02%             | 2033-12-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNR 2009-99 SC V/R 12/25/39                            | FANNIE MAE REMICS SER 2009-99 CL SC V/R 1.79129000                                               | CUSIP: 31398F4S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29042 | NS      | $1924.74       | 0.00%             | 2039-12-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST M 3.28% 02/01/46                         | CALIFORNIA ST MUNI FIN AUTH RE REGD B/E AGM 3.28000000                                           | CUSIP: 13048VZW1<br>LEI: 5493000UQOV6R4ZWS346 | Long             | DBT              | MUN               | US        |   4000000 | NS      | $2845829.60    | 0.02%             | 2046-02-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1348 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1348 V/R 4.44500000                                                | CUSIP: 3128NHP98<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21008 | NS      | $20844.64      | 0.00%             | 2036-10-01      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0451 3.5% 06/01/41                            | FANNIE MAE POOL UMBS P#BF0451 0.00000000                                                         | CUSIP: 3140FXQD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6566847 | NS      | $6248766.05    | 0.04%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE N 4.75% 08/09/24                         | CREDIT SUISSE NEW YORK REGD 4.75000000                                                           | CUSIP: 22550L2J9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9376000 | NS      | $8952598.50    | 0.06%             | 2024-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS  1.6% 09/29/26                         | NATWEST MARKETS PLC REGD 144A P/P 1.60000000                                                     | CUSIP: 63906YAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2390000 | NS      | $2075225.60    | 0.01%             | 2026-09-29      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS 2.939% 06/04/51                         | BP CAP MARKETS AMERICA REGD 2.93900000                                                           | CUSIP: 10373QBP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3935000 | NS      | $2590814.35    | 0.02%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH 4.65% 01/15/43                         | ELEVANCE HEALTH INC REGD 4.65000000                                                              | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    391000 | NS      | $354344.42     | 0.00%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TAOT 2020-A A4 1.68% 10/16/23                          | TOYOTA AUTO RECEIVABLES 2020-A OWNER TRUST SER 2020-A CL A4 REGD 1.68000000                      | CUSIP: 89232HAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1196000 | NS      | $1165934.35    | 0.01%             | 2025-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS 6.125% 10/01/25                         | GENERAL MOTORS CO REGD 6.12500000                                                                | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |  14000000 | NS      | $14247939.02   | 0.09%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#AI5143 4.5% 07/01/41                            | FANNIE MAE POOL UMBS P#AI5143 4.50000000                                                         | CUSIP: 3138AJWD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    122756 | NS      | $121691.66     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EART 2022-4A A 3.99% 08/15/24                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4 SER 2022-4A CL A2 REGD 3.99000000                     | CUSIP: 30166BAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3170919 | NS      | $3166934.09    | 0.02%             | 2024-08-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO V/R /PERP/                         | JPMORGAN CHASE & CO REGD V/R /PERP/ SER FF 5.00000000                                            | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5010000 | NS      | $4583802.81    | 0.03%             | 2171-02-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GR V/R 03/18/26                         | LLOYDS BANKING GROUP PLC REGD V/R 3.51100000                                                     | CUSIP: 53944YAR4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1075000 | NS      | $1021285.99    | 0.01%             | 2026-03-18      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| CBSLT 2018-AGS 3.21% 06/25/27                          | COMMONBOND STUDENT LOAN TRUST 2018-A-GS SER 2018-AGS CL A1 REGD 144A P/P 3.21000000              | CUSIP: 20269DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1981878 | NS      | $1835822.94    | 0.01%             | 2044-02-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| RELIANCE STEEL  2.15% 08/15/30                         | RELIANCE STEEL & ALUM REGD 2.15000000                                                            | CUSIP: 759509AG7<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |   3100000 | NS      | $2441138.31    | 0.02%             | 2030-08-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M50 A 0.67% 10/25/30                          | FANNIE MAE-ACES SER 2020-M50 CL A1 0.67000000                                                    | CUSIP: 3136BCGR5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1666166 | NS      | $1534615.04    | 0.01%             | 2030-10-25      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT 3.7% 04/01/51                         | CHARTER COMM OPT LLC/CAP REGD 3.70000000                                                         | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2580000 | NS      | $1568814.77    | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8206 3% 04/01/52                              | FREDDIE MAC POOL UMBS P#SD8206 3.00000000                                                        | CUSIP: 3132DWDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  20019264 | NS      | $17578855.87   | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 01/07/28                          | DEUTSCHE BANK NY REGD V/R 144A 2.55200000                                                        | CUSIP: 25160PAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3350000 | NS      | $2847649.31    | 0.02%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND 2.875% 08/14/24                         | AERCAP IRELAND CAP/GLOBA REGD 2.87500000                                                         | CUSIP: 00774MAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1060000 | NS      | $1003591.06    | 0.01%             | 2024-08-14      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNR 2006-27 OH V/R 04/25/36                            | FANNIE MAE REMICS SER 2006-27 CL OH V/R 0.00000000                                               | CUSIP: 31395BZL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17217 | NS      | $14820.53      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ5756 4% 01/01/48                              | FANNIE MAE POOL UMBS P#BJ5756 4.00000000                                                         | CUSIP: 3140H7ME4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2767639 | NS      | $2621799.04    | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5546 V/R 10/20/71                          | GINNIE MAE II POOL P#CE5546 V/R 6.29400000                                                       | CUSIP: 3617VUET0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10612490 | NS      | $11030111.99   | 0.07%             | 2071-10-20      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNR 2005-59 SU V/R 06/25/35                            | FANNIE MAE REMICS SER 2005-59 CL SU V/R 3.55645000                                               | CUSIP: 31394ETN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14623 | NS      | $14253.80      | 0.00%             | 2035-06-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| MASS MUTUAL LI 7.625% 11/15/23                         | MASS MUTUAL LIFE REGD P/P 7.62500000                                                             | CUSIP: 575767AB4<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |    150000 | NS      | $152293.33     | 0.00%             | 2023-11-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| FHMS K070 A2 V/R 11/25/27                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K070 CL A2 V/R 3.30300000            | CUSIP: 3137FCJK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4589000 | NS      | $4362488.33    | 0.03%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER C 5.375% 09/15/40                         | NEVADA POWER CO REGD 5.37500000                                                                  | CUSIP: 641423BZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    261000 | NS      | $249370.84     | 0.00%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN 2.659% 05/24/31                         | UNITED MEXICAN STATES REGD 2.65900000                                                            | CUSIP: 91087BAM2<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   2579000 | NS      | $2080037.57    | 0.01%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| CORPORATE OFFICE P 2% 01/15/29                         | CORPORATE OFFICE PROP LP REGD 2.00000000                                                         | CUSIP: 22003BAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    860000 | NS      | $659534.09     | 0.00%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2005-65 SA V/R 08/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-65 CL SA V/R 6.24053000                        | CUSIP: 38374LK67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3093 | NS      | $2724.97       | 0.00%             | 2035-08-20      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 4.78% 03/25/38                         | CVS HEALTH CORP REGD 4.78000000                                                                  | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   6550000 | NS      | $5966618.22    | 0.04%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FNR 2009-113 AO ZCP 01/25/40                           | FANNIE MAE REMICS SER 2009-113 CL AO ZCP 0.00000000                                              | CUSIP: 31398GWF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24230 | NS      | $19677.29      | 0.00%             | 2040-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WOART 2019-C A 1.96% 06/15/23                          | WORLD OMNI AUTO RECEIVABLES TRUST 2019-C SER 2019-C CL A3 REGD 1.96000000                        | CUSIP: 98162RAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1038010 | NS      | $1030261.16    | 0.01%             | 2024-12-16      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU5339 3% 06/01/43                              | FANNIE MAE POOL UMBS P#AU5339 3.00000000                                                         | CUSIP: 3138X44Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32594 | NS      | $29599.61      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM2007 4% 09/01/48                              | FANNIE MAE POOL UMBS P#BM2007 4.00000000                                                         | CUSIP: 3140J6GR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    327743 | NS      | $312501.42     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C02660 6.5% 11/01/36                           | FREDDIE MAC GOLD POOL P#C02660 6.50000000                                                        | CUSIP: 31292J5V8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9124 | NS      | $9569.94       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 11/19/25                               | BNP PARIBAS REGD V/R 144A P/P 2.81900000                                                         | CUSIP: 09659W2J2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4000000 | NS      | $3789113.52    | 0.02%             | 2025-11-19      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 03/15/33                         | STANDARD CHARTERED PLC REGD V/R 4.86600000                                                       | CUSIP: 853254BK5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    800000 | NS      | $704751.18     | 0.00%             | 2033-03-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHR 2450 GZ 7% 05/15/32                                | FREDDIE MAC REMICS SER 2450 CL GZ 7.00000000                                                     | CUSIP: 31392KPH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15559 | NS      | $16533.75      | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.4% 11/06/42                               | ABBVIE INC REGD SER WI 4.40000000                                                                | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1700000 | NS      | $1474617.96    | 0.01%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUND 3% 09/19/27                         | MET LIFE GLOB FUNDING I REGD 144A P/P 3.00000000                                                 | CUSIP: 59217GCK3<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1180000 | NS      | $1071911.16    | 0.01%             | 2027-09-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACC 2022-1 B 2.55% 12/20/23                            | ACC TRUST 2022-1 SER 2022-1 CL B REGD 144A P/P 2.55000000                                        | CUSIP: 00091HAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | NS      | $4855718.00    | 0.03%             | 2025-02-20      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS8960 4% 03/01/47                              | FANNIE MAE POOL UMBS P#AS8960 4.00000000                                                         | CUSIP: 3138WJ5W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2837176 | NS      | $2698041.49    | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION  2.875% 05/01/30                         | CONSTELLATION BRANDS INC REGD 2.87500000                                                         | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   3620000 | NS      | $3081561.38    | 0.02%             | 2030-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G14810 3% 07/01/28                             | FREDDIE MAC GOLD POOL P#G14810 3.00000000                                                        | CUSIP: 3128MDR70<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    536790 | NS      | $515453.56     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1N1511 V/R 01/01/37                            | FREDDIE MAC NON GOLD POOL P#1N1511 V/R 4.41500000                                                | CUSIP: 3128QHVC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5282 | NS      | $5243.11       | 0.00%             | 2037-01-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| HDMOT 2021-A A 0.37% 07/15/24                          | HARLEY-DAVIDSON MOTORCYCLE TRUST 2021-A SER 2021-A CL A3 REGD 0.37000000                         | CUSIP: 41284NAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5607395 | NS      | $5458697.66    | 0.04%             | 2026-04-15      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| HCA INC 4.375% 03/15/42                                | HCA INC REGD 144A P/P 4.37500000                                                                 | CUSIP: 404119CM9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1015000 | NS      | $808151.27     | 0.01%             | 2042-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7193 2.5% 02/20/51                         | GINNIE MAE II POOL P#MA7193 2.50000000                                                           | CUSIP: 36179V7E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14604886 | NS      | $12715157.80   | 0.08%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OMFIT 2021-1A A2 V/R 09/14/27                          | ONEMAIN FINANCIAL ISSUANCE TRUST 2021-1 SER 2021-1A CL A2 V/R REGD 144A P/P 4.56664000           | CUSIP: 68269MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10342000 | NS      | $9881513.14    | 0.06%             | 2036-06-16      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHR 3274 JO ZCP 02/15/37                               | FREDDIE MAC REMICS SER 3274 CL JO ZCP 0.00000000                                                 | CUSIP: 31397F6H0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2979 | NS      | $2582.70       | 0.00%             | 2037-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOLVAY FINANCE  4.45% 12/03/25                         | SOLVAY FINANCE (AMERICA) REGD 144A P/P 4.45000000                                                | CUSIP: 834423AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11810000 | NS      | $11427080.59   | 0.07%             | 2025-12-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA P#468149 8% 08/15/28                              | GINNIE MAE I POOL P#468149 8.00000000                                                            | CUSIP: 36209DBS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       371 | NS      | $370.60        | 0.00%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO7761 3.5% 07/01/32                            | FANNIE MAE POOL UMBS P#AO7761 3.50000000                                                         | CUSIP: 3138LYTT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55863 | NS      | $54095.77      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY C 2.15% 09/15/27                         | VALERO ENERGY CORP REGD 2.15000000                                                               | CUSIP: 91913YBB5<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   1143000 | NS      | $1002056.03    | 0.01%             | 2027-09-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 05/01/29                         | GOLDMAN SACHS GROUP INC REGD V/R 4.22300000                                                      | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4658089.70    | 0.03%             | 2029-05-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL IN 4.75% 05/20/32                         | RELX CAPITAL INC REGD 4.75000000                                                                 | CUSIP: 74949LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2745000 | NS      | $2637597.54    | 0.02%             | 2032-05-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE H 4.5% 03/15/23                         | PARK AEROSPACE HOLDINGS REGD 144A P/P 4.50000000                                                 | CUSIP: 70014LAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2655000 | NS      | $2648446.74    | 0.02%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#995783 8% 11/01/37                              | FANNIE MAE POOL UMBS P#995783 8.00000000                                                         | CUSIP: 31416CFY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8623 | NS      | $8807.86       | 0.00%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-H14 XI V/R 06/20/67                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H14 CL XI V/R 1.23451000                       | CUSIP: 38376R5T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8001828 | NS      | $335418.24     | 0.00%             | 2067-06-20      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.125% 08/31/29                           | UNITED STATES TREASURY NOTE 3.12500000                                                           | CUSIP: 91282CFJ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  21580000 | NS      | $20486669.59   | 0.13%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ACAR 2022-3 A 4.12% 01/13/24                           | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2022-3 SER 2022-3 CL A REGD 144A P/P 4.12000000     | CUSIP: 02528GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2275282 | NS      | $2259179.14    | 0.01%             | 2026-02-13      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS  5.5% 01/15/26                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 5.50000000                                                | CUSIP: 05401AAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4364000 | NS      | $4148866.84    | 0.03%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 11/17/33                             | CITIGROUP INC REGD V/R 6.27000000                                                                | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2487000 | NS      | $2565693.53    | 0.02%             | 2033-11-17      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM5410 2% 12/01/50                              | FANNIE MAE POOL UMBS P#FM5410 2.00000000                                                         | CUSIP: 3140X9AL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3232241 | NS      | $2641653.82    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G02682 7% 02/01/37                             | FREDDIE MAC GOLD POOL P#G02682 7.00000000                                                        | CUSIP: 3128M4J38<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4052 | NS      | $4195.37       | 0.00%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7693 2% 08/01/31                              | FANNIE MAE POOL UMBS P#AS7693 2.00000000                                                         | CUSIP: 3138WHRP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1218638 | NS      | $1108402.30    | 0.01%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ7310 4% 01/01/48                              | FANNIE MAE POOL UMBS P#BJ7310 4.00000000                                                         | CUSIP: 3140H9DQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4812034 | NS      | $4594209.09    | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LIFE STORAGE LP 2.4% 10/15/31                          | LIFE STORAGE LP REGD 2.40000000                                                                  | CUSIP: 53227JAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1310000 | NS      | $1007782.00    | 0.01%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SCRT 2018-4 MZ 3.5% 03/25/58                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-4 SER 2018-4 CL MZ 3.50000000                    | CUSIP: 35563PHJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9254062 | NS      | $7256278.61    | 0.05%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERG 4.35% 08/31/64                         | CONSUMERS ENERGY CO REGD 4.35000000                                                              | CUSIP: 210518CX2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    191000 | NS      | $155067.80     | 0.00%             | 2064-08-31      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7526 2.5% 10/01/50                            | FREDDIE MAC POOL UMBS P#SD7526 2.50000000                                                        | CUSIP: 3132DVLF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24369650 | NS      | $20954561.02   | 0.13%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN8048 3.08% 01/01/28                           | FANNIE MAE POOL UMBS P#AN8048 3.08000000                                                         | CUSIP: 3138LL5J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | NS      | $7481235.68    | 0.05%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| GENPACT LUXEMB 3.375% 12/01/24                         | GENPACT LUXEMBOURG SARL REGD 3.37500000                                                          | CUSIP: 37254BAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   7000000 | NS      | $6704146.12    | 0.04%             | 2024-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC 3.65% 03/15/27                             | TEXTRON INC REGD 3.65000000                                                                      | CUSIP: 883203BX8<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |   4975000 | NS      | $4637805.10    | 0.03%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3521 3.5% 03/20/46                         | GINNIE MAE II POOL P#MA3521 3.50000000                                                           | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1570781 | NS      | $1464731.39    | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#729296 5% 07/01/33                              | FANNIE MAE POOL UMBS P#729296 5.00000000                                                         | CUSIP: 31402HGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8090 | NS      | $8238.38       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3501 CB 5.5% 01/15/39                              | FREDDIE MAC REMICS SER 3501 CL CB 5.50000000                                                     | CUSIP: 31397YS69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     89117 | NS      | $90061.94      | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2022-51 SC V/R 03/20/52                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-51 CL SC V/R 0.00000000                        | CUSIP: 38383PNA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22470812 | NS      | $347929.07     | 0.00%             | 2052-03-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2011-H19 FA V/R 08/20/61                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-H19 CL FA V/R 4.31157000                       | CUSIP: 38375BMT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    221895 | NS      | $220320.25     | 0.00%             | 2061-08-20      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE A 4.375% 08/15/23                         | WESTINGHOUSE AIR BRAKE REGD 4.37500000                                                           | CUSIP: 960386AH3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    322000 | NS      | $318825.08     | 0.00%             | 2023-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNCI 15YR TBA 3.0% JAN 23                              | FNCI 15YR TBA 3.0% JAN 23      TO BE ANNOUNCED 3.00000000                                        | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3590000 | NS      | $3362191.49    | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARKEL CORP 4.15% 09/17/50                             | MARKEL CORP REGD 4.15000000                                                                      | CUSIP: 570535AV6<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |    655000 | NS      | $493883.77     | 0.00%             | 2050-09-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC 4.25% 10/01/26                            | WP CAREY INC REGD 4.25000000                                                                     | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   3404000 | NS      | $3278433.59    | 0.02%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#BH7058 3.5% 12/01/47                            | FANNIE MAE POOL UMBS P#BH7058 3.50000000                                                         | CUSIP: 3140GVZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1881343 | NS      | $1740295.68    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2013-26 AK V/R 09/20/41                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-26 CL AK V/R 4.67550000                        | CUSIP: 38378JBH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    166880 | NS      | $165997.26     | 0.00%             | 2041-09-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 15YR 4% JAN 23                                | FNMA TBA 15YR 4% JAN 23        TO BE ANNOUNCED 4.00000000                                        | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8540000 | NS      | $8323476.24    | 0.05%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 07/22/28                            | MORGAN STANLEY REGD V/R MTN 3.59100000                                                           | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5882000 | NS      | $5395268.32    | 0.03%             | 2028-07-22      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNR 2006-58 AP ZCP 07/25/36                            | FANNIE MAE REMICS SER 2006-58 CL AP ZCP 0.00000000                                               | CUSIP: 31395NE29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5129 | NS      | $4241.34       | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-61 Z 7% 11/25/31                              | FANNIE MAE REMICS SER 2001-61 CL Z 7.00000000                                                    | CUSIP: 313921M70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28855 | NS      | $30176.62      | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2% 08/15/25                               | UNITED STATES TREASURY NOTE 2.00000000                                                           | CUSIP: 912828K74<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    150100 | NS      | $141733.10     | 0.00%             | 2025-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-115 OK ZCP 12/25/36                           | FANNIE MAE REMICS SER 2006-115 CL OK ZCP 0.00000000                                              | CUSIP: 31396LU57<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15831 | NS      | $12752.99      | 0.00%             | 2036-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR7484 3.5% 02/01/33                            | FANNIE MAE POOL UMBS P#AR7484 3.50000000                                                         | CUSIP: 3138W5J66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    241842 | NS      | $229334.17     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-5 1A2 V/R 08/25/35                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2005-5 CL 1A2 V/R REGD 4.02368300                          | CUSIP: 17307GXU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46148 | NS      | $33804.93      | 0.00%             | 2035-08-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| AH4R 2014-SFR 3.786% 10/17/24                          | AMERICAN HOMES 4 RENT 2014-SFR2 TRUST SER 2014-SFR2 CL A REGD 144A P/P 3.78600000                | CUSIP: 02665UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3545142 | NS      | $3420575.90    | 0.02%             | 2036-10-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| UMBS P#743546 V/R 11/01/33                             | FANNIE MAE POOL UMBS P#743546 V/R 3.72800000                                                     | CUSIP: 31403BBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23730 | NS      | $23326.52      | 0.00%             | 2033-11-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| UMBS P#995919 V/R 07/01/37                             | FANNIE MAE POOL UMBS P#995919 V/R 3.83100000                                                     | CUSIP: 31416CK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24194 | NS      | $24412.92      | 0.00%             | 2037-07-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GMREV 2021-1 B 1.49% 09/11/26                          | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1 SER 2021-1 CL B REGD 144A P/P 1.49000000         | CUSIP: 36263HAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | NS      | $425770.80     | 0.00%             | 2034-06-12      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U90673 4% 01/01/43                             | FREDDIE MAC GOLD POOL P#U90673 4.00000000                                                        | CUSIP: 3132H3XA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    107264 | NS      | $102606.02     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H05 FA V/R 02/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H05 CL FA V/R 4.53157000                       | CUSIP: 38375UDS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1926469 | NS      | $1914401.04    | 0.01%             | 2064-02-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P50595 6.5% 12/01/36                           | FREDDIE MAC GOLD POOL P#P50595 6.50000000                                                        | CUSIP: 31288LUU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    131920 | NS      | $136804.81     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P50556 6.5% 06/01/37                           | FREDDIE MAC GOLD POOL P#P50556 6.50000000                                                        | CUSIP: 31288LTM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4660 | NS      | $4581.74       | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSX CORP 5.5% 04/15/41                                 | CSX CORP REGD 5.50000000                                                                         | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    402000 | NS      | $401055.87     | 0.00%             | 2041-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1516 V/R 02/01/37                            | FREDDIE MAC NON GOLD POOL P#1J1516 V/R 2.07400000                                                | CUSIP: 3128NHVH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7929 | NS      | $7940.17       | 0.00%             | 2037-02-01      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC0887 2% 04/01/51                              | FREDDIE MAC POOL UMBS P#QC0887 2.00000000                                                        | CUSIP: 3133AJ6Y4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3813089 | NS      | $3112716.26    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BW9898 4.5% 10/01/52                            | FANNIE MAE POOL UMBS P#BW9898 4.50000000                                                         | CUSIP: 3140N27L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9034993 | NS      | $8706057.21    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENGIE ENERGIA CH 3.4% 01/28/30                         | ENGIE ENERGIA CHILE SA REGD 144A P/P 3.40000000                                                  | CUSIP: 29287TAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |   1600000 | NS      | $1306386.77    | 0.01%             | 2030-01-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#820347 5% 09/01/35                              | FANNIE MAE POOL UMBS P#820347 5.00000000                                                         | CUSIP: 31406UL48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27379 | NS      | $27960.53      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2013-90 DL 3.5% 09/25/33                           | FANNIE MAE REMICS SER 2013-90 CL DL 3.50000000                                                   | CUSIP: 3136AF6H2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | NS      | $1423172.25    | 0.01%             | 2033-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV V/R 03/13/37                          | ABN AMRO BANK NV REGD V/R 144A P/P 3.32400000                                                    | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   2500000 | NS      | $1807333.78    | 0.01%             | 2037-03-13      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3175 4.5% 10/20/45                         | GINNIE MAE II POOL P#MA3175 4.50000000                                                           | CUSIP: 36179RQ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7088903 | NS      | $7033404.21    | 0.05%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC 7% 10/01/28                         | CONAGRA BRANDS INC REGD 7.00000000                                                               | CUSIP: 205887AR3<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   3250000 | NS      | $3464971.06    | 0.02%             | 2028-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#B90491 7.5% 01/01/32                           | FREDDIE MAC GOLD POOL P#B90491 7.50000000                                                        | CUSIP: 313929RL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37212 | NS      | $38456.43      | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8134 2% 03/01/51                              | FREDDIE MAC POOL UMBS P#SD8134 2.00000000                                                        | CUSIP: 3132DWBB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2193491 | NS      | $1791717.07    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK2767 V/R 12/20/71                          | GINNIE MAE II POOL P#CK2767 V/R 6.32600000                                                       | CUSIP: 3617XXCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10055787 | NS      | $10485256.44   | 0.07%             | 2071-12-20      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 4.95% 05/15/28                         | ENERGY TRANSFER LP REGD 4.95000000                                                               | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1615000 | NS      | $1549014.43    | 0.01%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST UR 5.838% 03/15/40                         | NEW YORK ST URBAN DEV CORP REV REGD N/C B/E 5.83800000                                           | CUSIP: 650035VB1<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |   2000000 | NS      | $2062567.60    | 0.01%             | 2040-03-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| UMBS P#FN0029 V/R 12/01/26                             | FANNIE MAE POOL UMBS P#FN0029 V/R 4.62600000                                                     | CUSIP: 3138NJA73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    785158 | NS      | $784307.40     | 0.01%             | 2026-12-01      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNR 2002-48 GH 6.5% 08/25/32                           | FANNIE MAE REMICS SER 2002-48 CL GH 6.50000000                                                   | CUSIP: 31392DS45<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28262 | NS      | $29465.09      | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3596 3% 04/20/46                           | GINNIE MAE II POOL P#MA3596 3.00000000                                                           | CUSIP: 36179R7H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2011456 | NS      | $1828828.89    | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-1CB 1 V/R 03/25/35                          | ALTERNATIVE LOAN TRUST 2005-1CB SER 2005-1CB CL 1A6 V/R REGD 2.71129000                          | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     84313 | NS      | $5737.64       | 0.00%             | 2035-03-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/43                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834MM7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  36515000 | NS      | $15193064.44   | 0.10%             | 2043-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR 2004-4 1 5.25% 12/26/33                          | MASTR ASSET SECURITIZATION TRUST 2004-4 SER 2004-4 CL 1A6 REGD 5.25000000                        | CUSIP: 57643MAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19761 | NS      | $16929.87      | 0.00%             | 2033-12-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT H 1.547% 10/01/25                         | COMMONSPIRIT HEALTH REGD 1.54700000                                                              | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1290000 | NS      | $1159941.70    | 0.01%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| FHR 1983 Z 6.5% 12/15/23                               | FREDDIE MAC REMICS SER 1983 CL Z 6.50000000                                                      | CUSIP: 3133TAXN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       903 | NS      | $905.76        | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP5482 2.5% 06/01/50                            | FANNIE MAE POOL UMBS P#BP5482 2.50000000                                                         | CUSIP: 3140KDCU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3490219 | NS      | $2978605.31    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2270 8% 08/20/26                             | GINNIE MAE II POOL P#2270 8.00000000                                                             | CUSIP: 36202CQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       354 | NS      | $361.74        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4443 3% 09/01/50                              | FANNIE MAE POOL UMBS P#FM4443 3.00000000                                                         | CUSIP: 3140X75D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1967641 | NS      | $1752293.78    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 11/21/26                         | SANTANDER UK GROUP HLDGS REGD V/R 6.83300000                                                     | CUSIP: 80281LAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   6269000 | NS      | $6350002.87    | 0.04%             | 2026-11-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8219 2.5% 06/01/52                            | FREDDIE MAC POOL UMBS P#SD8219 2.50000000                                                        | CUSIP: 3132DWDY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2629685 | NS      | $2226978.65    | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL ED 5.45% 06/01/52                         | SOUTHERN CAL EDISON REGD SER E 5.45000000                                                        | CUSIP: 842400HR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1815000 | NS      | $1733170.11    | 0.01%             | 2052-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08596 4.5% 07/01/44                           | FREDDIE MAC GOLD POOL P#G08596 4.50000000                                                        | CUSIP: 3128MJUW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    112085 | NS      | $110233.31     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4452 4% 05/20/47                           | GINNIE MAE II POOL P#MA4452 4.00000000                                                           | CUSIP: 36179S5M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    172958 | NS      | $166048.64     | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FKH 2022-SFR1 5.197% 05/17/27                          | FIRSTKEY HOMES 2022-SFR1 TRUST SER 2022-SFR1 CL D REGD 144A P/P 5.19700000                       | CUSIP: 33768NAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4935000 | NS      | $4536348.23    | 0.03%             | 2039-05-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HOUSTON TX UTI 3.828% 05/15/28                         | HOUSTON TX UTILITY SYS REVENUE REGD N/C B/E 3.82800000                                           | CUSIP: 4424355B5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1850000 | NS      | $1777887.93    | 0.01%             | 2028-05-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9 1.644% 12/15/29                          | DBJPM 20-C9 MORTGAGE TRUST SER 2020-C9 CL A4 REGD 1.64400000                                     | CUSIP: 233063AQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20600000 | NS      | $16683449.72   | 0.11%             | 2053-08-15      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.25% 06/30/28                            | UNITED STATES TREASURY NOTE 1.25000000                                                           | CUSIP: 91282CCH2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  90461500 | NS      | $78217394.86   | 0.50%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHR 2070 C 6% 07/15/28                                 | FREDDIE MAC REMICS SER 2070 CL C 6.00000000                                                      | CUSIP: 3133TEMS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4517 | NS      | $4584.38       | 0.00%             | 2028-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC0039 2.5% 03/01/51                            | FREDDIE MAC POOL UMBS P#QC0039 2.50000000                                                        | CUSIP: 3133AJBG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    675027 | NS      | $579636.19     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#455759 6% 12/01/28                              | FANNIE MAE POOL UMBS P#455759 6.00000000                                                         | CUSIP: 31381BJC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       944 | NS      | $957.85        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#783389 6% 08/20/39                           | GINNIE MAE II POOL P#783389 6.00000000                                                           | CUSIP: 36241LXS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97195 | NS      | $102810.50     | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-19 PW 4.5% 10/25/36                           | FANNIE MAE REMICS SER 2009-19 CL PW 4.50000000                                                   | CUSIP: 31397NUJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     84998 | NS      | $82979.19      | 0.00%             | 2036-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAW 4.4% 05/15/42                         | BERKSHIRE HATHAWAY FIN REGD 4.40000000                                                           | CUSIP: 084664BU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1524000 | NS      | $1389939.48    | 0.01%             | 2042-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4261 3% 02/20/47                           | GINNIE MAE II POOL P#MA4261 3.00000000                                                           | CUSIP: 36179SWW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1994544 | NS      | $1795277.38    | 0.01%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2013-92 PO ZCP 09/25/43                            | FANNIE MAE REMICS SER 2013-92 CL PO ZCP 0.00000000                                               | CUSIP: 3136AGGA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    551430 | NS      | $412845.40     | 0.00%             | 2043-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & CO 4.3% 07/22/27                         | WELLS FARGO & COMPANY REGD MTN SER GMTN 4.30000000                                               | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    729000 | NS      | $701536.35     | 0.00%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| IMCHE 1997-5 A 6.88% 11/20/28                          | IMC HOME EQUITY LOAN TRUST 1997-5 SER 1997-5 CL A10 REGD 6.88000000                              | CUSIP: 449670DE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         1 | NS      | $0.76          | 0.00%             | 2028-11-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL1 A V/R 07/25/51                          | PRPM 2021-RPL1 LLC SER 2021-RPL1 CL A1 V/R REGD 144A P/P 1.31900000                              | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3124212 | NS      | $2779390.54    | 0.02%             | 2051-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| UBSCM 2018-C9 3.854% 02/15/28                          | UBS COMMERCIAL MORTGAGE TRUST 2018-C9 SER 2018-C9 CL A3 REGD 3.85400000                          | CUSIP: 90291JAV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9650000 | NS      | $8993797.11    | 0.06%             | 2051-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS8461 3.5% 12/01/46                            | FANNIE MAE POOL UMBS P#AS8461 3.50000000                                                         | CUSIP: 3138WJMK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1614953 | NS      | $1493685.27    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 3422 SE V/R 02/15/38                               | FREDDIE MAC REMICS SER 3422 CL SE V/R 6.65535000                                                 | CUSIP: 31397RDJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6565 | NS      | $6701.79       | 0.00%             | 2038-02-15      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A89870 4.5% 11/01/39                           | FREDDIE MAC GOLD POOL P#A89870 4.50000000                                                        | CUSIP: 3129366F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    957796 | NS      | $950193.14     | 0.01%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CGI INC 1.45% 09/14/26                                 | CGI INC REGD SER WI 1.45000000                                                                   | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   2182000 | NS      | $1929691.54    | 0.01%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| FNR 2010-1 WA V/R 02/25/40                             | FANNIE MAE REMICS SER 2010-1 CL WA V/R 6.21888600                                                | CUSIP: 31398GL23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27381 | NS      | $28129.61      | 0.00%             | 2040-02-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4713 4.5% 06/20/40                           | GINNIE MAE II POOL P#4713 4.50000000                                                             | CUSIP: 36202FGW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    296882 | NS      | $296299.26     | 0.00%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMM 3.625% 05/15/30                         | DISCOVERY COMMUNICATIONS REGD 3.62500000                                                         | CUSIP: 25470DBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | NS      | $2060222.08    | 0.01%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.25% 08/15/49                            | UNITED STATES TREASURY BOND 2.25000000                                                           | CUSIP: 912810SJ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9259000 | NS      | $6508787.66    | 0.04%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7155 3% 05/01/46                              | FANNIE MAE POOL UMBS P#AS7155 3.00000000                                                         | CUSIP: 3138WG5R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2897950 | NS      | $2597466.71    | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C03613 4% 11/01/40                             | FREDDIE MAC GOLD POOL P#C03613 4.00000000                                                        | CUSIP: 31292LAN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    644093 | NS      | $619244.27     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2016-K59 B V/R 10/25/26                          | FREMF 2016-K59 MORTGAGE TRUST SER 2016-K59 CL B V/R REGD 144A P/P 3.57875800                     | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2450000 | NS      | $2253134.66    | 0.01%             | 2049-11-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| SEMT 2004-12 A3 V/R 01/20/35                           | SEQUOIA MORTGAGE TRUST 2004-12 SER 2004-12 CL A3 V/R REGD 5.50686000                             | CUSIP: 81744FGA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     60570 | NS      | $55059.00      | 0.00%             | 2035-01-20      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-1 CP V/R 03/25/35                           | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WM SER 2005-1 CL CP V/R REGD 0.00000000     | CUSIP: 9393362Y8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4188 | NS      | $2741.84       | 0.00%             | 2035-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 12/15/25                               | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CGA3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7534000 | NS      | $7485735.31    | 0.05%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB 2014-C2 3.408% 10/15/24                          | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25 SER 2014-C25 CL A4A1 REGD 3.40800000         | CUSIP: 46643PBD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6259823 | NS      | $6005543.74    | 0.04%             | 2047-11-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION E 5.75% 10/01/41                         | CONSTELLATION EN GEN LLC REGD 5.75000000                                                         | CUSIP: 30161MAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3192000 | NS      | $3097152.53    | 0.02%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GAIF BOND ISSUER 3.4% 09/30/26                         | GAIF BOND ISSUER P/L REGD 144A P/P 3.40000000                                                    | CUSIP: 361435AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   1000000 | NS      | $918148.62     | 0.01%             | 2026-09-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHN 2.67% 09/01/23                         | MICROCHIP TECHNOLOGY INC REGD 2.67000000                                                         | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   5353000 | NS      | $5253194.65    | 0.03%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| UMBS P#725025 4.5% 10/01/33                            | FANNIE MAE POOL UMBS P#725025 4.50000000                                                         | CUSIP: 31402CPJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1931796 | NS      | $1904389.81    | 0.01%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NAA 2003-A1 A1 5.5% 05/25/33                           | NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST SERIES 2 SER 2003-A1 CL A1 REGD 5.50000000   | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2033 | NS      | $1910.13       | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#535183 8% 06/01/28                              | FANNIE MAE POOL UMBS P#535183 8.00000000                                                         | CUSIP: 31384VRC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       414 | NS      | $413.49        | 0.00%             | 2028-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.125% 02/15/43                           | UNITED STATES TREASURY BOND 3.12500000                                                           | CUSIP: 912810QZ4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  18100000 | NS      | $15441562.50   | 0.10%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM1873 3% 11/01/49                              | FANNIE MAE POOL UMBS P#FM1873 3.00000000                                                         | CUSIP: 3140X5CK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5384189 | NS      | $4774111.02    | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#V60745 2.5% 03/01/30                           | FREDDIE MAC GOLD POOL P#V60745 2.50000000                                                        | CUSIP: 3132KEZJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    591192 | NS      | $555016.66     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR7 A7 V/R 08/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR7 SER 2003-AR7 CL A7 V/R REGD 3.81915600   | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33978 | NS      | $30937.11      | 0.00%             | 2033-08-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINI 4.456% 06/08/32                         | TORONTO-DOMINION BANK REGD MTN 4.45600000                                                        | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   5000000 | NS      | $4765848.10    | 0.03%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| PEPCO HOLDINGS  7.45% 08/15/32                         | PEPCO HOLDINGS LLC REGD 7.45000000                                                               | CUSIP: 713291AH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    222000 | NS      | $247416.56     | 0.00%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GR 3.5% 01/23/25                         | GOLDMAN SACHS GROUP INC REGD SER 10YR 3.50000000                                                 | CUSIP: 38148LAC0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5795000 | NS      | $5597940.79    | 0.04%             | 2025-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 2106 ZD 6% 12/15/28                                | FREDDIE MAC REMICS SER 2106 CL ZD 6.00000000                                                     | CUSIP: 3133THDD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24743 | NS      | $25073.34      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACC 2021-1 B 1.43% 09/20/23                            | ACC TRUST 2021-1 SER 2021-1 CL B REGD 144A P/P 1.43000000                                        | CUSIP: 00091KAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1165673 | NS      | $1160306.29    | 0.01%             | 2024-07-22      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| JPMMT 2004-A4 1A V/R 09/25/34                          | JP MORGAN MORTGAGE TRUST 2004-A4 SER 2004-A4 CL 1A1 V/R REGD 3.92894900                          | CUSIP: 466247DX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8804 | NS      | $8004.33       | 0.00%             | 2034-09-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| GMCAR 2020-2 A 1.49% 09/18/23                          | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-2 SER 2020-2 CL A3 REGD 1.49000000       | CUSIP: 36258VAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    883892 | NS      | $873341.96     | 0.01%             | 2024-12-16      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH9683 5% 04/01/31                              | FANNIE MAE POOL UMBS P#AH9683 5.00000000                                                         | CUSIP: 3138ABXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27171 | NS      | $27119.83      | 0.00%             | 2031-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO9140 3.5% 07/01/42                            | FANNIE MAE POOL UMBS P#AO9140 3.50000000                                                         | CUSIP: 3138M1EN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1650481 | NS      | $1544915.70    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL C 7% 06/15/40                         | LINCOLN NATIONAL CORP REGD 7.00000000                                                            | CUSIP: 534187BA6<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |   1715000 | NS      | $1787513.63    | 0.01%             | 2040-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP 4.45% 03/01/47                         | MCDONALD'S CORP REGD MTN 4.45000000                                                              | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    360000 | NS      | $312066.99     | 0.00%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0739 V/R 03/01/37                            | FREDDIE MAC NON GOLD POOL P#1Q0739 V/R 4.27600000                                                | CUSIP: 3128S4ZC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31765 | NS      | $32417.85      | 0.00%             | 2037-03-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| CK HUTCHISON I 3.125% 04/15/41                         | CK HUTCHISON INTNTL 21 REGD 144A P/P 3.12500000                                                  | CUSIP: 12565WAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1915000 | NS      | $1403250.41    | 0.01%             | 2041-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MALT 2003-9 8A1 6% 01/25/34                            | MASTR ALTERNATIVE LOAN TRUST 2003-9 SER 2003-9 CL 8A1 REGD 6.00000000                            | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11746 | NS      | $11116.77      | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 A V/R 01/25/46                          | CSMC 2018-RPL9 TRUST SER 2018-RPL9 CL A V/R REGD 144A P/P 3.85000000                             | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4003361 | NS      | $3739963.44    | 0.02%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H05 FC V/R 02/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H05 CL FC V/R 4.32157000                       | CUSIP: 38375UUV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2495272 | NS      | $2459200.16    | 0.02%             | 2065-02-20      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP 4.375% 10/15/28                             | CIGNA CORP REGD SER WI 4.37500000                                                                | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |  30325000 | NS      | $29246459.53   | 0.19%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q12050 3.5% 10/01/42                           | FREDDIE MAC GOLD POOL P#Q12050 3.50000000                                                        | CUSIP: 3132HNH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5426558 | NS      | $5085362.03    | 0.03%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC 4.25% 08/01/31                           | NORDSTROM INC REGD SER WI 4.25000000                                                             | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |   2871000 | NS      | $2053052.10    | 0.01%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR 4.817% 03/14/49                         | STATE OF QATAR REGD 144A P/P 4.81700000                                                          | CUSIP: 74727PBB6<br>LEI: N/A                  | Long             | DBT              | USGA              | QA        |   1200000 | NS      | $1167000.00    | 0.01%             | 2049-03-14      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| HCA INC 5.25% 06/15/26                                 | HCA INC REGD 5.25000000                                                                          | CUSIP: 404119BT5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4200000 | NS      | $4149303.98    | 0.03%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CGCMT 2017-P7 3.442% 01/14/27                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P7 SER 2017-P7 CL A3 REGD 3.44200000                    | CUSIP: 17325HBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14884420 | NS      | $13857131.75   | 0.09%             | 2050-04-14      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA P#735925 5% 10/1/35                               | FEDERAL NATIONAL MORTGAGE ASSN  POOL #735925 5.00000000                                          | CUSIP: 31402RSN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109163 | NS      | $111480.02     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2002-78 Z 5.5% 12/25/32                            | FANNIE MAE REMICS SER 2002-78 CL Z 5.50000000                                                    | CUSIP: 31392FA72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58713 | NS      | $58882.21      | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W10 A 5.75% 08/25/34                          | FANNIE MAE REMIC TRUST 2004-W10 SER 2004-W10 CL A6 5.75000000                                    | CUSIP: 31394ALV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    253207 | NS      | $253690.09     | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 01/12/28                         | STANDARD CHARTERED PLC REGD V/R 2.60800000                                                       | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   5000000 | NS      | $4336729.95    | 0.03%             | 2028-01-12      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| FHR 2990 GO ZCP 02/15/35                               | FREDDIE MAC REMICS SER 2990 CL GO ZCP 0.00000000                                                 | CUSIP: 31395V2T5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17281 | NS      | $14450.12      | 0.00%             | 2035-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TEXAS ST PRIV  3.922% 12/31/49                         | TEXAS ST PRIV ACTIVITY BOND SU REGD N/C B/E 3.92200000                                           | CUSIP: 882667AZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1810000 | NS      | $1370647.12    | 0.01%             | 2049-12-31      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAG 0.821% 04/15/24                         | GRAPHIC PACKAGING INTERN REGD 144A P/P 0.82100000                                                | CUSIP: 38869PAN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6170000 | NS      | $5774368.19    | 0.04%             | 2024-04-15      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| GNMA P#352022 7% 11/15/23                              | GINNIE MAE I POOL P#352022 7.00000000                                                            | CUSIP: 36203LAX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38 | NS      | $38.50         | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN EN 7.3% 08/15/33                         | KINDER MORGAN ENER PART REGD 7.30000000                                                          | CUSIP: 494550AQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | NS      | $1780720.66    | 0.01%             | 2033-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC2948 5% 09/01/39                              | FANNIE MAE POOL UMBS P#AC2948 5.00000000                                                         | CUSIP: 31417MH22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50786 | NS      | $51289.71      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2753 3% 04/20/45                           | GINNIE MAE II POOL P#MA2753 3.00000000                                                           | CUSIP: 36179RBW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2007377 | NS      | $1832458.57    | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-18 SP V/R 03/25/38                            | FANNIE MAE REMICS SER 2008-18 CL SP V/R 5.22258000                                               | CUSIP: 31396YXZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14571 | NS      | $12581.75      | 0.00%             | 2038-03-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W8 3A 7.5% 06/25/44                           | FANNIE MAE TRUST 2004-W8 SER 2004-W8 CL 3A 7.50000000                                            | CUSIP: 31394ALN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21103 | NS      | $21766.57      | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN F 4.5% 10/15/37                         | GOODMAN US FIN FOUR REGD 144A P/P 4.50000000                                                     | CUSIP: 38239KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | NS      | $167408.66     | 0.00%             | 2037-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC 3% 09/15/50                            | BAE SYSTEMS PLC REGD 144A P/P 3.00000000                                                         | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    754000 | NS      | $487976.06     | 0.00%             | 2050-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7534 2.5% 02/01/51                            | FREDDIE MAC POOL UMBS P#SD7534 2.50000000                                                        | CUSIP: 3132DVLP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13168313 | NS      | $11406437.90   | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDING 2.528% 11/18/27                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 2.52800000                                                | CUSIP: 05401AAR2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  15330000 | NS      | $12253186.37   | 0.08%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| P4 SFR 2019-STL A 7.5 10/11/26                         | P4 SFR 2019-STL A 7.5 10/11/26 7.25000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   5700000 | NS      | $5586000.00    | 0.04%             | 2026-10-11      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB2459 4% 03/01/41                              | FANNIE MAE POOL UMBS P#AB2459 4.00000000                                                         | CUSIP: 31416XWV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2977364 | NS      | $2859344.41    | 0.02%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 1993-58 H 5.5% 04/25/23                            | FANNIE MAE REMICS SER 1993-58 CL H 5.50000000                                                    | CUSIP: 31358UC95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       117 | NS      | $116.48        | 0.00%             | 2023-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H18 FA V/R 06/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H18 CL FA V/R 4.29157000                       | CUSIP: 38376REW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    727884 | NS      | $721192.77     | 0.00%             | 2065-06-20      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNR 2003-64 SX V/R 07/25/33                            | FANNIE MAE REMICS SER 2003-64 CL SX V/R 3.44965000                                               | CUSIP: 31393DJU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10396 | NS      | $9419.57       | 0.00%             | 2033-07-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNR 2007-100 SM V/R 10/25/37                           | FANNIE MAE REMICS SER 2007-100 CL SM V/R 2.06129000                                              | CUSIP: 31396XXQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     69511 | NS      | $6539.47       | 0.00%             | 2037-10-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| TSMC GLOBAL LT 4.625% 07/22/32                         | TSMC GLOBAL LTD REGD 144A P/P 4.62500000                                                         | CUSIP: 872882AN5<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |   1610000 | NS      | $1585308.85    | 0.01%             | 2032-07-22      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING G 4.5% 11/04/24                         | LLOYDS BANKING GROUP PLC REGD 4.50000000                                                         | CUSIP: 53944YAA1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2010000 | NS      | $1961486.98    | 0.01%             | 2024-11-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2927 2% 02/01/52                              | FANNIE MAE POOL UMBS P#CB2927 0.00000000                                                         | CUSIP: 3140QNHD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8791437 | NS      | $7170193.03    | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 2968 EH 6% 04/15/35                                | FREDDIE MAC REMICS SER 2968 CL EH 6.00000000                                                     | CUSIP: 31395RQ27<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    546995 | NS      | $554093.16     | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AH4R 2015-SFR 3.732% 10/17/25                          | AMERICAN HOMES 4 RENT 2015-SFR2 TRUST SER 2015-SFR2 CL A REGD 144A P/P 3.73200000                | CUSIP: 02666BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1685316 | NS      | $1593038.20    | 0.01%             | 2052-10-17      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM6272 2.5% 02/01/51                            | FANNIE MAE POOL UMBS P#FM6272 2.50000000                                                         | CUSIP: 3140X96J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1450667 | NS      | $1251754.79    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO 2.8% 04/01/25                         | ALABAMA POWER CO REGD 2.80000000                                                                 | CUSIP: 010392FN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2025000 | NS      | $1935334.26    | 0.01%             | 2025-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#810896 V/R 01/01/35                             | FANNIE MAE POOL UMBS P#810896 V/R 4.74200000                                                     | CUSIP: 31406H3D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     63185 | NS      | $63580.07      | 0.00%             | 2035-01-01      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8266 3.5% 09/20/52                         | GINNIE MAE II POOL P#MA8266 3.50000000                                                           | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1348161 | NS      | $1238758.98    | 0.01%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.25% 02/16/24                         | PACIFIC GAS & ELECTRIC REGD 3.25000000                                                           | CUSIP: 694308KA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19562000 | NS      | $19093534.71   | 0.12%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNR 2003-131 SK V/R 01/25/34                           | FANNIE MAE REMICS SER 2003-131 CL SK V/R 7.42258000                                              | CUSIP: 31393UZG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       877 | NS      | $874.11        | 0.00%             | 2034-01-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT 2.532% 10/01/30                         | DUQUESNE LIGHT HOLDINGS REGD 144A P/P 2.53200000                                                 | CUSIP: 266233AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | NS      | $1980598.40    | 0.01%             | 2030-10-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY I 5.4% 06/15/47                         | CENOVUS ENERGY INC REGD SER WI 5.40000000                                                        | CUSIP: 15135UAR0<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |   5827000 | NS      | $5211885.51    | 0.03%             | 2047-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CO 4% 01/22/25                         | BANK OF AMERICA CORP REGD MTN 4.00000000                                                         | CUSIP: 06051GFM6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3860000 | NS      | $3778015.45    | 0.02%             | 2025-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MAGELLAN MIDSTRE 3.2% 03/15/25                         | MAGELLAN MIDSTREAM PARTN REGD 3.20000000                                                         | CUSIP: 559080AH9<br>LEI: MZF5TI8NFVZZNUSKDL39 | Long             | DBT              | CORP              | US        |    386000 | NS      | $367900.84     | 0.00%             | 2025-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHR 3318 AO ZCP 05/15/37                               | FREDDIE MAC REMICS SER 3318 CL AO ZCP 0.00000000                                                 | CUSIP: 31397HCU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       574 | NS      | $496.90        | 0.00%             | 2037-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2005-68 DP V/R 06/17/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-68 CL DP V/R 6.00894000                        | CUSIP: 38374L4C2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37520 | NS      | $35045.22      | 0.00%             | 2035-06-17      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE0768 3.5% 04/01/52                            | FREDDIE MAC POOL UMBS P#QE0768 3.50000000                                                        | CUSIP: 3133B9Z98<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  30499990 | NS      | $27709932.32   | 0.18%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM1753 4% 05/01/37                              | FANNIE MAE POOL UMBS P#BM1753 4.00000000                                                         | CUSIP: 3140J55P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3619788 | NS      | $3485378.71    | 0.02%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 2234 PZ 7.5% 05/15/30                              | FREDDIE MAC REMICS SER 2234 CL PZ 7.50000000                                                     | CUSIP: 3133TNXB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3961 | NS      | $4207.39       | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV7787 2.5% 05/01/52                            | FANNIE MAE POOL UMBS P#BV7787 2.50000000                                                         | CUSIP: 3140MMUM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2371530 | NS      | $2010817.21    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2008-81 S V/R 09/20/38                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-81 CL S V/R 1.84714000                         | CUSIP: 38373M2Q2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    204992 | NS      | $3783.08       | 0.00%             | 2038-09-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| MYMICHIGAN HEA 3.409% 06/01/50                         | MYMICHIGAN HEALTH REGD SER 2020 3.40900000                                                       | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3480000 | NS      | $2391400.22    | 0.02%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS5133 3.5% 06/01/45                            | FANNIE MAE POOL UMBS P#AS5133 3.50000000                                                         | CUSIP: 3138WEV30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3176473 | NS      | $2954383.85    | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB 2013-C1 3.927% 11/15/23                          | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C17 SER 2013-C17 CL A3 REGD 3.92770000           | CUSIP: 46640UAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1415866 | NS      | $1388517.44    | 0.01%             | 2047-01-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 05/08/30                         | NATWEST GROUP PLC REGD V/R_ 4.44500000                                                           | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    985000 | NS      | $891926.98     | 0.01%             | 2030-05-08      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| RMIT 2020-1 B 3.23% 10/15/30                           | REGIONAL MANAGEMENT ISSUANCE TRUST 2020-1 SER 2020-1 CL B REGD 144A P/P 3.23000000               | CUSIP: 75907QAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2590000 | NS      | $2333905.20    | 0.01%             | 2030-10-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| FHR 2089 PJ 7% 10/15/28                                | FREDDIE MAC REMICS SER 2089 CL PJ 7.00000000                                                     | CUSIP: 3133TGKG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5741 | NS      | $466.99        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7518 3% 06/01/50                              | FREDDIE MAC POOL UMBS P#SD7518 3.00000000                                                        | CUSIP: 3132DVK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7966940 | NS      | $7094693.38    | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 3895 WA V/R 10/15/38                               | FREDDIE MAC REMICS SER 3895 CL WA V/R 5.65289100                                                 | CUSIP: 3137ACX95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34615 | NS      | $34529.79      | 0.00%             | 2038-10-15      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CM9938 V/R 04/20/72                          | GINNIE MAE II POOL P#CM9938 V/R 3.48100000                                                       | CUSIP: 3617YWBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3299906 | NS      | $2992485.39    | 0.02%             | 2072-04-20      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 2.355% 03/15/32                         | VERIZON COMMUNICATIONS REGD 2.35500000                                                           | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1056000 | NS      | $837093.40     | 0.01%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| WLAKE 2022-2A  5.48% 09/15/27                          | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-2 SER 2022-2A CL D REGD 144A P/P 5.48000000           | CUSIP: 96042VAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3500000 | NS      | $3341069.55    | 0.02%             | 2027-09-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| FHR 3607 AO ZCP 04/15/36                               | FREDDIE MAC REMICS SER 3607 CL AO ZCP 0.00000000                                                 | CUSIP: 31398LQK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33463 | NS      | $27337.56      | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2016-38 NA 3% 01/25/46                             | FANNIE MAE REMICS SER 2016-38 CL NA 3.00000000                                                   | CUSIP: 3136ASMM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1124046 | NS      | $1019694.73    | 0.01%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMCAR 2021-3 A 0.76% 08/18/24                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-3 SER 2021-3 CL A3 REGD 0.76000000                 | CUSIP: 03066JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3069000 | NS      | $2929007.57    | 0.02%             | 2026-08-18      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| GMCAR 2020-4 A4 0.5% 07/16/24                          | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-4 SER 2020-4 CL A4 REGD 0.50000000       | CUSIP: 36260KAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5097000 | NS      | $4757154.47    | 0.03%             | 2026-02-17      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| COCA-COLA FEMSA 1.85% 09/01/32                         | COCA-COLA FEMSA SAB CV REGD 1.85000000                                                           | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |   1500000 | NS      | $1129215.83    | 0.01%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FHR 2444 ES V/R 03/15/32                               | FREDDIE MAC REMICS SER 2444 CL ES V/R 3.63214000                                                 | CUSIP: 31392KUY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13024 | NS      | $1199.55       | 0.00%             | 2032-03-15      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| RMIT 2021-1 A 1.68% 09/15/25                           | REGIONAL MANAGEMENT ISSUANCE TRUST 2021-1 SER 2021-1 CL A REGD 144A P/P 1.68000000               | CUSIP: 75907VAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3183000 | NS      | $2867361.62    | 0.02%             | 2031-03-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| LIFE STORAGE LP 2.2% 10/15/30                          | LIFE STORAGE LP REGD 2.20000000                                                                  | CUSIP: 53227JAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2630000 | NS      | $2043153.82    | 0.01%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G1478 V/R 01/01/37                            | FREDDIE MAC NON GOLD POOL P#1G1478 V/R 2.16000000                                                | CUSIP: 3128QJUB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17650 | NS      | $17273.13      | 0.00%             | 2037-01-01      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO 5.7% 10/15/32                              | SOUTHERN CO REGD 5.70000000                                                                      | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   6562000 | NS      | $6712698.89    | 0.04%             | 2032-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNR 2001-72 SX V/R 12/25/31                            | FANNIE MAE REMICS SER 2001-72 CL SX V/R 7.24546700                                               | CUSIP: 31392BJG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       579 | NS      | $584.37        | 0.00%             | 2031-12-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/23/24                         | JPMORGAN CHASE & CO REGD V/R 3.55900000                                                          | CUSIP: 46647PAP1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   8000000 | NS      | $7947306.72    | 0.05%             | 2024-04-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 07/21/32                            | MORGAN STANLEY REGD V/R MTN SER GMTN 2.23900000                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3555000 | NS      | $2727374.63    | 0.02%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 12/14/26                          | SOCIETE GENERALE REGD V/R 144A P/P 1.48800000                                                    | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  19302000 | NS      | $16776589.44   | 0.11%             | 2026-12-14      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0464 3.5% 03/01/60                            | FANNIE MAE POOL UMBS P#BF0464 3.50000000                                                         | CUSIP: 3140FXQS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6990749 | NS      | $6413190.70    | 0.04%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSX CORP 4.1% 03/15/44                                 | CSX CORP REGD 4.10000000                                                                         | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    175000 | NS      | $146744.31     | 0.00%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GNR 2001-35 SA V/R 08/16/31                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2001-35 CL SA V/R 3.92371000                        | CUSIP: 38373RTZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7467 | NS      | $2.36          | 0.00%             | 2031-08-16      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2863 3% 01/01/47                              | FANNIE MAE POOL UMBS P#MA2863 3.00000000                                                         | CUSIP: 31418CFD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2059529 | NS      | $1839026.56    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSIO 3.75% 12/01/47                         | AEP TRANSMISSION CO LLC REGD SER WI 3.75000000                                                   | CUSIP: 00115AAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2600000 | NS      | $2014360.27    | 0.01%             | 2047-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OFFICE PPTY INCO 2.4% 02/01/27                         | OFFICE PPTY INCOME TRST REGD 2.40000000                                                          | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2800000 | NS      | $2045712.34    | 0.01%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FMMSR 2022-GT1 6.19% 04/25/27                          | FMC GMSR ISSUER TRUST SER 2022-GT1 CL A REGD 144A P/P 6.19000000                                 | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8209774 | NS      | $7299396.27    | 0.05%             | 2027-04-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN8933 3.53% 04/01/33                           | FANNIE MAE POOL UMBS P#AN8933 3.53000000                                                         | CUSIP: 3138LM4T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12230000 | NS      | $11213403.88   | 0.07%             | 2033-04-01      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FHR 2172 QC 7% 07/15/29                                | FREDDIE MAC REMICS SER 2172 CL QC 7.00000000                                                     | CUSIP: 3133TLLL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14818 | NS      | $15498.72      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 3305 MG V/R 07/15/34                               | FREDDIE MAC REMICS SER 3305 CL MG V/R 6.53786000                                                 | CUSIP: 31397GU73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21146 | NS      | $21680.53      | 0.00%             | 2034-07-15      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GRO 1.625% 11/24/27                         | VOLKSWAGEN GROUP AMERICA REGD 144A P/P 1.62500000                                                | CUSIP: 928668BN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    897000 | NS      | $751014.34     | 0.00%             | 2027-11-24      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 09/15/29                               | BNP PARIBAS REGD V/R 144A P/P 2.15900000                                                         | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4000000 | NS      | $3260885.32    | 0.02%             | 2029-09-15      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| MFIT 2019-AA B 3.51% 10/20/23                          | MARINER FINANCE ISSUANCE TRUST 2019-A SER 2019-AA CL B REGD 144A P/P 3.51000000                  | CUSIP: 56847MAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5235000 | NS      | $4968079.39    | 0.03%             | 2032-07-20      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| FNS 218 2 7.5% 04/25/23                                | FANNIE MAE INTEREST STRIP SER 218 CL 2 7.50000000                                                | CUSIP: 31364HVN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        13 | NS      | $0.09          | 0.00%             | 2023-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLB 4% 10/24/29                                       | FEDERAL HOME LOAN BANKS 4.00000000                                                               | CUSIP: 3130A0AT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2000000 | NS      | $1965896.22    | 0.01%             | 2029-10-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4119 2% 09/01/50                              | FANNIE MAE POOL UMBS P#MA4119 2.00000000                                                         | CUSIP: 31418DSH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6420238 | NS      | $5253270.30    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| METLIFE INC 4.875% 11/13/43                            | METLIFE INC REGD 4.87500000                                                                      | CUSIP: 59156RBG2<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2802060.63    | 0.02%             | 2043-11-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0560 2.5% 09/01/61                            | FANNIE MAE POOL UMBS P#BF0560 2.50000000                                                         | CUSIP: 3140FXTS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6486398 | NS      | $5365553.19    | 0.03%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2006-16 OP ZCP 03/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-16 CL OP ZCP 0.00000000                        | CUSIP: 38374MM63<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21390 | NS      | $18104.96      | 0.00%             | 2036-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/46                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834PZ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  20000000 | NS      | $7454363.40    | 0.05%             | 2046-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-23 EQ 5.5% 04/25/23                           | FANNIE MAE REMICS SER 2003-23 CL EQ 5.50000000                                                   | CUSIP: 31392J6N4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2358 | NS      | $2349.49       | 0.00%             | 2023-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR G95-1 C 8.8% 01/25/25                              | FANNIE MAE REMICS SER G95-1 CL C 8.80000000                                                      | CUSIP: 31359LMA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1193 | NS      | $1218.58       | 0.00%             | 2025-01-25      | Fixed         | 8.80%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC 5.15% 08/15/44                         | TYSON FOODS INC REGD 5.15000000                                                                  | CUSIP: 902494AY9<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    588000 | NS      | $544179.76     | 0.00%             | 2044-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| VMWARE INC 1.8% 08/15/28                               | VMWARE INC REGD 1.80000000                                                                       | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1928000 | NS      | $1574367.76    | 0.01%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNR 2010-35 SB V/R 04/25/40                            | FANNIE MAE REMICS SER 2010-35 CL SB V/R 2.03129000                                               | CUSIP: 31398PKD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     47577 | NS      | $3390.29       | 0.00%             | 2040-04-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 09/29/26                             | CITIGROUP INC REGD V/R 5.61000000                                                                | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4703000 | NS      | $4723114.64    | 0.03%             | 2026-09-29      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL 4.9% 08/15/44                         | PARAMOUNT GLOBAL REGD 4.90000000                                                                 | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    315000 | NS      | $230059.09     | 0.00%             | 2044-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIE 3.2% 01/15/25                         | BOSTON PROPERTIES LP REGD 3.20000000                                                             | CUSIP: 10112RAZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1139000 | NS      | $1089413.24    | 0.01%             | 2025-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ARMI 2022-1 A1 V/R 05/24/25                            | VM MASTER ISSUER LLC SER 2022-1 CL A1 V/R REGD 144A P/P 5.16300000                               | CUSIP: 92859MAA8<br>LEI: 549300DTHP15ZDVADB72 | Long             | ABS-CBDO         | CORP              | US        |  10800000 | NS      | $10229029.92   | 0.07%             | 2025-05-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| UMBS P#790235 V/R 08/01/34                             | FANNIE MAE POOL UMBS P#790235 V/R 3.86000000                                                     | CUSIP: 31405H4U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5998 | NS      | $5909.83       | 0.00%             | 2034-08-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 10/22/30                         | BANK OF AMERICA CORP REGD V/R MTN 2.88400000                                                     | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5130000 | NS      | $4291630.01    | 0.03%             | 2030-10-22      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8190 3% 01/01/52                              | FREDDIE MAC POOL UMBS P#SD8190 3.00000000                                                        | CUSIP: 3132DWC35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8972033 | NS      | $7882830.68    | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNAT 6.95% 11/15/29                         | EDISON INTERNATIONAL REGD 6.95000000                                                             | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   5701000 | NS      | $5953447.63    | 0.04%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC 3.9% 08/20/28                               | ZOETIS INC REGD SER 10YR 3.90000000                                                              | CUSIP: 98978VAN3<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   4685000 | NS      | $4450211.08    | 0.03%             | 2028-08-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHR 3219 DI 6% 04/15/36                                | FREDDIE MAC REMICS SER 3219 CL DI 6.00000000                                                     | CUSIP: 31397BF22<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31393 | NS      | $5998.68       | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2020-3 M5TW 3% 05/25/60                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-3 SER 2020-3 CL M5TW 3.00000000                  | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6026727 | NS      | $5379755.12    | 0.03%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INT 6.8% 10/14/25                         | ENEL FINANCE INTL NV REGD 144A P/P 6.80000000                                                    | CUSIP: 29278GAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   6553000 | NS      | $6728808.27    | 0.04%             | 2025-10-14      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5264 4% 06/20/48                           | GINNIE MAE II POOL P#MA5264 4.00000000                                                           | CUSIP: 36179TZ57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2264376 | NS      | $2162738.19    | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BJETS 2020-1A 2.981% 11/15/35                          | BUSINESS JET SECURITIES 2020-1 LLC SER 2020-1A CL A REGD 144A P/P 2.98100000                     | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4284875 | NS      | $3902829.46    | 0.03%             | 2035-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.75% 11/15/43                            | UNITED STATES TREASURY BOND 3.75000000                                                           | CUSIP: 912810RD2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  10943000 | NS      | $10256497.68   | 0.07%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MT SINAI HOSPI 3.981% 07/01/48                         | MT SINAI HOSPITAL REGD SER 2017 3.98100000                                                       | CUSIP: 623115AD4<br>LEI: 549300IJEDK5LH7YPT15 | Long             | DBT              | CORP              | US        |    999000 | NS      | $772571.66     | 0.00%             | 2048-07-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 06/09/27                          | SOCIETE GENERALE REGD V/R 144A P/P MTN 1.79200000                                                | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   5930000 | NS      | $5102232.02    | 0.03%             | 2027-06-09      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP 3.25% 04/15/25                              | CIGNA CORP REGD SER * 3.25000000                                                                 | CUSIP: 125523AV2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    970000 | NS      | $934094.41     | 0.01%             | 2025-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1621 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1J1621 V/R 3.55500000                                                | CUSIP: 3128NHYS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26699 | NS      | $26669.01      | 0.00%             | 2037-05-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| GNR 2014-41 W V/R 10/20/42                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-41 CL W V/R 4.69320000                         | CUSIP: 38379AX39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    551307 | NS      | $542253.27     | 0.00%             | 2042-10-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8345 3.5% 10/20/52                         | GINNIE MAE II POOL P#MA8345 3.50000000                                                           | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13588029 | NS      | $12485353.42   | 0.08%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.375% 01/31/26                           | UNITED STATES TREASURY NOTE 0.37500000                                                           | CUSIP: 91282CBH3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3785000 | NS      | $3367615.03    | 0.02%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHR 2436 MC 7% 04/15/32                                | FREDDIE MAC REMICS SER 2436 CL MC 7.00000000                                                     | CUSIP: 3133TVR99<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6888 | NS      | $7105.35       | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV7120 4% 04/01/52                              | FANNIE MAE POOL UMBS P#BV7120 4.00000000                                                         | CUSIP: 3140ML4E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5738388 | NS      | $5384608.89    | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3939 4.5% 09/20/46                         | GINNIE MAE II POOL P#MA3939 4.50000000                                                           | CUSIP: 36179SLU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    904997 | NS      | $886930.40     | 0.01%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 04/28/26                            | MORGAN STANLEY REGD V/R MTN 2.18800000                                                           | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6000000 | NS      | $5575591.74    | 0.04%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H24 FA V/R 03/20/60                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H24 CL FA V/R 4.29157000                       | CUSIP: 38375BWP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17936 | NS      | $17572.35      | 0.00%             | 2060-03-20      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| IMSA 2006-1 2A V/R 05/25/36__                          | IMPAC SECURED ASSETS CMN OWNER  TRUST 2006-1 2A1 V/R REGD__ 5.08871000                           | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52447 | NS      | $44364.80      | 0.00%             | 2036-05-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHR 3957 B 4% 11/15/41                                 | FREDDIE MAC REMICS SER 3957 CL B 4.00000000                                                      | CUSIP: 3137AHAX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    162669 | NS      | $155727.58     | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORDO 2020-A A 1.35% 07/15/25                          | FORD CREDIT AUTO OWNER TRUST 2020-A SER 2020-A CL A4 REGD 1.35000000                             | CUSIP: 34528GAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2163000 | NS      | $2092941.08    | 0.01%             | 2025-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 02/07/30                         | BANK OF AMERICA CORP REGD V/R MTN 3.97400000                                                     | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2820000 | NS      | $2561207.81    | 0.02%             | 2030-02-07      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNW 2006-W2 1AF1 V/R 02/25/36                          | FANNIE MAE TRUST 2006-W2 SER 2006-W2 CL 1AF1 V/R 4.60871000                                      | CUSIP: 31395N5A1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    258999 | NS      | $255324.79     | 0.00%             | 2046-02-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF 4.5% 05/15/58                         | CON EDISON CO OF NY INC REGD 4.50000000                                                          | CUSIP: 209111FQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    538000 | NS      | $446143.58     | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q43413 3% 10/01/46                             | FREDDIE MAC GOLD POOL P#Q43413 3.00000000                                                        | CUSIP: 3132WGYK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3522652 | NS      | $3156409.70    | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOL 2.811% 01/11/41                         | CREDIT AGRICOLE SA REGD 144A P/P 2.81100000                                                      | CUSIP: 225313AN5<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   1485000 | NS      | $917245.28     | 0.01%             | 2041-01-11      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC 5.8% 02/01/42                             | NISOURCE INC REGD 5.80000000                                                                     | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    774000 | NS      | $722783.40     | 0.00%             | 2042-02-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY I 3.9% 05/15/27                         | COTERRA ENERGY INC REGD SER WI 3.90000000                                                        | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   3045000 | NS      | $2843180.41    | 0.02%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNR 2007-78 CB 6% 08/25/37                             | FANNIE MAE REMICS SER 2007-78 CL CB 6.00000000                                                   | CUSIP: 31396W5X0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8351 | NS      | $8475.92       | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6015 3.5% 08/01/42                            | FANNIE MAE POOL UMBS P#AB6015 3.50000000                                                         | CUSIP: 31417CVH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    326611 | NS      | $305637.08     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRO V/R 06/05/26                         | CREDIT SUISSE GROUP AG REGD V/R 144A P/P 2.19300000                                              | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1020000 | NS      | $871173.53     | 0.01%             | 2026-06-05      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1208 3% 10/01/42                              | FANNIE MAE POOL UMBS P#MA1208 3.00000000                                                         | CUSIP: 31418AKW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1868270 | NS      | $1699938.06    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSMS 2016-GS4 A4 V/R 11/10/26                          | GS MORTGAGE SECURITIES TRUST 2016-GS4 SER 2016-GS4 CL A4 V/R REGD 3.44200000                     | CUSIP: 36251XAR8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1317000 | NS      | $1224756.53    | 0.01%             | 2049-11-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKO 8.75% 06/15/30                         | DEUTSCHE TELEKOM INT FIN REGD 8.75000000                                                         | CUSIP: 25156PAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     49000 | NS      | $57783.61      | 0.00%             | 2030-06-15      | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| BJETS 2021-1A 2.162% 04/15/27                          | BUSINESS JET SECURITIES 2021-1 LLC SER 2021-1A CL A REGD 144A P/P 2.16200000                     | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3825869 | NS      | $3359318.43    | 0.02%             | 2036-04-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| FHR 2575 ME 6% 02/15/33                                | FREDDIE MAC REMICS SER 2575 CL ME 6.00000000                                                     | CUSIP: 31393KSG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    103481 | NS      | $106042.12     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOS 2.928% 07/15/50                         | CHILDREN'S HOSPITAL/DC REGD SER 2020 2.92800000                                                  | CUSIP: 16876DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1340000 | NS      | $845757.87     | 0.01%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2841 2.5% 12/01/36                            | FANNIE MAE POOL UMBS P#MA2841 2.50000000                                                         | CUSIP: 31418CEP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1311912 | NS      | $1180126.13    | 0.01%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0753 7% 01/01/39                              | FANNIE MAE POOL UMBS P#AD0753 7.00000000                                                         | CUSIP: 31418MZT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130988 | NS      | $140315.07     | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#782979 V/R 01/01/35                            | FREDDIE MAC NON GOLD POOL P#782979 V/R 2.37500000                                                | CUSIP: 31349UJY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57978 | NS      | $58535.54      | 0.00%             | 2035-01-01      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA0243 4.5% 08/01/47                            | FANNIE MAE POOL UMBS P#CA0243 4.50000000                                                         | CUSIP: 3140Q7HV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    339531 | NS      | $333364.66     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 2002-1 UD V/R 12/25/23                             | FANNIE MAE REMICS SER 2002-1 CL UD V/R 9.13951500                                                | CUSIP: 31392BWF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       276 | NS      | $271.55        | 0.00%             | 2023-12-25      | Variable      | 9.14%                 | No            |                  2 | On Loan: No      |
| MANITOBA (PROV 2.125% 06/22/26                         | MANITOBA (PROVINCE OF) REGD 2.12500000                                                           | CUSIP: 563469UL7<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | USGA              | CA        |    400000 | NS      | $369823.48     | 0.00%             | 2026-06-22      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FHR 3510 OD ZCP 02/15/37                               | FREDDIE MAC REMICS SER 3510 CL OD ZCP 0.00000000                                                 | CUSIP: 31397YZP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29543 | NS      | $24266.24      | 0.00%             | 2037-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-72 GO ZCP 08/25/36                            | FANNIE MAE REMICS SER 2006-72 CL GO ZCP 0.00000000                                               | CUSIP: 31396KJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32426 | NS      | $28373.95      | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING L 4% 03/27/27                         | GLENCORE FUNDING LLC REGD 144A P/P 4.00000000                                                    | CUSIP: 378272AN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6300000 | NS      | $5945455.85    | 0.04%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2004-46 EP V/R 03/25/34                            | FANNIE MAE REMICS SER 2004-46 CL EP V/R 0.00000000                                               | CUSIP: 31393YQ99<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31245 | NS      | $29409.94      | 0.00%             | 2034-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 2475 S V/R 02/15/32                                | FREDDIE MAC REMICS SER 2475 CL S V/R 3.68214000                                                  | CUSIP: 31392RB59<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32552 | NS      | $3243.10       | 0.00%             | 2032-02-15      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| MLMI 2003-A5 2A6 V/R 08/25/33                          | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERI SER 2003-A5 CL 2A6 V/R REGD 3.49400600               | CUSIP: 5899293T3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12684 | NS      | $11708.40      | 0.00%             | 2033-08-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FSPC T-62 1A1 V/R 10/25/44                             | FSPC T-62 1A1 V/R 10/25/44 3.24826000                                                            | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    253787 | NS      | $252556.30     | 0.00%             | 2044-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNR 2009-81 SB V/R 09/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-81 CL SB V/R 1.73714000                        | CUSIP: 38376F4W9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    203685 | NS      | $14074.42      | 0.00%             | 2039-09-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| CBOE GLOBAL MA 1.625% 12/15/30                         | CBOE GLOBAL MARKETS INC REGD 1.62500000                                                          | CUSIP: 12503MAC2<br>LEI: 529900RLNSGA90UPEH54 | Long             | DBT              | CORP              | US        |  10880000 | NS      | $8443464.80    | 0.05%             | 2030-12-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G61849 4.5% 11/01/46                           | FREDDIE MAC GOLD POOL P#G61849 4.50000000                                                        | CUSIP: 31335CBS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5097838 | NS      | $5059371.97    | 0.03%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACAR 2020-4 C 1.31% 12/13/23                           | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2020-4 SER 2020-4 CL C REGD 144A P/P 1.31000000     | CUSIP: 02530QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2243129 | NS      | $2206635.09    | 0.01%             | 2026-12-14      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| JPMMT 2006-A2 5A3 V/R 11/25/33                         | JP MORGAN MORTGAGE TRUST SERIES 2006-A2 CLASS 5A3 REGD VARIABLE 4.19093400                       | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     77297 | NS      | $73524.58      | 0.00%             | 2033-11-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKIN 4.5% 03/19/24                         | AUST & NZ BANKING GROUP REGD P/P 4.50000000                                                      | CUSIP: 052528AH9<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   9000000 | NS      | $8889252.93    | 0.06%             | 2024-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 3.875% 10/27/27                         | GLENCORE FUNDING LLC REGD 144A P/P 3.87500000                                                    | CUSIP: 378272AQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    875000 | NS      | $816760.00     | 0.01%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60393 3.5% 01/01/46                           | FREDDIE MAC GOLD POOL P#G60393 3.50000000                                                        | CUSIP: 31335ANJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3592715 | NS      | $3343760.30    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS F 3.7% 05/09/23                         | GENERAL MOTORS FINL CO REGD 3.70000000                                                           | CUSIP: 37045XBK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4180000 | NS      | $4159310.42    | 0.03%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| TPMT 2021-R1 A1 V/R 04/27/29                           | TOWD POINT MORTGAGE TRUST 2021-R1 SER 2021-R1 CL A1 V/R REGD 144A P/P 2.91808000                 | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13972634 | NS      | $11155523.58   | 0.07%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4900 3.5% 12/20/47                         | GINNIE MAE II POOL P#MA4900 3.50000000                                                           | CUSIP: 36179TNR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    841806 | NS      | $785070.95     | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-3 A1 V/R 04/25/26                            | PRPM 2021-3 LLC SER 2021-3 CL A1 V/R REGD 144A P/P 1.86700000                                    | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1883667 | NS      | $1679310.45    | 0.01%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL8044 4.5% 11/01/42                            | FANNIE MAE POOL UMBS P#AL8044 4.50000000                                                         | CUSIP: 3138EQ5E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2719755 | NS      | $2696173.14    | 0.02%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV V/R 12/13/29                          | ABN AMRO BANK NV REGD V/R 144A P/P 2.47000000                                                    | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1300000 | NS      | $1051215.80    | 0.01%             | 2029-12-13      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| BAFC 2004-1 PO ZCP 03/25/34                            | BANC OF AMERICA FUNDING 2004-1 TRUST SER 2004-1 CL PO ZCP REGD 0.00000000                        | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12522 | NS      | $8705.28       | 0.00%             | 2034-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN FIN ORG M 3.25% 04/24/23                         | JAPAN FIN ORG MUNICIPAL REGD 144A P/P MTN 3.25000000                                             | CUSIP: 471068AM8<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | USGA              | JP        |   1000000 | NS      | $994867.17     | 0.01%             | 2023-04-24      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATI 3.45% 02/02/61                         | SAUDI INTERNATIONAL BOND REGD 144A P/P MTN 3.45000000                                            | CUSIP: 80413TAW9<br>LEI: N/A                  | Long             | DBT              | USGA              | SA        |   1185000 | NS      | $847275.00     | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP 4.7% 12/09/35                          | MCDONALD'S CORP REGD MTN 4.70000000                                                              | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    216000 | NS      | $206570.71     | 0.00%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| STATE STREET COR 2.2% 03/03/31                         | STATE STREET CORP REGD 2.20000000                                                                | CUSIP: 857477BP7<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |  14130000 | NS      | $11297018.08   | 0.07%             | 2031-03-03      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNR 2001-52 KB 6.5% 10/25/31                           | FANNIE MAE REMICS SER 2001-52 CL KB 6.50000000                                                   | CUSIP: 313921KW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2666 | NS      | $2717.39       | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08368 4.5% 10/01/39                           | FREDDIE MAC GOLD POOL P#G08368 4.50000000                                                        | CUSIP: 3128MJMS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    607798 | NS      | $603051.72     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIO 3.5% 08/15/27                         | COX COMMUNICATIONS INC REGD 144A P/P 3.50000000                                                  | CUSIP: 224044CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8245000 | NS      | $7653519.12    | 0.05%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN  4.28% 08/14/41                         | UNITED MEXICAN STATES REGD 4.28000000                                                            | CUSIP: 91087BAQ3<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   6339000 | NS      | $4887510.36    | 0.03%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FNR 2006-50 PS ZCP 06/25/36                            | FANNIE MAE REMICS SER 2006-50 CL PS ZCP 0.00000000                                               | CUSIP: 31395DTS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     70427 | NS      | $60563.09      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CR2 3.505% 07/10/25                          | COMM 2015-CCRE25 MORTGAGE TRUST SER 2015-CR25 CL A3 REGD 3.50500000                              | CUSIP: 12593PAV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9489079 | NS      | $9023118.45    | 0.06%             | 2048-08-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-112 MJ 6.5% 12/25/37                          | FANNIE MAE REMICS SER 2007-112 CL MJ 6.50000000                                                  | CUSIP: 31396X4N1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74926 | NS      | $77501.99      | 0.00%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 3286 PO ZCP 03/15/37                               | FREDDIE MAC REMICS SER 3286 CL PO ZCP 0.00000000                                                 | CUSIP: 31397G4B3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1153 | NS      | $944.07        | 0.00%             | 2037-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 4.049% 11/01/52                           | COMCAST CORP REGD SER WI 4.04900000                                                              | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    156000 | NS      | $123462.43     | 0.00%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FHR 3290 SB V/R 03/15/37                               | FREDDIE MAC REMICS SER 3290 CL SB V/R 2.13214000                                                 | CUSIP: 31397FR79<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34674 | NS      | $2712.45       | 0.00%             | 2037-03-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| LMAT 2021-GS1 A1 V/R 10/25/66                          | LEGACY MORTGAGE ASSET TRUST 2021-GS1 SER 2021-GS1 CL A1 V/R REGD 144A P/P 1.89200000             | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5189396 | NS      | $4742456.28    | 0.03%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P50523 6.5% 12/01/35                           | FREDDIE MAC GOLD POOL P#P50523 6.50000000                                                        | CUSIP: 31288LSL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10218 | NS      | $10011.78      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MSBAM 2015-C2 3.249% 12/15/24                          | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 20 SER 2015-C20 CL A4 REGD 3.24900000         | CUSIP: 61764RBF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3652000 | NS      | $3479758.17    | 0.02%             | 2048-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COTTAGE HEALTH 3.304% 11/01/49                         | COTTAGE HEALTH SYSTEM REGD SER 2020 3.30400000                                                   | CUSIP: 22170QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1530000 | NS      | $1073207.82    | 0.01%             | 2049-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| JPMMT 2006-A7 2A V/R 01/25/37                          | JP MORGAN MORTGAGE TRUST 2006-A7 SER 2006-A7 CL 2A4R V/R REGD 3.84807400                         | CUSIP: 46629DAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49387 | NS      | $38069.83      | 0.00%             | 2037-01-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.25% 11/01/39                            | COMCAST CORP REGD 3.25000000                                                                     | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   3295000 | NS      | $2566925.43    | 0.02%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1N1477 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1N1477 V/R 4.71000000                                                | CUSIP: 3128QHUA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9290 | NS      | $9525.94       | 0.00%             | 2037-05-01      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| DCENT 2022-A3  3.56% 07/15/25                          | DISCOVER CARD EXECUTION NOTE TRUST SER 2022-A3 CL A3 REGD 3.56000000                             | CUSIP: 254683CW3<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-CBDO         | CORP              | US        |   9506000 | NS      | $9228338.30    | 0.06%             | 2027-07-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL IN 1.57% 01/15/26                         | BERRY GLOBAL INC REGD 1.57000000                                                                 | CUSIP: 08576PAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17410000 | NS      | $15509102.21   | 0.10%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH  4.854% 04/27/35                         | L3HARRIS TECH INC REGD 4.85400000                                                                | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1000000 | NS      | $931779.23     | 0.01%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#BK8758 4.5% 07/01/49                            | FANNIE MAE POOL UMBS P#BK8758 4.50000000                                                         | CUSIP: 3140HNWU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3356579 | NS      | $3290014.02    | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD 4.125% 03/15/35                            | NUTRIEN LTD REGD 4.12500000                                                                      | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   1960000 | NS      | $1688457.50    | 0.01%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHMS K146 A2 2.92% 06/25/32                            | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K146 CL A2 2.92000000           | CUSIP: 3137H7ZB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9700000 | NS      | $8524792.62    | 0.05%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| MCMLT 2021-RS1 A V/R 09/28/24                          | MILL CITY SECURITIES 2021-RS1 LTD SER 2021-RS1 CL A1 V/R REGD 144A P/P 2.90665000                | CUSIP: 59982YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7876481 | NS      | $7053624.54    | 0.05%             | 2066-04-28      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.5% 2/15/25                              | UNITED STATES TREASURY NOTE 1.50000000                                                           | CUSIP: 91282CDZ1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  16400000 | NS      | $15437781.17   | 0.10%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H01 F 1.65% 01/20/63                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H01 CL FA 1.65000000                           | CUSIP: 38375BE73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       932 | NS      | $835.57        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF IN 4.125% 01/15/25                         | REPUBLIC OF INDONESIA REGD P/P MTN 4.12500000                                                    | CUSIP: 455780BT2<br>LEI: N/A                  | Long             | DBT              | USGA              | ID        |   1325000 | NS      | $1310479.46    | 0.01%             | 2025-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO 2.8% 06/15/50                           | PECO ENERGY CO REGD 2.80000000                                                                   | CUSIP: 693304AY3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    860000 | NS      | $562567.19     | 0.00%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNR 2007-70 Z 5.5% 07/25/37                            | FANNIE MAE REMICS SER 2007-70 CL Z 5.50000000                                                    | CUSIP: 31396WRM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73898 | NS      | $74471.86      | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3152 2% 03/01/52                              | FANNIE MAE POOL UMBS P#CB3152 2.00000000                                                         | CUSIP: 3140QNQE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20271946 | NS      | $16515241.20   | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UDR INC 1.9% 03/15/33                                  | UDR INC REGD MTN 1.90000000                                                                      | CUSIP: 90265EAU4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   2025000 | NS      | $1441683.36    | 0.01%             | 2033-03-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH3394 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH3394 4.00000000                                                         | CUSIP: 3138A4XY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    376357 | NS      | $361438.26     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4715 3% 04/01/45                              | FANNIE MAE POOL UMBS P#AS4715 3.00000000                                                         | CUSIP: 3138WEGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3647572 | NS      | $3282608.38    | 0.02%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#746299 V/R 09/01/33                             | FANNIE MAE POOL UMBS P#746299 V/R 4.06000000                                                     | CUSIP: 31403EDC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5847 | NS      | $5929.81       | 0.00%             | 2033-09-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6619 3.5% 10/01/42                            | FANNIE MAE POOL UMBS P#AB6619 3.50000000                                                         | CUSIP: 31417DK93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    165027 | NS      | $154475.89     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLT 2021-NPL5 A V/R 03/27/51                          | VOLT XCVI LLC SER 2021-NPL5 CL A1 V/R REGD 144A P/P 2.11570000                                   | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11706327 | NS      | $10612412.00   | 0.07%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATI 2.25% 02/02/33                         | SAUDI INTERNATIONAL BOND REGD 144A P/P MTN 2.25000000                                            | CUSIP: 80413TAV1<br>LEI: N/A                  | Long             | DBT              | USGA              | SA        |   1533000 | NS      | $1243244.60    | 0.01%             | 2033-02-02      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM5787 4% 08/01/47                              | FANNIE MAE POOL UMBS P#BM5787 4.00000000                                                         | CUSIP: 3140JAND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2927232 | NS      | $2805945.14    | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FELLS POINT FU 3.046% 01/31/27                         | FELLS POINT FUNDING TR REGD 144A P/P 3.04600000                                                  | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9320000 | NS      | $8482049.89    | 0.05%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| LYB INTL FINANC 5.25% 07/15/43                         | LYB INTL FINANCE BV REGD 5.25000000                                                              | CUSIP: 50247VAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    610000 | NS      | $535555.64     | 0.00%             | 2043-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPE 6.2% 10/15/37                         | TRANSCANADA PIPELINES REGD 6.20000000                                                            | CUSIP: 89352HAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    573000 | NS      | $584217.84     | 0.00%             | 2037-10-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A93996 4.5% 09/01/40                           | FREDDIE MAC GOLD POOL P#A93996 4.50000000                                                        | CUSIP: 312942NM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    113535 | NS      | $112677.00     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WFCM 2018-C47 4.442% 09/15/28                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C47 SER 2018-C47 CL A4 REGD 4.44200000                | CUSIP: 95002DBG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8850000 | NS      | $8466816.24    | 0.05%             | 2061-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| FNR 2005-74 SK V/R 05/25/35                            | FANNIE MAE REMICS SER 2005-74 CL SK V/R 8.06104800                                               | CUSIP: 31394FDH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19761 | NS      | $19261.58      | 0.00%             | 2035-05-25      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| FHR 2671 S V/R 09/15/33                                | FREDDIE MAC REMICS SER 2671 CL S V/R 6.84225700                                                  | CUSIP: 31394HVK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10105 | NS      | $10388.10      | 0.00%             | 2033-09-15      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| UMBS P#BU8763 3% 04/01/52                              | FANNIE MAE POOL UMBS P#BU8763 3.00000000                                                         | CUSIP: 3140MAWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    485511 | NS      | $427131.77     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROU 4.35% 06/08/27                         | VOLKSWAGEN GROUP AMERICA REGD 144A P/P 4.35000000                                                | CUSIP: 928668BS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12500000 | NS      | $11981644.63   | 0.08%             | 2027-06-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FHR 3179 OA ZCP 07/15/36                               | FREDDIE MAC REMICS SER 3179 CL OA ZCP 0.00000000                                                 | CUSIP: 31396UFA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11230 | NS      | $9227.05       | 0.00%             | 2036-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.25% 05/15/42                            | UNITED STATES TREASURY BOND 3.25000000                                                           | CUSIP: 912810TH1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  19933000 | NS      | $17475634.84   | 0.11%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7648 2% 10/20/51                           | GINNIE MAE II POOL P#MA7648 2.00000000                                                           | CUSIP: 36179WP93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2630508 | NS      | $2210553.81    | 0.01%             | 2051-10-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CM1196 5% 05/20/52                           | GINNIE MAE II POOL P#CM1196 5.00000000                                                           | CUSIP: 3617YLKH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3645712 | NS      | $3584591.28    | 0.02%             | 2052-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4894 2.5% 05/01/30                            | FANNIE MAE POOL UMBS P#AS4894 2.50000000                                                         | CUSIP: 3138WENL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1115368 | NS      | $1045864.59    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR 5.103% 04/23/48                         | STATE OF QATAR REGD 144A P/P 5.10300000                                                          | CUSIP: 74727PAY7<br>LEI: N/A                  | Long             | DBT              | USGA              | QA        |   3140000 | NS      | $3152974.48    | 0.02%             | 2048-04-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A57681 6% 12/01/36                             | FREDDIE MAC GOLD POOL P#A57681 6.00000000                                                        | CUSIP: 3128KLRA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3324 | NS      | $3474.13       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENE 3.95% 03/01/48                         | CENTERPOINT ENER HOUSTON REGD 3.95000000                                                         | CUSIP: 15189XAS7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    151000 | NS      | $123602.51     | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHI 2.55% 01/27/32                         | REPUBLIC OF CHILE REGD 2.55000000                                                                | CUSIP: 168863DN5<br>LEI: N/A                  | Long             | DBT              | USGA              | CL        |   1398000 | NS      | $1143811.33    | 0.01%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNR 1993-25 J 7.5% 03/25/23                            | FANNIE MAE REMICS SER 1993-25 CL J 7.50000000                                                    | CUSIP: 31358TWE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        73 | NS      | $73.03         | 0.00%             | 2023-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#574710 5.5% 09/15/34                            | GINNIE MAE I POOL P#574710 5.50000000                                                            | CUSIP: 36200WN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2271 | NS      | $2301.79       | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 05/18/29                         | NATWEST GROUP PLC REGD V/R 4.89200000                                                            | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   6005000 | NS      | $5681702.63    | 0.04%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNR 2006-44 P ZCP 12/25/33                             | FANNIE MAE REMICS SER 2006-44 CL P ZCP 0.00000000                                                | CUSIP: 31395NBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45041 | NS      | $37275.14      | 0.00%             | 2033-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN4917 3.13% 03/01/27                           | FANNIE MAE POOL UMBS P#AN4917 3.13000000                                                         | CUSIP: 3138LHPB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6758491 | NS      | $6387041.12    | 0.04%             | 2027-03-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.5% 02/15/39                             | UNITED STATES TREASURY BOND 3.50000000                                                           | CUSIP: 912810QA9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  22157400 | NS      | $20811511.00   | 0.13%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AI1892 5% 05/01/41                              | FANNIE MAE POOL UMBS P#AI1892 5.00000000                                                         | CUSIP: 3138AFC65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55766 | NS      | $56318.93      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-28CB 3 6% 08/25/35                          | ALTERNATIVE LOAN TRUST 2005-28CB SER 2005-28CB CL 3A5 REGD 6.00000000                            | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5220 | NS      | $2504.84       | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#816594 V/R 02/01/35                             | FANNIE MAE POOL UMBS P#816594 V/R 3.79400000                                                     | CUSIP: 31406QGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2129 | NS      | $2165.41       | 0.00%             | 2035-02-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FHR 4013 QF V/R 03/15/41                               | FREDDIE MAC REMICS SER 4013 CL QF V/R 4.86786000                                                 | CUSIP: 3137ANHM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    219148 | NS      | $217619.73     | 0.00%             | 2041-03-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H01 JA V/R 01/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H01 CL JA V/R 4.16157000                       | CUSIP: 38375BF31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    277350 | NS      | $274323.26     | 0.00%             | 2063-01-20      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  2.35% 01/08/31                         | GENERAL MOTORS FINL CO REGD 2.35000000                                                           | CUSIP: 37045XDE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1707000 | NS      | $1287102.99    | 0.01%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO9353 4% 07/01/42                              | FANNIE MAE POOL UMBS P#AO9353 4.00000000                                                         | CUSIP: 3138M1MB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    225815 | NS      | $215762.89     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016- 3.1% 10/07/28                         | UNITED AIR 2016-2 A PTT REGD SER A 3.10000000                                                    | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2207071 | NS      | $1782010.29    | 0.01%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A97943 5% 04/01/41                             | FREDDIE MAC GOLD POOL P#A97943 5.00000000                                                        | CUSIP: 312946ZG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    452475 | NS      | $458706.95     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2920 3% 03/01/47                              | FANNIE MAE POOL UMBS P#MA2920 3.00000000                                                         | CUSIP: 31418CG65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    356322 | NS      | $318492.01     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNA 2019-M1 A2 V/R 09/25/28                            | FANNIE MAE-ACES SER 2019-M1 CL A2 V/R 3.54700000                                                 | CUSIP: 3136B3XY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6572465 | NS      | $6309476.01    | 0.04%             | 2028-09-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| EATON CORP 5.8% 03/15/37                               | EATON CORP REGD 5.80000000                                                                       | CUSIP: 278058DB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | NS      | $495385.30     | 0.00%             | 2037-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNR 1997-20 IB V/R 03/25/27                            | FANNIE MAE REMICS SER 1997-20 CL IB V/R 1.84000000                                               | CUSIP: 31359N4S7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       248 | NS      | $2.15          | 0.00%             | 2027-03-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALT 4.625% 05/15/42                         | ELEVANCE HEALTH INC REGD 4.62500000                                                              | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    400000 | NS      | $363721.36     | 0.00%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL V/R 12/15/32                          | BANK OF MONTREAL REGD V/R 3.80300000                                                             | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   7167000 | NS      | $6310689.99    | 0.04%             | 2032-12-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| CAMPBELL SOUP  3.125% 04/24/50                         | CAMPBELL SOUP CO REGD 3.12500000                                                                 | CUSIP: 134429BK4<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    494000 | NS      | $334466.52     | 0.00%             | 2050-04-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H24 FG V/R 04/20/60                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H24 CL FG V/R 4.27157000                       | CUSIP: 38375BXB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8669 | NS      | $8506.35       | 0.00%             | 2060-04-20      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANC 3.65% 03/05/25                         | WOODSIDE FINANCE LTD REGD P/P 3.65000000                                                         | CUSIP: 980236AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   3300000 | NS      | $3167755.73    | 0.02%             | 2025-03-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2% 11/15/41                               | UNITED STATES TREASURY BOND 2.00000000                                                           | CUSIP: 912810TC2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  22413000 | NS      | $16003407.36   | 0.10%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2011-47 ZA 5.5% 07/25/38                           | FANNIE MAE REMICS SER 2011-47 CL ZA 5.50000000                                                   | CUSIP: 31397UEP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     89010 | NS      | $88642.21      | 0.00%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#928584 6.5% 08/01/37                            | FANNIE MAE POOL UMBS P#928584 6.50000000                                                         | CUSIP: 31412LUH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12729 | NS      | $13375.23      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MARM 2004-13 3.8176% 4/21//34_                         | MASTER ADJUSTABLE RATE   MORTGAGES TRUST SERIES 2004-13 CLASS 2A1 REGD_ 4.02054200               | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52136 | NS      | $49042.55      | 0.00%             | 2034-04-21      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FKH 2021-SFR1 1.538% 08/17/26                          | FIRSTKEY HOMES 2021-SFR1 TRUST SER 2021-SFR1 CL A REGD 144A P/P 1.53800000                       | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12412738 | NS      | $10764237.14   | 0.07%             | 2038-08-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| CAMPBELL SOUP  2.375% 04/24/30                         | CAMPBELL SOUP CO REGD 2.37500000                                                                 | CUSIP: 134429BJ7<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    895000 | NS      | $744792.71     | 0.00%             | 2030-04-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08672 4% 10/01/45                             | FREDDIE MAC GOLD POOL P#G08672 4.00000000                                                        | CUSIP: 3128MJXA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    182020 | NS      | $174668.14     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB9865 3.5% 07/01/43                            | FANNIE MAE POOL UMBS P#AB9865 3.50000000                                                         | CUSIP: 31417G6B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4220480 | NS      | $3945633.90    | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 11/02/27                         | CAPITAL ONE FINANCIAL CO REGD V/R 1.87800000                                                     | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    361000 | NS      | $314392.71     | 0.00%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO 3.9% 03/01/48                           | PECO ENERGY CO REGD 3.90000000                                                                   | CUSIP: 693304AW7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5235000 | NS      | $4268689.62    | 0.03%             | 2048-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNR 2005-7 JM V/R 05/18/34                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-7 CL JM V/R 7.20216000                         | CUSIP: 38374KF73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       659 | NS      | $649.22        | 0.00%             | 2034-05-18      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNR 2007-92 YA 6.5% 06/25/37                           | FANNIE MAE REMICS SER 2007-92 CL YA 6.50000000                                                   | CUSIP: 31396XNU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10696 | NS      | $11107.12      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAYV 2007-B 1A2 V/R 08/28/37                           | BAYVIEW FINANCIAL MORTGAGE PASS-THROUGH TRUST 2007-B SER 2007-B CL 1A2 V/R REGD 7.33100000       | CUSIP: 07324FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    107536 | NS      | $89927.99      | 0.00%             | 2047-08-28      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA5502 3% 06/01/51                              | FREDDIE MAC POOL UMBS P#RA5502 3.00000000                                                        | CUSIP: 3133KMDF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2994856 | NS      | $2636596.61    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNA 2015-M8 A2 V/R 01/25/25                            | FANNIE MAE-ACES SER 2015-M8 CL A2 V/R 2.90000000                                                 | CUSIP: 3136ANSB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1746805 | NS      | $1675497.88    | 0.01%             | 2025-01-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA0660 4% 11/01/47                              | FANNIE MAE POOL UMBS P#CA0660 4.00000000                                                         | CUSIP: 3140Q7WW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8606742 | NS      | $8247151.15    | 0.05%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAMLL 2014-520M  V/R 08/15/34                          | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2014-520M SER 2014-520M CL C V/R REGD 4.21390000      | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | NS      | $840405.48     | 0.01%             | 2046-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08741 3% 01/01/47                             | FREDDIE MAC GOLD POOL P#G08741 3.00000000                                                        | CUSIP: 3128MJZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    857703 | NS      | $767465.03     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2002-21 LO ZCP 04/25/32                            | FANNIE MAE REMICS SER 2002-21 CL LO ZCP 0.00000000                                               | CUSIP: 31392CNN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       759 | NS      | $673.41        | 0.00%             | 2032-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKIN 5.457% 11/18/27                         | WESTPAC BANKING CORP REGD 5.45700000                                                             | CUSIP: 961214FK4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   6839000 | NS      | $6984464.37    | 0.04%             | 2027-11-18      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY I 5.95% 12/01/34                         | SUNCOR ENERGY INC REGD 5.95000000                                                                | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |   1048000 | NS      | $1041615.26    | 0.01%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNR 2008-1 PO ZCP 01/20/38                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-1 CL PO ZCP 0.00000000                         | CUSIP: 38375PCK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4274 | NS      | $3444.24       | 0.00%             | 2038-01-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PROV ST JOSEPH 2.746% 10/01/26                         | PROV ST JOSEPH HLTH OBL REGD SER H 2.74600000                                                    | CUSIP: 743756AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | NS      | $1124414.23    | 0.01%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CR2 3.696% 07/10/25                          | COMM 2015-CCRE24 MORTGAGE TRUST SER 2015-CR24 CL A5 REGD 3.69600000                              | CUSIP: 12593JBF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    770833 | NS      | $734598.22     | 0.00%             | 2048-08-10      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 11/03/28                         | SANTANDER UK GROUP HLDGS REGD V/R 3.82300000                                                     | CUSIP: 80281LAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    800000 | NS      | $714895.64     | 0.00%             | 2028-11-03      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4037 5% 10/20/37                             | GINNIE MAE II POOL P#4037 5.00000000                                                             | CUSIP: 36202EPW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    184015 | NS      | $187491.49     | 0.00%             | 2037-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1% 07/31/28                               | UNITED STATES TREASURY NOTE 1.00000000                                                           | CUSIP: 91282CCR0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  32000000 | NS      | $27201249.92   | 0.17%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#675555 6% 12/01/32                              | FANNIE MAE POOL UMBS P#675555 6.00000000                                                         | CUSIP: 31391SQG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10354 | NS      | $10527.27      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP 1.25% 10/15/30                             | PROLOGIS LP REGD 1.25000000                                                                      | CUSIP: 74340XBR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10115000 | NS      | $7667853.47    | 0.05%             | 2030-10-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS8269 3% 11/01/46                              | FANNIE MAE POOL UMBS P#AS8269 3.00000000                                                         | CUSIP: 3138WJFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    979714 | NS      | $876308.38     | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| G2SF  30 YR TBA 5% JAN 23                              | G2SF  30 YR TBA 5% JAN 23     TO BE ANNOUNCED 5.00000000                                         | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24700000 | NS      | $24471011.73   | 0.16%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 2176 OJ 7% 08/15/29                                | FREDDIE MAC REMICS SER 2176 CL OJ 7.00000000                                                     | CUSIP: 3133TLTY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7663 | NS      | $8056.44       | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ARC 2002-BC5 M1 V/R 07/25/32                           | AMORTIZING RESIDENTIAL COLLATERAL TRUST 2002-BC5 SER 2002-BC5 CL M1 V/R REGD 5.42371000          | CUSIP: 86358RZ67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    560745 | NS      | $552773.24     | 0.00%             | 2032-07-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOS 2.585% 02/01/50                         | CHILDREN'S HOSPITAL CORP REGD SER 2020 2.58500000                                                | CUSIP: 16876BAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1290000 | NS      | $785201.78     | 0.01%             | 2050-02-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2806 3% 11/01/46                              | FANNIE MAE POOL UMBS P#MA2806 3.00000000                                                         | CUSIP: 31418CDL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3442519 | NS      | $3090885.83    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-46 HI V/R 06/25/38                            | FANNIE MAE REMICS SER 2008-46 CL HI V/R 0.00000000                                               | CUSIP: 31397LRU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48648 | NS      | $2426.77       | 0.00%             | 2038-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2234 8% 06/20/26                             | GINNIE MAE II POOL P#2234 8.00000000                                                             | CUSIP: 36202CPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       430 | NS      | $436.79        | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3376 3.5% 01/20/46                         | GINNIE MAE II POOL P#MA3376 3.50000000                                                           | CUSIP: 36179RXD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1962652 | NS      | $1833509.70    | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 3117 AO ZCP 02/15/36                               | FREDDIE MAC REMICS SER 3117 CL AO ZCP 0.00000000                                                 | CUSIP: 31396HUA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29756 | NS      | $26722.27      | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7530 2.5% 07/01/46                            | FANNIE MAE POOL UMBS P#AS7530 2.50000000                                                         | CUSIP: 3138WHLL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1271044 | NS      | $1095848.04    | 0.01%             | 2046-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03029 6% 10/01/29                             | FREDDIE MAC GOLD POOL P#G03029 6.00000000                                                        | CUSIP: 3128M4VW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4477 | NS      | $4555.87       | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SIEMENS FINANCIE 4.4% 05/27/45                         | SIEMENS FINANCIERINGSMAT REGD P/P 4.40000000                                                     | CUSIP: 82620KAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    513000 | NS      | $456114.15     | 0.00%             | 2045-05-27      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB9765 3% 06/01/43                              | FANNIE MAE POOL UMBS P#AB9765 3.00000000                                                         | CUSIP: 31417GZ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2367135 | NS      | $2153785.65    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H02 HF V/R 11/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H02 CL HF V/R 4.14157000                       | CUSIP: 38375BH62<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       404 | NS      | $399.27        | 0.00%             | 2062-11-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5154 2.5% 04/01/42                            | FREDDIE MAC POOL UMBS P#RB5154 2.50000000                                                        | CUSIP: 3133KYWP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8642732 | NS      | $7515793.73    | 0.05%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-64 FB V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-64 CL FB V/R 4.75871000                                               | CUSIP: 31396WVR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32229 | NS      | $31606.59      | 0.00%             | 2037-07-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF G 3.2% 06/15/25                         | SOUTHERN CALIF GAS CO REGD 3.20000000                                                            | CUSIP: 842434CP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8212000 | NS      | $7923091.90    | 0.05%             | 2025-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC P#848068 V/R 06/01/36                            | FREDDIE MAC NON GOLD POOL P#848068 V/R 3.22800000                                                | CUSIP: 3128JR6D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53014 | NS      | $52347.17      | 0.00%             | 2036-06-01      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CR1 4.258% 09/10/23                          | COMM 2013-CCRE11 MORTGAGE TRUST SER 2013-CR11 CL A4 REGD 4.25800000                              | CUSIP: 12626LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8100000 | NS      | $8010643.23    | 0.05%             | 2050-08-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H26 MA V/R 07/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H26 CL MA V/R 4.39157000                       | CUSIP: 38375BYQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4382 | NS      | $4320.84       | 0.00%             | 2062-07-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA 6.625% 11/15/30                                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.62500000                                                 | CUSIP: 31359MGK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2920000 | NS      | $3424181.71    | 0.02%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OP 5.05% 03/30/29                         | CHARTER COMM OPT LLC/CAP REGD 5.05000000                                                         | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8484000 | NS      | $7982066.37    | 0.05%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| F/C US 10YR NOTE (CBT)MAR23                            | FUTURE CONTRACT ON           US 10YR NOTE (CBT)MAR23 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       836 | NC      | $93880187.50   | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| NRG ENERGY INC 2% 12/02/25                             | NRG ENERGY INC REGD 144A P/P 2.00000000                                                          | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   2685000 | NS      | $2394889.19    | 0.02%             | 2025-12-02      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#920547 V/R 09/01/36                             | FANNIE MAE POOL UMBS P#920547 V/R 3.10000000                                                     | CUSIP: 31412BWG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20055 | NS      | $20164.89      | 0.00%             | 2036-09-01      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| MHC 2021-MHC C V/R 04/15/26                            | MHC COMMERCIAL MORTGAGE TRUST 2021-MHC SER 2021-MHC CL C V/R REGD 144A P/P 5.66896200            | CUSIP: 55316VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11300000 | NS      | $10800674.47   | 0.07%             | 2038-04-15      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| UMBS P#995149 6.5% 10/01/38                            | FANNIE MAE POOL UMBS P#995149 6.50000000                                                         | CUSIP: 31416BQA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    142379 | NS      | $149267.69     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7255 2.5% 03/20/51                         | GINNIE MAE II POOL P#MA7255 2.50000000                                                           | CUSIP: 36179WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16161448 | NS      | $14068644.13   | 0.09%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#800422 V/R 08/01/34                             | FANNIE MAE POOL UMBS P#800422 V/R 2.45800000                                                     | CUSIP: 31405VG76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12709 | NS      | $12394.84      | 0.00%             | 2034-08-01      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR9 2A V/R 09/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR9 SER 2003-AR9 CL 2A V/R REGD 4.18000800   | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16220 | NS      | $14496.56      | 0.00%             | 2033-09-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNCI 15YR TBA 3.5% JAN 23                              | FNCI 15YR TBA 3.5% JAN 23      TO BE ANNOUNCED 3.50000000                                        | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4560000 | NS      | $4362032.62    | 0.03%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 05/16/29                              | BARCLAYS PLC REGD V/R MTN 4.97200000                                                             | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2450000 | NS      | $2300868.28    | 0.01%             | 2029-05-16      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS  6.875% 11/21/36                         | VALE OVERSEAS LIMITED REGD 6.87500000                                                            | CUSIP: 91911TAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |   5167000 | NS      | $5451872.21    | 0.03%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1608 3.5% 10/01/33                            | FANNIE MAE POOL UMBS P#MA1608 3.50000000                                                         | CUSIP: 31418AYE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4303803 | NS      | $4124957.68    | 0.03%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRUPO BIMBO SA 3.875% 06/27/24                         | GRUPO BIMBO SAB DE CV REGD P/P 3.87500000                                                        | CUSIP: 40052VAC8<br>LEI: 5493000RIXURZEBFEV60 | Long             | DBT              | CORP              | MX        |   8310000 | NS      | $8137962.14    | 0.05%             | 2024-06-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNR 2012-108 F V/R 10/25/42                            | FANNIE MAE REMICS SER 2012-108 CL F V/R 4.88871000                                               | CUSIP: 3136A8Q52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200822 | NS      | $195738.18     | 0.00%             | 2042-10-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHR 1695 EB 7% 03/15/24                                | FREDDIE MAC REMICS SER 1695 CL EB 7.00000000                                                     | CUSIP: 3133T4SX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       514 | NS      | $514.25        | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WI TREASURY 3.125% 08/31/2027                          | UNITED STATES TREASURY NOTE 3.12500000                                                           | CUSIP: 91282CFH9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  34053000 | NS      | $32752069.15   | 0.21%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#735060 6% 11/01/34                              | FANNIE MAE POOL UMBS P#735060 6.00000000                                                         | CUSIP: 31402QTR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2340 | NS      | $2420.27       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H24 FE V/R 10/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H24 CL FE V/R 4.44157000                       | CUSIP: 38375BWZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6973 | NS      | $6863.26       | 0.00%             | 2062-10-20      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GR 3.25% 05/15/51                         | UNITEDHEALTH GROUP INC REGD 3.25000000                                                           | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1395000 | NS      | $998174.62     | 0.01%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CWL 2006-10 1AF3 V/R 09/25/46                          | CWL 2006-10 1AF3 V/R 09/25/46 5.97100000                                                         | CUSIP: 12666PAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12709 | NS      | $12621.21      | 0.00%             | 2046-09-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| VENDE 1994-1 2Z 6.5% 02/15/24                          | VENDEE MORTGAGE TRUST 1994-1 SER 1994-1 CL 2ZB 6.50000000                                        | CUSIP: 911760DS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20327 | NS      | $20351.87      | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G06047 4.5% 05/01/40                           | FREDDIE MAC GOLD POOL P#G06047 4.50000000                                                        | CUSIP: 3128M8BQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    348429 | NS      | $345798.16     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CO 3.557% 08/15/27                         | BAT CAPITAL CORP REGD 3.55700000                                                                 | CUSIP: 05526DBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3615000 | NS      | $3302526.27    | 0.02%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1N0353 V/R 02/01/37                            | FREDDIE MAC NON GOLD POOL P#1N0353 V/R 4.30700000                                                | CUSIP: 3128QGMA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24951 | NS      | $25048.48      | 0.00%             | 2037-02-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC P#789758 V/R 09/01/32                            | FREDDIE MAC NON GOLD POOL P#789758 V/R 4.46800000                                                | CUSIP: 31295NZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2159 | NS      | $2121.67       | 0.00%             | 2032-09-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO8044 3.5% 07/01/42                            | FANNIE MAE POOL UMBS P#AO8044 3.50000000                                                         | CUSIP: 3138LY5E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9157293 | NS      | $8571777.99    | 0.05%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT1335 2.5% 07/01/51                            | FANNIE MAE POOL UMBS P#BT1335 2.50000000                                                         | CUSIP: 3140LPPV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2359996 | NS      | $2003776.17    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FCAT 2021-2 A 0.37% 12/15/23                           | FLAGSHIP CREDIT AUTO TRUST 2021-2 SER 2021-2 CL A REGD 144A P/P 0.37000000                       | CUSIP: 33844WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1981613 | NS      | $1952693.23    | 0.01%             | 2026-12-15      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| SCRT 2018-2 MT 3.5% 11/25/57                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-2 SER 2018-2 CL MT 3.50000000                    | CUSIP: 35563PFF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5893596 | NS      | $5323203.35    | 0.03%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRZT 2017-4A A1 V/R 05/25/57                           | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-4 SER 2017-4A CL A1 V/R REGD 144A P/P 4.00000000        | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1455852 | NS      | $1352955.67    | 0.01%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FCAT 2019-4 D 3.12% 01/15/26                           | FLAGSHIP CREDIT AUTO TRUST 2019-4 SER 2019-4 CL D REGD 144A P/P 3.12000000                       | CUSIP: 33845FAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9275000 | NS      | $8892285.68    | 0.06%             | 2026-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 11/15/34                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128337W4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2487000 | NS      | $1523966.15    | 0.01%             | 2034-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.875% 09/30/26                           | UNITED STATES TREASURY NOTE 0.87500000                                                           | CUSIP: 91282CCZ2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1365000 | NS      | $1212024.03    | 0.01%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#735591 5% 06/01/35                              | FANNIE MAE POOL UMBS P#735591 5.00000000                                                         | CUSIP: 31402RF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    227985 | NS      | $232819.69     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785043 3% 04/20/49                           | GINNIE MAE II POOL P#785043 3.00000000                                                           | CUSIP: 3622AAP40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    520128 | NS      | $468400.61     | 0.00%             | 2049-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA 6% 05/25/34                                    | ROMANIA REGD 144A P/P MTN 6.00000000                                                             | CUSIP: 77586RAP5<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |   6002000 | NS      | $5605459.86    | 0.04%             | 2034-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL3594 V/R 04/01/23                             | FANNIE MAE POOL UMBS P#AL3594 V/R 2.69200000                                                     | CUSIP: 3138EK7G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80666 | NS      | $80031.56      | 0.00%             | 2023-04-01      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERL 5.05% 06/15/25                         | EMBRAER NETHERLANDS FINA REGD 5.05000000                                                         | CUSIP: 29082HAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2202000 | NS      | $2137063.02    | 0.01%             | 2025-06-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC D 3.1% 09/15/49                         | ONCOR ELECTRIC DELIVERY REGD SER * 3.10000000                                                    | CUSIP: 68233JBR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1895000 | NS      | $1341248.56    | 0.01%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| MLCC 2003-F A1 V/R 10/25/28                            | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC  SER 2003-F CL A1 V/R REGD 5.02871000         | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29167 | NS      | $27113.53      | 0.00%             | 2028-10-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04815 5% 09/01/38                             | FREDDIE MAC GOLD POOL P#G04815 5.00000000                                                        | CUSIP: 3128M6VG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     82244 | NS      | $83934.07      | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0007 3% 08/01/50                              | FANNIE MAE POOL UMBS P#FS0007 3.00000000                                                         | CUSIP: 3140XFAH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2264607 | NS      | $1997493.41    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS COR 4.7% 06/01/27                         | SITE CENTERS CORP REGD 4.70000000                                                                | CUSIP: 23317HAF9<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    368000 | NS      | $345240.84     | 0.00%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 06/09/26                               | BNP PARIBAS REGD V/R 144A P/P 2.21900000                                                         | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1557000 | NS      | $1429541.15    | 0.01%             | 2026-06-09      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL3714 3.5% 01/01/43                            | FANNIE MAE POOL UMBS P#AL3714 3.50000000                                                         | CUSIP: 3138ELDU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    389757 | NS      | $364646.52     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8220 3% 06/01/52                              | FREDDIE MAC POOL UMBS P#SD8220 3.00000000                                                        | CUSIP: 3132DWDZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9717202 | NS      | $8532386.85    | 0.05%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  5.3% 04/01/44                         | ENERGY TRANSFER LP REGD SER 30YR 5.30000000                                                      | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    200000 | NS      | $168856.57     | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3936 3% 09/20/46                           | GINNIE MAE II POOL P#MA3936 3.00000000                                                           | CUSIP: 36179SLR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    571222 | NS      | $517022.63     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KSBA 2012-6 A V/R 05/25/39                             | KGS-ALPHA SBA COOF TRUST SER 2012-6 CL A V/R 144A P/P 0.59074000                                 | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1028446 | NS      | $12393.81      | 0.00%             | 2039-05-25      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BQ4139 3.5% 11/20/49                         | GINNIE MAE II POOL P#BQ4139 3.50000000                                                           | CUSIP: 3617LNS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3117185 | NS      | $2897449.22    | 0.02%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2001-33 ID 6% 07/25/31                             | FANNIE MAE REMICS SER 2001-33 CL ID 6.00000000                                                   | CUSIP: 31359S6G0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14405 | NS      | $1799.92       | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#888412 7% 04/01/37                              | FANNIE MAE POOL UMBS P#888412 7.00000000                                                         | CUSIP: 31410GAM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2868 | NS      | $2951.49       | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-16 IS V/R 03/25/38                            | FANNIE MAE REMICS SER 2008-16 CL IS V/R 1.81129000                                               | CUSIP: 31396YTG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27706 | NS      | $1898.65       | 0.00%             | 2038-03-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRA 4.35% 01/15/25                         | FIRSTENERGY TRANSMISSION REGD P/P 4.35000000                                                     | CUSIP: 33767BAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14745000 | NS      | $14368076.81   | 0.09%             | 2025-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECH 0.983% 09/01/24                         | MICROCHIP TECHNOLOGY INC       REGD 0.98300000                                                   | CUSIP: 595017BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    620000 | NS      | $574095.33     | 0.00%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP 2.25% 04/15/30                             | PROLOGIS LP REGD 2.25000000                                                                      | CUSIP: 74340XBM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | NS      | $254099.82     | 0.00%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM7515 3.34% 02/01/27                           | FANNIE MAE POOL UMBS P#AM7515 3.34000000                                                         | CUSIP: 3138L8K52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | NS      | $1425454.95    | 0.01%             | 2027-02-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| UPSPT 2021-ST9  1.7% 11/20/29                          | UPSTART PASS-THROUGH TRUST SERIES 2021-ST9 SER 2021-ST9 CL A REGD 144A P/P 1.70000000            | CUSIP: 91683MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2720415 | NS      | $2581053.72    | 0.02%             | 2029-11-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM  5.625% 07/15/27                         | DCP MIDSTREAM OPERATING REGD 5.62500000                                                          | CUSIP: 23311VAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8654000 | NS      | $8584435.17    | 0.06%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 08/09/26                              | BARCLAYS PLC REGD V/R 5.30400000                                                                 | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2890000 | NS      | $2868395.00    | 0.02%             | 2026-08-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 02/04/27                         | JPMORGAN CHASE & CO REGD V/R 1.04000000                                                          | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1950000 | NS      | $1696243.58    | 0.01%             | 2027-02-04      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL I 7.1% 11/15/27                         | ALLY FINANCIAL INC REGD 7.10000000                                                               | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   6027000 | NS      | $6131647.04    | 0.04%             | 2027-11-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| GNR 2008-50 KB 6% 06/20/38                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-50 CL KB 6.00000000                            | CUSIP: 38375QD89<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48893 | NS      | $49970.25      | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 1899 ZE 8% 09/15/26                                | FREDDIE MAC REMICS SER 1899 CL ZE 8.00000000                                                     | CUSIP: 3133T86T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2826 | NS      | $2928.88       | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDING 1.851% 07/16/25                         | NOMURA HOLDINGS INC REGD 1.85100000                                                              | CUSIP: 65535HAR0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   5000000 | NS      | $4557288.35    | 0.03%             | 2025-07-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| POTOMAC ELECTRIC 6.5% 11/15/37                         | POTOMAC ELECTRIC POWER REGD 6.50000000                                                           | CUSIP: 737679DB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    136000 | NS      | $148920.60     | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-88 VI V/R 09/25/37                            | FANNIE MAE REMICS SER 2007-88 CL VI V/R 2.15129000                                               | CUSIP: 31396XUU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    108872 | NS      | $9995.45       | 0.00%             | 2037-09-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| MRA ISSUANCE TR 2021-EBO2                              | MRA ISSUANCE TR 2021-EBO2      144A 0.00000000                                                   | CUSIP: 55351BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8907227 | NS      | $8517447.06    | 0.05%             | 2023-04-05      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4125 2.5% 12/20/46                         | GINNIE MAE II POOL P#MA4125 2.50000000                                                           | CUSIP: 36179SSN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1049610 | NS      | $925379.29     | 0.01%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNIC 4.55% 03/15/52                         | ROGERS COMMUNICATIONS IN REGD 144A P/P 4.55000000                                                | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   3051000 | NS      | $2365397.77    | 0.02%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FORDR 2021-1 B 1.61% 04/15/26                          | FORD CREDIT AUTO OWNER TRUST 2021-REV1 SER 2021-1 CL B REGD 144A P/P 1.61000000                  | CUSIP: 345340AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2320000 | NS      | $2048067.23    | 0.01%             | 2033-10-17      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0748 2.5% 11/01/51                            | FREDDIE MAC POOL UMBS P#SD0748 2.50000000                                                        | CUSIP: 3132DMZM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11196712 | NS      | $9588313.11    | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-97 FC V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-97 CL FC V/R 4.88871000                                               | CUSIP: 31396XB45<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18418 | NS      | $18147.97      | 0.00%             | 2037-07-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H06 HB V/R 03/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H06 CL HB V/R 4.49157000                       | CUSIP: 38375UET3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1056953 | NS      | $1051506.93    | 0.01%             | 2064-03-20      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNR 2006-119 PO ZCP 12/25/36                           | FANNIE MAE REMICS SER 2006-119 CL PO ZCP 0.00000000                                              | CUSIP: 31396LM80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8706 | NS      | $7547.85       | 0.00%             | 2036-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2004-71 SB V/R 09/20/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-71 CL SB V/R 8.08863000                        | CUSIP: 38374JBS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13785 | NS      | $13957.57      | 0.00%             | 2034-09-20      | Variable      | 8.09%                 | No            |                  2 | On Loan: No      |
| FHR 3453 B 5.5% 05/15/38                               | FREDDIE MAC REMICS SER 3453 CL B 5.50000000                                                      | CUSIP: 31397THP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9521 | NS      | $9496.12       | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER C 3.1% 06/15/50                         | AMERICAN TOWER CORP REGD 3.10000000                                                              | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1340000 | NS      | $843182.54     | 0.01%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP 3.2% 04/01/24                            | AMPHENOL CORP REGD 3.20000000                                                                    | CUSIP: 032095AG6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   8135000 | NS      | $7953330.32    | 0.05%             | 2024-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHR 2500 MC 6% 09/15/32                                | FREDDIE MAC REMICS SER 2500 CL MC 6.00000000                                                     | CUSIP: 31392UXE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22507 | NS      | $23145.01      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2004-S1 1A7 5% 09/25/34                          | JP MORGAN MORTGAGE TRUST 2004-S1 SER 2004-S1 CL 1A7 REGD 5.00000000                              | CUSIP: 466247ER0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2152 | NS      | $2193.28       | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARATHON PETRO 5.125% 12/15/26                         | MARATHON PETROLEUM CORP REGD SER WI 5.12500000                                                   | CUSIP: 56585ABC5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |  10583000 | NS      | $10517275.44   | 0.07%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY  4.125% 01/15/26                         | VENTAS REALTY LP REGD 4.12500000                                                                 | CUSIP: 92277GAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    126000 | NS      | $122212.99     | 0.00%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNR 1993-178 PK 6.5% 09/25/23                          | FANNIE MAE REMICS SER 1993-178 CL PK 6.50000000                                                  | CUSIP: 31359D6L2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       154 | NS      | $154.60        | 0.00%             | 2023-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM7340 4% 07/01/49                              | FANNIE MAE POOL UMBS P#FM7340 4.00000000                                                         | CUSIP: 3140XBEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    461376 | NS      | $435637.38     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2011-43 ZQ 5.5% 01/16/33                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-43 CL ZQ 5.50000000                            | CUSIP: 38377ULE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    182870 | NS      | $182416.41     | 0.00%             | 2033-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2007-17 JI V/R 04/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-17 CL JI V/R 2.48371000                        | CUSIP: 38375JTD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    107920 | NS      | $9343.59       | 0.00%             | 2037-04-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| UMBS P#BW0046 5% 07/01/52                              | FANNIE MAE POOL UMBS P#BW0046 5.00000000                                                         | CUSIP: 3140MRBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4717551 | NS      | $4667676.36    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-92 YS V/R 06/25/37                            | FANNIE MAE REMICS SER 2007-92 CL YS V/R 1.39129000                                               | CUSIP: 31396XMZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17832 | NS      | $1141.19       | 0.00%             | 2037-06-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROU 3.55% 06/15/25                         | WEC ENERGY GROUP INC REGD SER 10YR 3.55000000                                                    | CUSIP: 976657AL0<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    204000 | NS      | $195501.97     | 0.00%             | 2025-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| LDPT 2020-REV 2.731% 12/15/23                          | LENDINGPOINT 2020-REV1 ASSET SECURITIZATION TRUST SER 2020-REV1 CL A REGD 144A P/P 2.73100000    | CUSIP: 52606YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6426420 | NS      | $6338246.11    | 0.04%             | 2028-10-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| GNMA P#781689 5.5% 12/15/33                            | GINNIE MAE I POOL P#781689 5.50000000                                                            | CUSIP: 36225B2W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6060 | NS      | $6379.75       | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK0514 4% 12/20/51                           | GINNIE MAE II POOL P#CK0514 4.00000000                                                           | CUSIP: 3617XUSB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4564606 | NS      | $4320014.41    | 0.03%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WFCM 2016-NXS 2.642% 11/15/49                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 SER 2016-NXS6 CL A3 REGD 2.64200000              | CUSIP: 95000KBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | NS      | $18384816.00   | 0.12%             | 2049-11-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BB8815 4.5% 04/20/48                         | GINNIE MAE II POOL P#BB8815 4.50000000                                                           | CUSIP: 3617B0YL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1386350 | NS      | $1349373.50    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 08/15/52                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810TJ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  81880000 | NS      | $67461443.75   | 0.43%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES 2% 06/30/30                         | ROPER TECHNOLOGIES INC REGD 2.00000000                                                           | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   1150000 | NS      | $921604.97     | 0.01%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2007-53 SW V/R 09/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-53 CL SW V/R 7.14642000                        | CUSIP: 38375LGF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14633 | NS      | $14982.36      | 0.00%             | 2037-09-20      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C47315 6.5% 08/01/29                           | FREDDIE MAC GOLD POOL P#C47315 6.50000000                                                        | CUSIP: 31298GDU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54413 | NS      | $56380.10      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NZES 2020-PLS 3.844% 12/25/25                          | NRZ EXCESS SPREAD-COLLATE SER 2020-PLS1 CL A REGD 144A P/P 3.84400000                            | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4917214 | NS      | $4481234.47    | 0.03%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA 4.125% 01/16/25                           | ECOPETROL SA REGD 4.12500000                                                                     | CUSIP: 279158AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | CO        |    383000 | NS      | $364753.84     | 0.00%             | 2025-01-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELIN 5.8% 06/01/45                         | COLUMBIA PIPELINE GROUP REGD SER WI 5.80000000                                                   | CUSIP: 198280AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2700000 | NS      | $2602807.83    | 0.02%             | 2045-06-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC 2.75% 09/01/24                               | ONEOK INC REGD 2.75000000                                                                        | CUSIP: 682680AX1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   6954000 | NS      | $6657301.68    | 0.04%             | 2024-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W8 3F1 V/R 05/25/42                           | FANNIE MAE TRUST 2003-W8 SER 2003-W8 CL 3F1 V/R 4.78871000                                       | CUSIP: 31393CX24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18583 | NS      | $18296.47      | 0.00%             | 2042-05-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| UMBS P#AY7670 3.5% 04/01/45                            | FANNIE MAE POOL UMBS P#AY7670 3.50000000                                                         | CUSIP: 3138YMQY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4858113 | NS      | $4526457.55    | 0.03%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINAN 3.25% 11/15/39                         | DH EUROPE FINANCE II REGD 3.25000000                                                             | CUSIP: 23291KAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    431000 | NS      | $343580.96     | 0.00%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNR 2007-10 FD V/R 02/25/37                            | FANNIE MAE REMICS SER 2007-10 CL FD V/R 4.63871000                                               | CUSIP: 31396PNF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30284 | NS      | $29812.95      | 0.00%             | 2037-02-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHR 2367 ME 6.5% 10/15/31                              | FREDDIE MAC REMICS SER 2367 CL ME 6.50000000                                                     | CUSIP: 31339GK42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8787 | NS      | $9056.41       | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2692 SC V/R 07/15/33                               | FREDDIE MAC REMICS SER 2692 CL SC V/R 4.65094700                                                 | CUSIP: 31394KZD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13543 | NS      | $13025.59      | 0.00%             | 2033-07-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3  3% 10/15/28                         | AMER AIRLINE 16-3 AA PTT REGD 3.00000000                                                         | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1086116 | NS      | $941097.87     | 0.01%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CELULOSA ARAUCO  4.5% 08/01/24                         | CELULOSA ARAUCO CONSTITU REGD SER WI 4.50000000                                                  | CUSIP: 151191AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |    779000 | NS      | $766973.83     | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA V/R 04/02/34                             | UNICREDIT SPA REGD V/R 144A P/P MTN 7.29600000                                                   | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    715000 | NS      | $655291.89     | 0.00%             | 2034-04-02      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| BBUBS 2012-SHO 3.43% 11/05/24                          | BB-UBS TRUST 2012-SHOW SER 2012-SHOW CL A REGD 144A P/P 3.43020000                               | CUSIP: 05538UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4602000 | NS      | $4277249.29    | 0.03%             | 2036-11-05      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK PLC 5% 11/07/23                           | SANTANDER UK PLC REGD P/P 5.00000000                                                             | CUSIP: 80283LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4150000 | NS      | $4137284.40    | 0.03%             | 2023-11-07      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BMARK 2018-B6 4.261% 08/10/28                          | BENCHMARK 2018-B6 MORTGAGE TRUST SER 2018-B6 CL A4 REGD 4.26100000                               | CUSIP: 08162CAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8862000 | NS      | $8484956.46    | 0.05%             | 2051-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINS 3.734% 12/15/24                         | BECTON DICKINSON AND CO REGD 3.73400000                                                          | CUSIP: 075887BF5<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    515000 | NS      | $502200.39     | 0.00%             | 2024-12-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE  4.75% 10/13/35                         | ELECTRICITE DE FRANCE SA REGD 144A P/P 4.75000000                                                | CUSIP: 268317AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   5000000 | NS      | $4209568.15    | 0.03%             | 2035-10-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5136 3.5% 04/20/48                         | GINNIE MAE II POOL P#MA5136 3.50000000                                                           | CUSIP: 36179TV51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3678548 | NS      | $3426331.88    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAALT 2021-4 A 1.26% 12/16/24                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-4 SER 2021-4 CL A REGD 144A P/P 1.26000000                | CUSIP: 22535BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2488000 | NS      | $2332678.89    | 0.01%             | 2030-10-15      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| FHR 3523 SD V/R 06/15/36                               | FREDDIE MAC REMICS SER 3523 CL SD V/R 7.78838400                                                 | CUSIP: 31398CGJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12887 | NS      | $11890.01      | 0.00%             | 2036-06-15      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| TRINITY ACQUISIT 4.4% 03/15/26                         | TRINITY ACQUISITION PLC REGD 4.40000000                                                          | CUSIP: 89641UAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2300000 | NS      | $2231016.17    | 0.01%             | 2026-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN  4.75% 04/10/27                         | ANGLO AMERICAN CAPITAL REGD 144A P/P 4.75000000                                                  | CUSIP: 034863AR1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   5500000 | NS      | $5315702.98    | 0.03%             | 2027-04-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 14-1  3.7% 10/01/26                         | AMER AIRLN 14-1 A PTT REGD SER A 3.70000000                                                      | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    287866 | NS      | $248442.17     | 0.00%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PR 4.375% 03/30/44                         | DUKE ENERGY PROGRESS LLC REGD 4.37500000                                                         | CUSIP: 26442RAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    132000 | NS      | $113498.17     | 0.00%             | 2044-03-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNR 2009-42 SC V/R 06/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-42 CL SC V/R 1.72714000                        | CUSIP: 38374UVQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    102281 | NS      | $6641.27       | 0.00%             | 2039-06-20      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNR 1997-61 ZC 7% 02/25/23                             | FANNIE MAE REMICS SER 1997-61 CL ZC 7.00000000                                                   | CUSIP: 31359QPC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        85 | NS      | $84.64         | 0.00%             | 2023-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 01/25/33                             | CITIGROUP INC REGD V/R 3.05700000                                                                | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6852000 | NS      | $5529665.07    | 0.04%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM1361 3.5% 12/01/46                            | FANNIE MAE POOL UMBS P#FM1361 3.50000000                                                         | CUSIP: 3140X4QP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3635649 | NS      | $3403338.14    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 2040 PE 7.5% 03/15/28                              | FREDDIE MAC REMICS SER 2040 CL PE 7.50000000                                                     | CUSIP: 3133TD3W4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10622 | NS      | $11022.04      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TOKYO METROPOLI 3.25% 06/01/23                         | TOKYO METROPOLITAN GOVT REGD 144A P/P 3.25000000                                                 | CUSIP: 889124AL7<br>LEI: 353800FABE4GGB1BMO18 | Long             | DBT              | USGA              | JP        |   1200000 | NS      | $1189932.00    | 0.01%             | 2023-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHR 3122 ZB 6% 03/15/36                                | FREDDIE MAC REMICS SER 3122 CL ZB 6.00000000                                                     | CUSIP: 31396JMD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3047 | NS      | $3389.45       | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2016-K52 B V/R 11/25/25                          | FREMF 2016-K52 MORTGAGE TRUST SER 2016-K52 CL B V/R REGD 144A P/P 3.92943500                     | CUSIP: 30294DAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4750000 | NS      | $4485704.30    | 0.03%             | 2049-01-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC 2.3% 02/15/31                               | LEIDOS INC REGD SER WI 2.30000000                                                                | CUSIP: 52532XAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1075000 | NS      | $823509.64     | 0.01%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH IN 1.8% 01/15/31                         | L3HARRIS TECH INC REGD 1.80000000                                                                | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1970000 | NS      | $1511858.08    | 0.01%             | 2031-01-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN 2.875% 03/17/31                         | ANGLO AMERICAN CAPITAL REGD 144A P/P 2.87500000                                                  | CUSIP: 034863BA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   9556000 | NS      | $7802567.46    | 0.05%             | 2031-03-17      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04834 5% 03/01/36                             | FREDDIE MAC GOLD POOL P#G04834 5.00000000                                                        | CUSIP: 3128M6V39<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1170905 | NS      | $1197096.65    | 0.01%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR 4.4% 04/16/50                           | STATE OF QATAR REGD 144A P/P 4.40000000                                                          | CUSIP: 74727PBE0<br>LEI: N/A                  | Long             | DBT              | USGA              | QA        |   1959000 | NS      | $1792003.09    | 0.01%             | 2050-04-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CGCMT 2018-B2 3.744% 01/10/28                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-B2 SER 2018-B2 CL A3 REGD 3.74400000                    | CUSIP: 17327FAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22000000 | NS      | $20418457.40   | 0.13%             | 2051-03-10      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC 4% 06/22/50                                | VIATRIS INC REGD SER WI 4.00000000                                                               | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   4000000 | NS      | $2464551.40    | 0.02%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NZES 2021-FHT 3.104% 07/25/56                          | NRZ EXCESS SPREAD-COLLATERALIZED  SER 2021-FHT1 CL A REGD 144A P/P 3.10400000                    | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13413096 | NS      | $11706303.74   | 0.08%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNR 2006-85 MZ 6.5% 09/25/36                           | FANNIE MAE REMICS SER 2006-85 CL MZ 6.50000000                                                   | CUSIP: 31396KB50<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4187 | NS      | $4351.73       | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRITISH TEL 8.625% 12/15/30                            | BRITISH TELECOMMUNICATIO REGD 9.62500000                                                         | CUSIP: 111021AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   5000000 | NS      | $5987644.75    | 0.04%             | 2030-12-15      | Variable      | 9.62%                 | No            |                  2 | On Loan: No      |
| CWALT 2006-43CB 2 6% 02/25/37                          | ALTERNATIVE LOAN TRUST 2006-43CB SER 2006-43CB CL 2A1 REGD 6.00000000                            | CUSIP: 02149FAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       699 | NS      | $695.03        | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELIN 2.6% 10/15/25                         | GRAY OAK PIPELINE LLC REGD 144A P/P 2.60000000                                                   | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5580000 | NS      | $5060048.29    | 0.03%             | 2025-10-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY AR 3.875% 04/30/28                         | MEXICO CITY ARPT TRUST REGD 144A P/P 3.87500000                                                  | CUSIP: 59284MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   3126000 | NS      | $2858698.12    | 0.02%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DBJPM 2016-C1 3.015% 01/10/26                          | DBJPM 16-C1 MORTGAGE TRUST SER 2016-C1 CL A3A REGD 3.01500000                                    | CUSIP: 23312LAR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13217102 | NS      | $12305941.42   | 0.08%             | 2049-05-10      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| STACR 2021-DNA5  V/R 01/25/34                          | FREDDIE MAC STACR REMIC TRUST 2021-DNA5 SER 2021-DNA5 CL M2 V/R REGD 144A P/P 5.57768000         | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    957091 | NS      | $943940.93     | 0.01%             | 2034-01-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND  1.75% 01/30/26                         | AERCAP IRELAND CAP/GLOBA REGD 1.75000000                                                         | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1140000 | NS      | $1002951.06    | 0.01%             | 2026-01-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B2 2.103% 05/15/31                          | BENCHMARK 2021-B27 MORTGAGE TRUST SER 2021-B27 CL A4 REGD 2.10300000                             | CUSIP: 08163HAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22500000 | NS      | $18221787.00   | 0.12%             | 2054-07-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CELANESE US HO 6.379% 07/15/32                         | CELANESE US HOLDINGS LLC REGD 6.37900000                                                         | CUSIP: 15089QAP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1655000 | NS      | $1573818.82    | 0.01%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER  5.15% 09/15/41                         | SOUTHERN POWER CO REGD 5.15000000                                                                | CUSIP: 843646AH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    746000 | NS      | $674158.69     | 0.00%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES  2.6% 10/01/40                         | GILEAD SCIENCES INC REGD 2.60000000                                                              | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   1855000 | NS      | $1294217.16    | 0.01%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| UMBS P#SC0242 2.5% 02/01/42                            | FREDDIE MAC POOL UMBS P#SC0242 2.50000000                                                        | CUSIP: 3132D9HT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10875145 | NS      | $9457174.35    | 0.06%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4781 5% 10/20/47                           | GINNIE MAE II POOL P#MA4781 5.00000000                                                           | CUSIP: 36179TJ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    116754 | NS      | $117992.02     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARRICK GOLD CO 6.45% 10/15/35                         | BARRICK GOLD CORP REGD 6.45000000                                                                | CUSIP: 725906AN1<br>LEI: 0O4KBQCJZX82UKGCBV73 | Long             | DBT              | CORP              | CA        |    203000 | NS      | $212725.09     | 0.00%             | 2035-10-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| AMGEN INC 2.8% 08/15/41                                | AMGEN INC REGD 2.80000000                                                                        | CUSIP: 031162DA5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |  15620000 | NS      | $10821701.42   | 0.07%             | 2041-08-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U80342 3.5% 05/01/33                           | FREDDIE MAC GOLD POOL P#U80342 3.50000000                                                        | CUSIP: 3132G7LX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98919 | NS      | $93471.25      | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARM 1.75% 09/15/30                         | REGENERON PHARMACEUTICAL REGD 1.75000000                                                         | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   2800000 | NS      | $2162629.59    | 0.01%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| STACR 2022-DNA6  V/R 09/25/42                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA6 SER 2022-DNA6 CL M1A V/R REGD 144A P/P 6.07768000        | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2448669 | NS      | $2450163.15    | 0.02%             | 2042-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 2.7% 08/21/40                          | CVS HEALTH CORP REGD 2.70000000                                                                  | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2500000 | NS      | $1727174.23    | 0.01%             | 2040-08-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESO 4.5% 04/15/23                         | CONTINENTAL RESOURCES REGD SER WI 4.50000000                                                     | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   3444000 | NS      | $3435665.52    | 0.02%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SDART 2020-3 C 1.12% 11/15/23                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-3 SER 2020-3 CL C REGD 1.12000000                    | CUSIP: 80285WAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3541530 | NS      | $3509758.89    | 0.02%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| EART 2022-2A D 4.56% 07/17/28                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-2 SER 2022-2A CL D REGD 4.56000000                      | CUSIP: 30166QAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11635000 | NS      | $10903302.77   | 0.07%             | 2028-07-17      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 11/24/26                          | DEUTSCHE BANK NY REGD V/R 2.12900000                                                             | CUSIP: 251526CE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6700000 | NS      | $5910793.74    | 0.04%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U80192 3.5% 02/01/33                           | FREDDIE MAC GOLD POOL P#U80192 3.50000000                                                        | CUSIP: 3132G7F91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    110763 | NS      | $105053.93     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN S 4.6% 01/23/46                         | UNITED MEXICAN STATES REGD 4.60000000                                                            | CUSIP: 91086QBF4<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   1494000 | NS      | $1164012.51    | 0.01%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LI 5.875% 06/30/26                         | SABINE PASS LIQUEFACTION REGD 5.87500000                                                         | CUSIP: 785592AV8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6680000 | NS      | $6759102.56    | 0.04%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH 4.45% 01/15/53                         | BURLINGTN NORTH SANTA FE REGD 4.45000000                                                         | CUSIP: 12189LBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | NS      | $1598884.40    | 0.01%             | 2053-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHR 1491 I 7.5% 04/15/23                               | FREDDIE MAC REMICS SER 1491 CL I 7.50000000                                                      | CUSIP: 312915QG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        69 | NS      | $68.94         | 0.00%             | 2023-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EBAY INC 2.6% 05/10/31                                 | EBAY INC REGD 2.60000000                                                                         | CUSIP: 278642AY9<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |   8000000 | NS      | $6556929.92    | 0.04%             | 2031-05-10      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.375% 11/15/31                           | UNITED STATES TREASURY NOTE 1.37500000                                                           | CUSIP: 91282CDJ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   8873600 | NS      | $7222278.50    | 0.05%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC 3.2% 10/21/26                            | CITIGROUP INC REGD 3.20000000                                                                    | CUSIP: 172967KY6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    905000 | NS      | $837270.51     | 0.01%             | 2026-10-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNR 2010-157 OP ZCP 12/20/40                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-157 CL OP ZCP 0.00000000                       | CUSIP: 38377NF41<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    228823 | NS      | $189059.18     | 0.00%             | 2040-12-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2415 4% 10/01/45                              | FANNIE MAE POOL UMBS P#MA2415 4.00000000                                                         | CUSIP: 31418BVH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    293069 | NS      | $280714.00     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3284 3.5% 02/01/33                            | FANNIE MAE POOL UMBS P#MA3284 3.50000000                                                         | CUSIP: 31418CUJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    197017 | NS      | $190448.41     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60651 4% 06/01/46                             | FREDDIE MAC GOLD POOL P#G60651 4.00000000                                                        | CUSIP: 31335AWL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3924853 | NS      | $3763613.17    | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINAN 4.7% 09/20/47                         | BROOKFIELD FINANCE INC REGD 4.70000000                                                           | CUSIP: 11271LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    158000 | NS      | $126982.00     | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GRUPO BIMBO SAB  4.7% 11/10/47                         | GRUPO BIMBO SAB DE CV REGD 144A P/P 4.70000000                                                   | CUSIP: 40052VAE4<br>LEI: 5493000RIXURZEBFEV60 | Long             | DBT              | CORP              | MX        |   4500000 | NS      | $3800264.94    | 0.02%             | 2047-11-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD6543 2.5% 02/01/52                            | FREDDIE MAC POOL UMBS P#QD6543 2.50000000                                                        | CUSIP: 3133B4HU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7169695 | NS      | $6083600.87    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TR 2.866% 09/15/28                         | FIRSTENERGY TRANSMISSION REGD 144A P/P 2.86600000                                                | CUSIP: 33767BAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3775000 | NS      | $3292991.69    | 0.02%             | 2028-09-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| UMBS P#BE5067 3.5% 11/01/46                            | FANNIE MAE POOL UMBS P#BE5067 3.50000000                                                         | CUSIP: 3140FQTZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4960092 | NS      | $4614330.91    | 0.03%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-43 PO ZCP 06/25/36                            | FANNIE MAE REMICS SER 2006-43 CL PO ZCP 0.00000000                                               | CUSIP: 31395DC98<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7922 | NS      | $6763.60       | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA3808 2% 10/01/50                              | FREDDIE MAC POOL UMBS P#RA3808 2.00000000                                                        | CUSIP: 3133KKGR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4218046 | NS      | $3447810.79    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#827776 5% 07/01/35                              | FANNIE MAE POOL UMBS P#827776 5.00000000                                                         | CUSIP: 31407DT96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5910 | NS      | $5920.29       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3195 PD 6.5% 07/15/36                              | FREDDIE MAC REMICS SER 3195 CL PD 6.50000000                                                     | CUSIP: 31396UCL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30734 | NS      | $31439.28      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH 7.29% 06/01/36                         | BURLINGTN NORTH SANTA FE REGD 7.29000000                                                         | CUSIP: 12189TAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    134000 | NS      | $154750.84     | 0.00%             | 2036-06-01      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5138 4.5% 04/20/48                         | GINNIE MAE II POOL P#MA5138 4.50000000                                                           | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    182819 | NS      | $179922.91     | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 03/20/30                             | CITIGROUP INC REGD V/R 3.98000000                                                                | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3490000 | NS      | $3147581.23    | 0.02%             | 2030-03-20      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| MYLAN INC 4.55% 04/15/28                               | MYLAN INC REGD SER WI 4.55000000                                                                 | CUSIP: 628530BK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | NS      | $647555.27     | 0.00%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2018 4.5% 03/01/50                            | FANNIE MAE POOL UMBS P#FS2018 4.50000000                                                         | CUSIP: 3140XHG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9632798 | NS      | $9440523.63    | 0.06%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-34 AX 6% 05/25/33                             | FANNIE MAE REMICS SER 2003-34 CL AX 6.00000000                                                   | CUSIP: 31393CDE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15805 | NS      | $16207.97      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM O 4.908% 07/23/25                         | CHARTER COMM OPT LLC/CAP REGD SER WI 4.90800000                                                  | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | NS      | $9801009.80    | 0.06%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES 1.65% 10/01/30                         | GILEAD SCIENCES INC REGD 1.65000000                                                              | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   1700000 | NS      | $1348055.66    | 0.01%             | 2030-10-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ6306 2% 11/01/50                              | FANNIE MAE POOL UMBS P#BQ6306 2.00000000                                                         | CUSIP: 3140KSAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1520475 | NS      | $1254966.16    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 06/03/31                             | CITIGROUP INC REGD V/R 2.57200000                                                                | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4423000 | NS      | $3577278.79    | 0.02%             | 2031-06-03      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN G 6.45% 06/08/27                         | JEFFERIES FIN GROUP INC REGD 6.45000000                                                          | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    428000 | NS      | $446638.87     | 0.00%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FHR 2075 PM 6.25% 08/15/28                             | FREDDIE MAC REMICS SER 2075 CL PM 6.25000000                                                     | CUSIP: 3133TGCK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14484 | NS      | $14657.40      | 0.00%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNR 2007-40 SD V/R 07/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-40 CL SD V/R 2.39714000                        | CUSIP: 38375KA93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     64098 | NS      | $3891.14       | 0.00%             | 2037-07-20      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE  4.2% 05/01/50                         | LYB INT FINANCE III REGD 4.20000000                                                              | CUSIP: 50249AAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2245000 | NS      | $1659861.94    | 0.01%             | 2050-05-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#256962 6% 11/01/27                              | FANNIE MAE POOL UMBS P#256962 6.00000000                                                         | CUSIP: 31371NMK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6826 | NS      | $6928.99       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN S 3.5% 02/12/34                         | UNITED MEXICAN STATES REGD 3.50000000                                                            | CUSIP: 91087BAR1<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   3202000 | NS      | $2562460.22    | 0.02%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/32                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128334T4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  46250000 | NS      | $32035158.24   | 0.21%             | 2032-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7844 3% 09/01/46                              | FANNIE MAE POOL UMBS P#AS7844 3.00000000                                                         | CUSIP: 3138WHWE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    446187 | NS      | $399853.68     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMCAR 2021-3 C 1.41% 09/18/25                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-3 SER 2021-3 CL C REGD 1.41000000                  | CUSIP: 03066JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5100000 | NS      | $4592054.79    | 0.03%             | 2027-08-18      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 06/14/29                         | BANK OF AMERICA CORP REGD V/R MTN 2.08700000                                                     | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  15630000 | NS      | $13152552.47   | 0.08%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMP 6.2% 12/15/34                         | WALT DISNEY COMPANY/THE REGD SER WI 6.20000000                                                   | CUSIP: 254687DZ6<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    150000 | NS      | $163044.08     | 0.00%             | 2034-12-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLO 3.9% 02/28/52                         | AON CORP/AON GLOBAL HOLD REGD 3.90000000                                                         | CUSIP: 03740LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4250000 | NS      | $3279790.11    | 0.02%             | 2052-02-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP 2.95% 09/01/26                            | ENTERGY CORP REGD 2.95000000                                                                     | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    310000 | NS      | $287805.75     | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#952835 V/R 09/01/37                             | FANNIE MAE POOL UMBS P#952835 V/R 4.15800000                                                     | CUSIP: 31413RBC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7858 | NS      | $7953.64       | 0.00%             | 2037-09-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHR 2571 FY    V/R 12/15/32                            | FREDDIE MAC REMICS 2571 FY V/R 5.06786000                                                        | CUSIP: 31393L6N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21621 | NS      | $21595.40      | 0.00%             | 2032-12-15      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W15 2AF V/R 08/25/44                          | FANNIE MAE TRUST 2004-W15 SER 2004-W15 CL 2AF V/R 4.63871000                                     | CUSIP: 31394B2B9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     66787 | NS      | $66041.09      | 0.00%             | 2044-08-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H31 FD V/R 12/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H31 CL FD V/R 4.18157000                       | CUSIP: 38375BD74<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1105678 | NS      | $1093666.76    | 0.01%             | 2062-12-20      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB2869 6% 11/01/38                              | FANNIE MAE POOL UMBS P#AB2869 6.00000000                                                         | CUSIP: 31416YFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37801 | NS      | $39202.78      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TVA 4.25% 09/15/65                                     | TENNESSEE VALLEY AUTHORITY 4.25000000                                                            | CUSIP: 880591ES7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1720000 | NS      | $1492719.30    | 0.01%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M39 1 0.75% 09/25/28                          | FANNIE MAE-ACES SER 2020-M39 CL 1A1 0.75000000                                                   | CUSIP: 3136BBTB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17589756 | NS      | $16216493.45   | 0.10%             | 2028-09-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| F/C US 5YR NOTE (CBT) MAR23                            | FUTURE CONTRACT ON           US 5YR NOTE (CBT) MAR23 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      4755 | NC      | $513205666.44  | 3.29%             |  |  |  | No            |                  1 | On Loan: No      |
| FNR 2007-77 FG V/R 03/25/37                            | FANNIE MAE REMICS SER 2007-77 CL FG V/R 4.88871000                                               | CUSIP: 31396XJE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30138 | NS      | $29703.61      | 0.00%             | 2037-03-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| UMBS P#50966 7% 01/01/24                               | FANNIE MAE POOL UMBS P#50966 7.00000000                                                          | CUSIP: 313615TX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32 | NS      | $32.47         | 0.00%             | 2024-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CWHL 2002-18 PO ZCP 11/25/32                           | CHL MORTGAGE PASS-THROUGH TRUST 2002-18 SER 2002-18 CL PO ZCP REGD 0.00000000                    | CUSIP: 12669C7X2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4625 | NS      | $3300.85       | 0.00%             | 2032-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP 2.25% 12/15/28                            | CUBESMART LP REGD 2.25000000                                                                     | CUSIP: 22966RAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7275000 | NS      | $5995772.66    | 0.04%             | 2028-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9504 2.5% 11/01/51                            | FANNIE MAE POOL UMBS P#FM9504 2.50000000                                                         | CUSIP: 3140XDR24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17178465 | NS      | $14625446.04   | 0.09%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UACST 2021-1 D 1.14% 01/10/24                          | UNITED AUTO CREDIT SECURITIZATION TRUST SER 2021-1 CL D REGD 144A P/P 1.14000000                 | CUSIP: 90943UAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    850000 | NS      | $821326.44     | 0.01%             | 2026-06-10      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTIC 3.5% 03/30/25                         | QUEST DIAGNOSTICS INC REGD 3.50000000                                                            | CUSIP: 74834LAX8<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |   4820000 | NS      | $4644142.20    | 0.03%             | 2025-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HPA 2021-2 A 1.901% 12/17/26                           | HOME PARTNERS OF AMERICA 2021-2 TRUST SER 2021-2 CL A REGD 144A P/P 1.90100000                   | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7301495 | NS      | $6306503.71    | 0.04%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 10/19/32                                   | BPCE SA REGD V/R 144A P/P 3.11600000                                                             | CUSIP: 05578QAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   3000000 | NS      | $2188996.65    | 0.01%             | 2032-10-19      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| CGMS 2021-11A A V/R 01/25/33                           | CARLYLE US CLO 2021-11 LTD SER 2021-11A CL A V/R REGD 144A P/P 5.45343000                        | CUSIP: 143122AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  30000000 | NS      | $29231130.00   | 0.19%             | 2033-01-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G13603 5.5% 02/01/24                           | FREDDIE MAC GOLD POOL P#G13603 5.50000000                                                        | CUSIP: 3128MCGL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        63 | NS      | $63.04         | 0.00%             | 2024-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2010-147 SA V/R 01/25/41                           | FANNIE MAE REMICS SER 2010-147 CL SA V/R 2.14129000                                              | CUSIP: 31397QW95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    347109 | NS      | $39317.83      | 0.00%             | 2041-01-25      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR1397 3% 01/01/43                              | FANNIE MAE POOL UMBS P#AR1397 3.00000000                                                         | CUSIP: 3138NXRT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    733269 | NS      | $654958.91     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MALT 2004-3 2A 6.25% 04/25/34                          | MASTR ALTERNATIVE LOAN TRUST 2004-3 SER 2004-3 CL 2A1 REGD 6.25000000                            | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19813 | NS      | $19346.45      | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNR 2007-74 SL V/R 11/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-74 CL SL V/R 2.21371000                        | CUSIP: 38375LZR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79966 | NS      | $5506.78       | 0.00%             | 2037-11-16      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNR 2005-56 IC 5.5% 07/20/35                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-56 CL IC 5.50000000                            | CUSIP: 38374LRT0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12614 | NS      | $1870.53       | 0.00%             | 2035-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2001-7 PF 7% 03/25/31                              | FANNIE MAE REMICS SER 2001-7 CL PF 7.00000000                                                    | CUSIP: 31359SDC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2673 | NS      | $2825.48       | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-39 WC 5.5% 01/25/36                           | FANNIE MAE REMICS SER 2006-39 CL WC 5.50000000                                                   | CUSIP: 31395DFA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4458 | NS      | $4434.33       | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 4.375% 05/15/55                            | ORACLE CORP REGD 4.37500000                                                                      | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    400000 | NS      | $302301.19     | 0.00%             | 2055-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALT 4.101% 03/01/28                         | ELEVANCE HEALTH INC REGD 4.10100000                                                              | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    920000 | NS      | $881657.73     | 0.01%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COM 4.487% 02/15/42                         | BOSTON GAS COMPANY REGD P/P 4.48700000                                                           | CUSIP: 100743AJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    253000 | NS      | $211953.68     | 0.00%             | 2042-02-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A39789 4.5% 11/01/35                           | FREDDIE MAC GOLD POOL P#A39789 4.50000000                                                        | CUSIP: 31297V2W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6384 | NS      | $6295.26       | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP 3.375% 08/15/61                          | WESTLAKE CORP REGD 3.37500000                                                                    | CUSIP: 960413BA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2595000 | NS      | $1530318.18    | 0.01%             | 2061-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CSMCM 2018-RPL9  V/R 09/25/57                          | CSMCM 2018-RPL9 TRUST SER 2018-RPL9 CL CERT V/R REGD 144A P/P 2.75307000                         | CUSIP: 12656WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1950029 | NS      | $1661208.59    | 0.01%             | 2057-09-25      | Variable      | 2.75%                 | No            |                  3 | On Loan: No      |
| GNR 2004-89 LS V/R 10/16/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-89 CL LS V/R 8.52027000                        | CUSIP: 38374JLG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12153 | NS      | $12875.88      | 0.00%             | 2034-10-16      | Variable      | 8.52%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 06/05/28                         | GOLDMAN SACHS GROUP INC REGD V/R 3.69100000                                                      | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9911000 | NS      | $9208616.75    | 0.06%             | 2028-06-05      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF  2.55% 02/01/30                         | SOUTHERN CALIF GAS CO REGD SER XX 2.55000000                                                     | CUSIP: 842434CU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2621000 | NS      | $2230435.28    | 0.01%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS3198 1.8% 10/01/33                            | FANNIE MAE POOL UMBS P#BS3198 1.80000000                                                         | CUSIP: 3140LDRU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7500000 | NS      | $5881429.28    | 0.04%             | 2033-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA TBA 30 UR 2.5% JAN 23                             | GNMA TBA 30 UR 2.5% JAN 23 TO BE ANNOUNCED 2.50000000                                            | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6775000 | NS      | $5869575.86    | 0.04%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE IN 4.75% 05/25/47                         | ENEL FINANCE INTL NV REGD P/P 4.75000000                                                         | CUSIP: 29278GAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   7050000 | NS      | $5529334.95    | 0.04%             | 2047-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL  1.5% 06/15/26                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 1.50000000                                             | CUSIP: 44891ABW6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2215000 | NS      | $1919060.72    | 0.01%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#T65101 4% 10/01/42                             | FREDDIE MAC GOLD POOL P#T65101 4.00000000                                                        | CUSIP: 31322YU25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39330 | NS      | $36349.99      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WBCMT 2006-C24 X V/R 03/15/45                          | WACHOVIA BANK COMMERCIAL MORTGAGE TR SER 2006-C24 CL XC V/R REGD 144A P/P 0.00000000             | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    298263 | NS      | $2.98          | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL 4% 01/15/26                           | PARAMOUNT GLOBAL REGD 4.00000000                                                                 | CUSIP: 124857AQ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   1000000 | NS      | $958866.52     | 0.01%             | 2026-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/23/31                         | BANK OF AMERICA CORP REGD V/R MTN 1.89800000                                                     | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1285000 | NS      | $986244.57     | 0.01%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.5% JAN 23                              | FNMA 30YR TBA 4.5% JAN 23      TO BE ANNOUNCED 4.50000000                                        | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11090000 | NS      | $10671422.26   | 0.07%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA I P#AY2393 4.25% 12/20/47                         | GINNIE MAE II POOL P#AY2393 4.25000000                                                           | CUSIP: 36196RUS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1093237 | NS      | $1050504.63    | 0.01%             | 2047-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNI 2.55% 03/21/31                         | VERIZON COMMUNICATIONS REGD 2.55000000                                                           | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   8095000 | NS      | $6656992.54    | 0.04%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GNR 2009-6 SH V/R 02/20/39                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-6 CL SH V/R 1.68714000                         | CUSIP: 38375Y6G2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46818 | NS      | $253.20        | 0.00%             | 2039-02-20      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRON 3.875% 01/12/28                         | ARROW ELECTRONICS INC REGD 3.87500000                                                            | CUSIP: 042735BF6<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    221000 | NS      | $200762.76     | 0.00%             | 2028-01-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHR 3101 UZ 6% 01/15/36                                | FREDDIE MAC REMICS SER 3101 CL UZ 6.00000000                                                     | CUSIP: 31396GLR0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     60541 | NS      | $63060.27      | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2399 TH 6.5% 01/15/32                              | FREDDIE MAC REMICS SER 2399 CL TH 6.50000000                                                     | CUSIP: 31339MWA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10858 | NS      | $11251.01      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNR 2005-66 SP V/R 08/16/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-66 CL SP V/R 6.41237000                        | CUSIP: 38374LU82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7654 | NS      | $7343.50       | 0.00%             | 2035-08-16      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH 4.375% 04/15/38                         | ANHEUSER-BUSCH INBEV WOR REGD 4.37500000                                                         | CUSIP: 035240AM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2240000 | NS      | $2002359.41    | 0.01%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SBM7 2003-HYB1 A V/R 09/25/33                          | CITIGROUP GLOBAL MARKETS MORTGAGE SECURITIES VII INC SER 2003-HYB1 CL A V/R REGD 4.23999000      | CUSIP: 79549AYG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21207 | NS      | $20941.28      | 0.00%             | 2033-09-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3805 4.5% 07/20/46                         | GINNIE MAE II POOL P#MA3805 4.50000000                                                           | CUSIP: 36179SGN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    457251 | NS      | $458308.06     | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS C 6.6% 04/01/36                         | GENERAL MOTORS CO REGD 6.60000000                                                                | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    685000 | NS      | $670886.95     | 0.00%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FHR 2086 GB 6% 09/15/28                                | FREDDIE MAC REMICS SER 2086 CL GB 6.00000000                                                     | CUSIP: 3133TGE96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1574 | NS      | $1597.37       | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ9317 4% 01/01/42                              | FANNIE MAE POOL UMBS P#AJ9317 4.00000000                                                         | CUSIP: 3138E2K79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1077565 | NS      | $1034836.75    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 11/15/24                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833LT5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   6105000 | NS      | $5623561.29    | 0.04%             | 2024-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDING 5.125% 10/01/23                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 5.12500000                                                | CUSIP: 05401AAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3000000 | NS      | $2966277.75    | 0.02%             | 2023-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#810997 5.5% 10/01/34                            | FANNIE MAE POOL UMBS P#810997 5.50000000                                                         | CUSIP: 31406H7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11419 | NS      | $11240.17      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#256128 6% 02/01/36                              | FANNIE MAE POOL UMBS P#256128 6.00000000                                                         | CUSIP: 31371MPM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1496 | NS      | $1518.51       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM1187 4% 03/01/47                              | FANNIE MAE POOL UMBS P#FM1187 4.00000000                                                         | CUSIP: 3140X4J98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2858523 | NS      | $2738046.73    | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THREE RIVERS O 5.209% 09/15/27                         | THREE RIVERS OH LOCAL SCH DIST REGD B/E SD CRED 5.20900000                                       | CUSIP: 885715CH3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    285000 | NS      | $285047.08     | 0.00%             | 2027-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC 4% 03/01/27                           | CROWN CASTLE INC REGD 4.00000000                                                                 | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    261000 | NS      | $248902.30     | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA 4.5% 03/15/25                                  | BPCE SA REGD P/P MTN 4.50000000                                                                  | CUSIP: 05578QAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   2000000 | NS      | $1921033.22    | 0.01%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 201 3.375% 02/15/30                         | SPIRIT AIR 2017-1 PTT AA REGD SER AA 3.37500000                                                  | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    738739 | NS      | $636647.33     | 0.00%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 12/15/25                         | JPMORGAN CHASE & CO REGD V/R 5.54600000                                                          | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  14177000 | NS      | $14177249.09   | 0.09%             | 2025-12-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA4375 2.5% 02/01/51                            | FREDDIE MAC POOL UMBS P#RA4375 2.50000000                                                        | CUSIP: 3133KK2G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12538302 | NS      | $10795696.22   | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE I 4.85% 01/24/77                         | GUARDIAN LIFE INSURANCE REGD 144A P/P 4.85000000                                                 | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |   5610000 | NS      | $4577870.57    | 0.03%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#649734 7% 06/01/32                              | FANNIE MAE POOL UMBS P#649734 7.00000000                                                         | CUSIP: 31390LY75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1122 | NS      | $1120.66       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2006-AR10 2 V/R 09/25/36                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006-AR10 SER 2006-AR10 CL 2P V/R REGD 3.56467400 | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4285 | NS      | $3282.72       | 0.00%             | 2036-09-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FREED 2022-3FP 5.79% 08/20/29                          | FREED ABS TRUST 2022-3FP SER 2022-3FP CL B REGD 144A P/P 5.79000000                              | CUSIP: 35634EAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2390000 | NS      | $2354385.89    | 0.02%             | 2029-08-20      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| FNR 2013-81 TA 3% 02/25/43                             | FANNIE MAE REMICS SER 2013-81 CL TA 3.00000000                                                   | CUSIP: 3136AFK60<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    464236 | NS      | $444857.63     | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#790964 V/R 09/01/34                             | FANNIE MAE POOL UMBS P#790964 V/R 3.89600000                                                     | CUSIP: 31405JWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       659 | NS      | $650.13        | 0.00%             | 2034-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/27                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833PE4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4314000 | NS      | $3568190.50    | 0.02%             | 2027-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE E 1.6% 08/15/30                         | PUBLIC SERVICE ENTERPRIS REGD 1.60000000                                                         | CUSIP: 744573AQ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   8395000 | NS      | $6509162.81    | 0.04%             | 2030-08-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT B 4.25% 09/15/27                         | EXPORT-IMPORT BANK KOREA REGD 4.25000000                                                         | CUSIP: 302154DR7<br>LEI: N/A                  | Long             | DBT              | USGA              | KR        |   7946000 | NS      | $7797005.11    | 0.05%             | 2027-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM8745 2.81% 05/01/27                           | FANNIE MAE POOL UMBS P#AM8745 2.81000000                                                         | CUSIP: 3138L9WF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1826763 | NS      | $1702464.74    | 0.01%             | 2027-05-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| GNR 2021-165 ST V/R 01/20/50                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-165 CL ST V/R 0.00000000                       | CUSIP: 38383ABJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2743194 | NS      | $900.32        | 0.00%             | 2050-01-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| VZOT 2020-A A1 1.85% 02/20/23                          | VERIZON OWNER TRUST 2020-A SER 2020-A CL A1A REGD 1.85000000                                     | CUSIP: 92348TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1528034 | NS      | $1522304.42    | 0.01%             | 2024-07-22      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FHR 1466 PZ 7.5% 02/15/23                              | FREDDIE MAC REMICS SER 1466 CL PZ 7.50000000                                                     | CUSIP: 312914MW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        75 | NS      | $75.22         | 0.00%             | 2023-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MARS 2005-PO 3PO ZCP 05/28/35                          | MASTR RESECURITIZATION TRUST 2005-PO SER 2005-PO CL 3PO ZCP REGD 144A P/P 0.00000000             | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9760 | NS      | $7337.07       | 0.00%             | 2035-05-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM4789 4.18% 11/01/30                           | FANNIE MAE POOL UMBS P#AM4789 4.18000000                                                         | CUSIP: 3138L5KB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3541111 | NS      | $3452446.00    | 0.02%             | 2030-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2781 6.5% 07/20/29                           | GINNIE MAE II POOL P#2781 6.50000000                                                             | CUSIP: 36202DCS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33839 | NS      | $34219.12      | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 01/30/26                         | STANDARD CHARTERED PLC REGD V/R 144A P/P 2.81900000                                              | CUSIP: 85325WAA6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1360000 | NS      | $1264657.80    | 0.01%             | 2026-01-30      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| TEXAS HEALTH RE 4.33% 11/15/55                         | TEXAS HEALTH RESOURCES REGD 4.33000000                                                           | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |   1000000 | NS      | $850801.20     | 0.01%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| WFMBS 2007-7 A7 6% 06/25/37                            | WELLS FARGO MORTGAGE BACKED SECURITIES 2007-7 TRUST SER 2007-7 CL A7 REGD 6.00000000             | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6224 | NS      | $5193.78       | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2003-12 SP V/R 02/20/33                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-12 CL SP V/R 3.34714000                        | CUSIP: 38373SNF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11407 | NS      | $234.83        | 0.00%             | 2033-02-20      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CA 8.375% 07/15/33                         | TIME WARNER CABLE ENTRMN REGD SER * 8.37500000                                                   | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    529000 | NS      | $587637.87     | 0.00%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| GNMA II P#784847 4.5% 11/20/49                         | GINNIE MAE II POOL P#784847 4.50000000                                                           | CUSIP: 3622AAHY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5554013 | NS      | $5389675.01    | 0.03%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP 2.95% 02/15/27                         | CMS ENERGY CORP REGD 2.95000000                                                                  | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    348000 | NS      | $311614.91     | 0.00%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 5.3% 12/05/43                          | CVS HEALTH CORP REGD 5.30000000                                                                  | CUSIP: 126650CD0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3260000 | NS      | $3043740.17    | 0.02%             | 2043-12-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHMS K069 A2 V/R 09/25/27                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K069 CL A2 V/R 3.18700000            | CUSIP: 3137FBU79<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11650000 | NS      | $11028336.20   | 0.07%             | 2027-09-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4923 4.5% 01/20/41                           | GINNIE MAE II POOL P#4923 4.50000000                                                             | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    266466 | NS      | $265944.95     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS S 4.35% 11/15/47                         | BRISTOL-MYERS SQUIBB CO REGD 4.35000000                                                          | CUSIP: 110122DK1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   7950000 | NS      | $7003807.85    | 0.04%             | 2047-11-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SASC 2002-AL1  3.45% 02/25/32                          | STRUCTURED ASSET SECURITIES CORP PASS-THROUGH CER SER 2002-AL1 CL A2 REGD 3.45000000             | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5291 | NS      | $4557.93       | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM2 A1 V/R 02/25/26                          | OBX 2022-NQM2 TRUST SER 2022-NQM2 CL A1 V/R REGD 144A P/P 2.94427900                             | CUSIP: 67448DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8494060 | NS      | $7393381.00    | 0.05%             | 2062-01-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| HERO 2016-3A A 3.08% 09/20/36                          | HERO FUNDING TRUST 2016-3 SER 2016-3A CL A1 REGD 144A P/P 3.08000000                             | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    308245 | NS      | $288165.29     | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A2 2A V/R 11/25/08                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A2 SER 2007-A2 CL 2A1 V/R REGD 4.14208700               | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18453 | NS      | $17643.72      | 0.00%             | 2035-06-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNR 2011-2 WA V/R 02/25/51                             | FANNIE MAE REMICS SER 2011-2 CL WA V/R 5.87844700                                                | CUSIP: 31397QHL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     43569 | NS      | $43993.41      | 0.00%             | 2051-02-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA V/R 09/16/26                              | DNB BANK ASA REGD V/R 144A P/P 1.12700000                                                        | CUSIP: 23329PAF7<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   4000000 | NS      | $3531234.64    | 0.02%             | 2026-09-16      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP 2.45% 07/15/28                            | CENTENE CORP REGD 2.45000000                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   6512000 | NS      | $5496453.60    | 0.04%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FNR 2003-91 SD V/R 09/25/33                            | FANNIE MAE REMICS SER 2003-91 CL SD V/R 5.18548300                                               | CUSIP: 31393EQX0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7963 | NS      | $7676.20       | 0.00%             | 2033-09-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| CBASS 2006-CB1  S/UP 01/25/36                          | SECURITIZED ASSET BACKED RECEIVABLES LLC TRU SER 2006-CB1 CL AF2 S/UP REGD 5.23600000            | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     43953 | NS      | $34117.55      | 0.00%             | 2036-01-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7705 2.5% 11/20/51                         | GINNIE MAE II POOL P#MA7705 2.50000000                                                           | CUSIP: 36179WR26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13408619 | NS      | $11619883.34   | 0.07%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-2 A1 V/R 03/25/24                            | PRPM 2021-2 LLC SER 2021-2 CL A1 V/R REGD 144A P/P 2.11500000                                    | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6324671 | NS      | $5823008.30    | 0.04%             | 2026-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| ROCKT 2020-1A A V/R 01/20/32                           | ROCKFORD TOWER CLO 2020-1 LTD SER 2020-1A CL A V/R REGD 144A P/P 5.52257000                      | CUSIP: 77341EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12000000 | NS      | $11818308.00   | 0.08%             | 2032-01-20      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| GSMS 2014-GC2 3.364% 10/10/24                          | GS MORTGAGE SECURITIES TRUST 2014-GC26 SER 2014-GC26 CL A4 REGD 3.36400000                       | CUSIP: 36250HAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5452411 | NS      | $5226572.46    | 0.03%             | 2047-11-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1125 4% 07/01/42                              | FANNIE MAE POOL UMBS P#MA1125 4.00000000                                                         | CUSIP: 31418AHB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    215695 | NS      | $206667.22     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NAVSL 2018-CA  3.52% 05/15/26                          | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2018-C SER 2018-CA CL A2 REGD 144A P/P 3.52000000      | CUSIP: 63940VAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    813850 | NS      | $798246.88     | 0.01%             | 2042-06-16      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| THOR 2018 A 4.16% 02/09/30                             | OL SP 2018-B LLC SER 2018 CL A REGD P/P 4.16000000                                               | CUSIP: 67090UAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    848643 | NS      | $834574.68     | 0.01%             | 2030-02-09      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.25% 03/01/28                               | BOEING CO REGD 3.25000000                                                                        | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2061000 | NS      | $1842209.06    | 0.01%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO S/UP 10/01/24                            | DTE ENERGY CO REGD S/UP SER C 2.52900000                                                         | CUSIP: 233331AW7<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   3878000 | NS      | $3706859.13    | 0.02%             | 2024-10-01      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4196 3.5% 01/20/47                         | GINNIE MAE II POOL P#MA4196 3.50000000                                                           | CUSIP: 36179SUV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17704 | NS      | $16530.80      | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FSPC T-42 A5 7.5% 02/25/42                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-42 CL A5 7.50000000                       | CUSIP: 31392MH39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    155397 | NS      | $158762.96     | 0.00%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G1386 V/R 12/01/36                            | FREDDIE MAC NON GOLD POOL P#1G1386 V/R 2.62200000                                                | CUSIP: 3128QJRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34061 | NS      | $33777.57      | 0.00%             | 2036-12-01      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNR 2009-65 MT 5% 09/25/39                             | FANNIE MAE REMICS SER 2009-65 CL MT 5.00000000                                                   | CUSIP: 31396QH93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33912 | NS      | $34098.39      | 0.00%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PL 6.1% 01/14/42                         | HSBC HOLDINGS PLC REGD 6.10000000                                                                | CUSIP: 404280AM1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1060000 | NS      | $1105086.74    | 0.01%             | 2042-01-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL6 A V/R 03/25/59                          | CSMC 2020-RPL6 TRUST SER 2020-RPL6 CL A1 V/R REGD 144A P/P 2.68750000                            | CUSIP: 12656HAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3696908 | NS      | $3494151.18    | 0.02%             | 2059-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| UMBS P#689977 8% 03/01/27                              | FANNIE MAE POOL UMBS P#689977 8.00000000                                                         | CUSIP: 31400KQ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3027 | NS      | $3074.72       | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER C 3.7% 10/15/49                         | AMERICAN TOWER CORP REGD 3.70000000                                                              | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2065000 | NS      | $1464670.24    | 0.01%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA 3.1% 07/15/31                              | AKER BP ASA REGD 144A P/P 3.10000000                                                             | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   2730000 | NS      | $2238936.75    | 0.01%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A74793 5% 03/01/38                             | FREDDIE MAC GOLD POOL P#A74793 5.00000000                                                        | CUSIP: 3128L8KE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    130190 | NS      | $132945.65     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 05/10/28                         | CAPITAL ONE FINANCIAL CO REGD V/R 4.92700000                                                     | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2126000 | NS      | $2058195.86    | 0.01%             | 2028-05-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHR 1671 L 7% 02/15/24                                 | FREDDIE MAC REMICS SER 1671 CL L 7.00000000                                                      | CUSIP: 3133T36F0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       321 | NS      | $320.55        | 0.00%             | 2024-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2224 CB 8% 03/15/30                                | FREDDIE MAC REMICS SER 2224 CL CB 8.00000000                                                     | CUSIP: 3133TNK45<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3493 | NS      | $3721.56       | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2076 5% 07/20/44                           | GINNIE MAE II POOL P#MA2076 5.00000000                                                           | CUSIP: 36179QJV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    312024 | NS      | $317326.20     | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#745275 5% 02/01/36                              | FANNIE MAE POOL UMBS P#745275 5.00000000                                                         | CUSIP: 31403C6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16446 | NS      | $16765.09      | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EATON CORP 4% 11/02/32                                 | EATON CORP REGD 4.00000000                                                                       | CUSIP: 278062AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    143000 | NS      | $131675.23     | 0.00%             | 2032-11-02      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS5907 3.54% 06/01/32                           | FANNIE MAE POOL UMBS P#BS5907 3.54000000                                                         | CUSIP: 3140LGR53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15495000 | NS      | $14389888.85   | 0.09%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| XYLEM INC 1.95% 01/30/28                               | XYLEM INC REGD 1.95000000                                                                        | CUSIP: 98419MAM2<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |   2170000 | NS      | $1866127.26    | 0.01%             | 2028-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 12/10/25                         | JPMORGAN CHASE & CO REGD V/R 1.56100000                                                          | CUSIP: 46647PCT1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9475000 | NS      | $8772205.71    | 0.06%             | 2025-12-10      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER  2.95% 01/15/51                         | AMERICAN TOWER CORP REGD 2.95000000                                                              | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    875000 | NS      | $541722.28     | 0.00%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIE 4.975% 04/20/55                         | REPUBLICA ORIENT URUGUAY REGD 4.97500000                                                         | CUSIP: 760942BD3<br>LEI: N/A                  | Long             | DBT              | USGA              | UY        |    790000 | NS      | $754761.43     | 0.00%             | 2055-04-20      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB4106 3.5% 12/01/41                            | FANNIE MAE POOL UMBS P#AB4106 3.50000000                                                         | CUSIP: 31417AR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109114 | NS      | $102136.00     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CR2 3.432% 07/10/25                          | COMM 2015-CCRE24 MORTGAGE TRUST SER 2015-CR24 CL A4 REGD 3.43200000                              | CUSIP: 12593JBE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4770516 | NS      | $4539996.05    | 0.03%             | 2048-08-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GNMA II P#5082 4.5% 06/20/41                           | GINNIE MAE II POOL P#5082 4.50000000                                                             | CUSIP: 36202FUF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    832227 | NS      | $828056.28     | 0.01%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNR 2004-96 SC V/R 11/20/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-96 CL SC V/R 1.72714000                        | CUSIP: 38374JG75<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    114562 | NS      | $110.94        | 0.00%             | 2034-11-20      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNR 2014-21 KW 4% 04/25/41                             | FANNIE MAE REMICS SER 2014-21 CL KW 4.00000000                                                   | CUSIP: 3136AJLN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1285115 | NS      | $1241483.80    | 0.01%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#470300 3.64% 01/01/25                           | FANNIE MAE POOL UMBS P#470300 3.64000000                                                         | CUSIP: 31381TNR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    510447 | NS      | $498576.06     | 0.00%             | 2025-01-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1273 2% 08/01/51                              | FANNIE MAE POOL UMBS P#CB1273 2.00000000                                                         | CUSIP: 3140QLMX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2188687 | NS      | $1791369.73    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3378 4.5% 01/20/46                         | GINNIE MAE II POOL P#MA3378 4.50000000                                                           | CUSIP: 36179RXF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1016031 | NS      | $1018412.63    | 0.01%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC &  3.8% 04/01/28                         | VIRGINIA ELEC & POWER CO REGD SER A 3.80000000                                                   | CUSIP: 927804FZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2675000 | NS      | $2520083.18    | 0.02%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC 1.65% 02/01/28                                | AT&T INC REGD 1.65000000                                                                         | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    525000 | NS      | $443389.40     | 0.00%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LI 5.625% 03/01/25                         | SABINE PASS LIQUEFACTION REGD SER WI 5.62500000                                                  | CUSIP: 785592AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | NS      | $505713.27     | 0.00%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VM DEBT 2019- 7.46% 07/18/27                           | VM DEBT 2019-1 TR  REGD 144A 7.46000000                                                          | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15000000 | NS      | $13601622.00   | 0.09%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| UMBS P#BS6339 3.8% 09/01/32                            | FANNIE MAE POOL UMBS P#BS6339 3.80000000                                                         | CUSIP: 3140LHBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9608959 | NS      | $9106344.91    | 0.06%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FHMS K057 A2 2.57% 07/25/26                            | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K057 CL A2 2.57000000           | CUSIP: 3137BRQJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10075000 | NS      | $9442031.07    | 0.06%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| MSBAM 2015-C2 3.479% 05/15/25                          | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 20 SER 2015-C24 CL A3 REGD 3.47900000         | CUSIP: 61765LAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4269071 | NS      | $4053352.92    | 0.03%             | 2048-05-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM3951 3% 07/01/50                              | FANNIE MAE POOL UMBS P#FM3951 3.00000000                                                         | CUSIP: 3140X7L98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    913635 | NS      | $813640.29     | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2012-59 WA V/R 08/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-59 CL WA V/R 5.57695000                        | CUSIP: 38378ERH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    121007 | NS      | $123177.01     | 0.00%             | 2038-08-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G61657 5% 12/01/47                             | FREDDIE MAC GOLD POOL P#G61657 5.00000000                                                        | CUSIP: 31335BZW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1457849 | NS      | $1447516.05    | 0.01%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H17 FC V/R 07/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H17 CL FC V/R 4.34157000                       | CUSIP: 38375UNP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1360966 | NS      | $1339857.14    | 0.01%             | 2064-07-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| MASTR 2004-1 30P ZCP 02/25/34                          | MASTR ASSET SECURITIZATION TRUST 2004-1 SER 2004-1 CL 30PO ZCP REGD 0.00000000                   | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1130 | NS      | $765.86        | 0.00%             | 2034-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHS 233 11 5% 09/15/35                                 | FREDDIE MAC STRIPS SER 233 CL 11 5.00000000                                                      | CUSIP: 31282YDW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     56902 | NS      | $11633.56      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 2631 SA V/R 06/15/33                               | FREDDIE MAC REMICS SER 2631 CL SA V/R 6.93392300                                                 | CUSIP: 31393RY20<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34764 | NS      | $36356.21      | 0.00%             | 2033-06-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q12052 3.5% 10/01/42                           | FREDDIE MAC GOLD POOL P#Q12052 3.50000000                                                        | CUSIP: 3132HNH51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1055813 | NS      | $989422.90     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-116 HI V/R 01/25/38                           | FANNIE MAE REMICS SER 2007-116 CL HI V/R 0.00000000                                              | CUSIP: 31396X6G4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    159971 | NS      | $4681.88       | 0.00%             | 2038-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.6% 04/01/50                              | ORACLE CORP REGD 3.60000000                                                                      | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   6443000 | NS      | $4337857.15    | 0.03%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE 2.25% 11/09/31                          | PUBLIC STORAGE REGD 2.25000000                                                                   | CUSIP: 74460DAJ8<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   1401000 | NS      | $1123521.01    | 0.01%             | 2031-11-09      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SCRT 2020-1 M55G 3% 08/25/59                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-1 SER 2020-1 CL M55G P/P 3.00000000              | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5665192 | NS      | $5176412.53    | 0.03%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC 2018-2A A1 V/R 04/20/31                           | CIFC FUNDING 2018-II LTD SER 2018-2A CL A1 V/R REGD 144A P/P 5.28257000                          | CUSIP: 17180WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11800000 | NS      | $11604969.60   | 0.07%             | 2031-04-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| FHMS K138 AM 1.889% 01/25/32                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K138 CL AM 1.88900000           | CUSIP: 3137H5XV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4300000 | NS      | $3460197.96    | 0.02%             | 2032-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| GNR 2007-17 JO V/R 04/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-17 CL JO V/R 0.00000000                        | CUSIP: 38375JTE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41875 | NS      | $34273.49      | 0.00%             | 2037-04-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BMARK 2020-B19 1.85% 08/15/30                          | BENCHMARK 2020-B19 MORTGAGE TRUST SER 2020-B19 CL A5 REGD 1.85000000                             | CUSIP: 08162WBC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9420000 | NS      | $7553200.92    | 0.05%             | 2053-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL0662 5.5% 01/01/38                            | FANNIE MAE POOL UMBS P#AL0662 5.50000000                                                         | CUSIP: 3138EGWY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49366 | NS      | $50926.11      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SBM7 2003-UP2 PO ZCP 12/25/18                          | CITIGROUP GLOBAL MARKETS MORTGAGE SECURITIES VII INC SER 2003-UP2 CL PO1 ZCP REGD 0.00000000     | CUSIP: 79549AXS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       140 | NS      | $120.19        | 0.00%             | 2033-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELI 3.6% 09/01/32                         | BOARDWALK PIPELINES LP REGD 3.60000000                                                           | CUSIP: 096630AJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4137482.50    | 0.03%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHER 4.05% 08/15/52                         | NORFOLK SOUTHERN CORP REGD SER WI 4.05000000                                                     | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   1100000 | NS      | $881081.53     | 0.01%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION B 2.25% 08/01/31                         | CONSTELLATION BRANDS INC REGD 2.25000000                                                         | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   1970000 | NS      | $1564957.44    | 0.01%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.875% 11/15/30                           | UNITED STATES TREASURY NOTE 0.87500000                                                           | CUSIP: 91282CAV3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  20235000 | NS      | $16173772.37   | 0.10%             | 2030-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A83645 5% 12/01/38                             | FREDDIE MAC GOLD POOL P#A83645 5.00000000                                                        | CUSIP: 312930BN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       396 | NS      | $404.82        | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA0140 4.5% 08/01/29                            | FANNIE MAE POOL UMBS P#MA0140 4.50000000                                                         | CUSIP: 31417YEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59233 | NS      | $58776.52      | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H01 FD V/R 01/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H01 CL FD V/R 4.49157000                       | CUSIP: 38375UCP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1204376 | NS      | $1199308.76    | 0.01%             | 2064-01-20      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BA7567 4.5% 05/20/48                         | GINNIE MAE II POOL P#BA7567 4.50000000                                                           | CUSIP: 3617ALMQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2003503 | NS      | $1939080.89    | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC C 3.9% 04/01/52                         | UNION ELECTRIC CO REGD 3.90000000                                                                | CUSIP: 906548CU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3065000 | NS      | $2469263.80    | 0.02%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINAN 2.75% 05/14/31                         | BUNGE LTD FINANCE CORP REGD 2.75000000                                                           | CUSIP: 120568BC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3900000 | NS      | $3200815.25    | 0.02%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO 4.15% 10/01/44                          | PECO ENERGY CO REGD 4.15000000                                                                   | CUSIP: 693304AS6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    353000 | NS      | $299892.93     | 0.00%             | 2044-10-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNR G93-14 J 6.5% 03/25/23                             | FANNIE MAE REMICS SER G93-14 CL J 6.50000000                                                     | CUSIP: 31358TV97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         9 | NS      | $9.17          | 0.00%             | 2023-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785531 2.5% 06/20/51                         | GINNIE MAE II POOL P#785531 2.50000000                                                           | CUSIP: 3622ABA85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14958998 | NS      | $12670405.21   | 0.08%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1399 V/R 12/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1399 V/R 4.37500000                                                | CUSIP: 3128NHRU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1170 | NS      | $1148.72       | 0.00%             | 2036-12-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN  5.75% 10/12/10                         | UNITED MEXICAN STATES REGD MTN SER GMTN 5.75000000                                               | CUSIP: 91086QAZ1<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |    588000 | NS      | $494569.44     | 0.00%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA9119 2% 01/01/51                              | FANNIE MAE POOL UMBS P#CA9119 2.00000000                                                         | CUSIP: 3140QHDZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3700230 | NS      | $3023744.92    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2010-39 OT ZCP 10/25/35                            | FANNIE MAE REMICS SER 2010-39 CL OT ZCP 0.00000000                                               | CUSIP: 31398PU23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11329 | NS      | $9199.27       | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ4724 3.5% 12/01/41                            | FANNIE MAE POOL UMBS P#AJ4724 3.50000000                                                         | CUSIP: 3138AWHA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    228876 | NS      | $214239.36     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G02301 5% 07/01/36                             | FREDDIE MAC GOLD POOL P#G02301 5.00000000                                                        | CUSIP: 3128LXRW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1120 | NS      | $1145.45       | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995156 7.5% 03/01/35                            | FANNIE MAE POOL UMBS P#995156 7.50000000                                                         | CUSIP: 31416BQH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23350 | NS      | $24675.98      | 0.00%             | 2035-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TVA 2.875% 02/01/27                                    | TENNESSEE VALLEY AUTHORITY SER A 2.87500000                                                      | CUSIP: 880591EU2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    805000 | NS      | $762115.19     | 0.00%             | 2027-02-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HPA 2022-SFR1 MEZ V/R 04/15/26                         | HPA 2022-SFR1 MEZZ PC FRN 15   VARIABLE REGD 3.95000000                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   9833333 | NS      | $9833333.00    | 0.06%             | 2026-04-15      | Variable      | 3.95%                 | No            |                  3 | On Loan: No      |
| UMBS P#751341 5.5% 03/01/34                            | FANNIE MAE POOL UMBS P#751341 5.50000000                                                         | CUSIP: 31403KWA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4370 | NS      | $4394.49       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS  6.875% 11/10/39                         | VALE OVERSEAS  6.875% 11/10/39 6.87500000                                                        | CUSIP: 91911TAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |   2107000 | NS      | $2220206.01    | 0.01%             | 2039-11-10      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL2617 6% 10/01/40                              | FANNIE MAE POOL UMBS P#AL2617 6.00000000                                                         | CUSIP: 3138EJ4B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    698117 | NS      | $727698.67     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H08 FS V/R 04/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H08 CL FS V/R 4.54157000                       | CUSIP: 38375BQP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    531150 | NS      | $528052.03     | 0.00%             | 2062-04-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H07 MA V/R 04/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H07 CL MA V/R 3.95259000                       | CUSIP: 38375BR61<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1024 | NS      | $1005.62       | 0.00%             | 2062-04-20      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4262 3.5% 02/20/47                         | GINNIE MAE II POOL P#MA4262 3.50000000                                                           | CUSIP: 36179SWX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2814901 | NS      | $2625239.92    | 0.02%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 5.3% 08/15/52                         | WILLIAMS COMPANIES INC REGD 5.30000000                                                           | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1360000 | NS      | $1216039.40    | 0.01%             | 2052-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P51251 6.5% 01/01/37                           | FREDDIE MAC GOLD POOL P#P51251 6.50000000                                                        | CUSIP: 3128C6L80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5541 | NS      | $5559.92       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS  4.004% 08/15/46                         | MASSACHUSETTS ELECTRIC REGD 144A P/P 4.00400000                                                  | CUSIP: 575634AT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    624000 | NS      | $451220.02     | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1839 4% 12/01/40                              | FANNIE MAE POOL UMBS P#AH1839 4.00000000                                                         | CUSIP: 3138A3BH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94278 | NS      | $90540.11      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 03/09/27                         | GOLDMAN SACHS GROUP INC REGD V/R 1.43100000                                                      | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5125000 | NS      | $4494153.14    | 0.03%             | 2027-03-09      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| WFRBS 2014-C2 3.678% 07/15/24                          | WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21 SER 2014-C21 CL A5 REGD 3.67800000                      | CUSIP: 92939FAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7000000 | NS      | $6760196.80    | 0.04%             | 2047-08-15      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| UMBS P#FP0013 4% 06/01/48                              | FANNIE MAE POOL UMBS P#FP0013 4.00000000                                                         | CUSIP: 3140XTAP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5681385 | NS      | $5414006.73    | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4254 1.5% 02/01/51                            | FANNIE MAE POOL UMBS P#MA4254 1.50000000                                                         | CUSIP: 31418DWQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20656833 | NS      | $15953020.51   | 0.10%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA 3.875% 04/10/25                            | PNC BANK NA REGD SER BKNT 3.87500000                                                             | CUSIP: 20453KAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7840000 | NS      | $7624827.99    | 0.05%             | 2025-04-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB9667 3% 03/01/51                              | FREDDIE MAC POOL UMBS P#QB9667 3.00000000                                                        | CUSIP: 3133AGW47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1966750 | NS      | $1744657.68    | 0.01%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 09/13/28                         | MIZUHO FINANCIAL GROUP REGD V/R 5.41400000                                                       | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   3830000 | NS      | $3830700.09    | 0.02%             | 2028-09-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08540 3% 08/01/43                             | FREDDIE MAC GOLD POOL P#G08540 3.00000000                                                        | CUSIP: 3128MJS68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2973343 | NS      | $2708500.60    | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 3.8% 03/15/25                               | ABBVIE INC REGD SER WI 3.80000000                                                                | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2923828.62    | 0.02%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7534 2.5% 08/20/51                         | GINNIE MAE II POOL P#MA7534 2.50000000                                                           | CUSIP: 36179WLP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  62151190 | NS      | $53981538.33   | 0.35%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8107 2.5% 11/01/50                            | FREDDIE MAC POOL UMBS P#SD8107 2.50000000                                                        | CUSIP: 3132DWAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2170368 | NS      | $1847595.58    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOFI 2019-C A2 2.37% 04/15/28                          | SOFI PROFESSIONAL LOAN PROGRAM 2019-C LLC SER 2019-C CL A2FX REGD 144A P/P 2.37000000            | CUSIP: 83401CAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3983904 | NS      | $3699401.13    | 0.02%             | 2048-11-16      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A1 2A V/R 02/25/37                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 SER 2007-A1 CL 2A1 V/R REGD 3.64511000               | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27249 | NS      | $25327.95      | 0.00%             | 2037-02-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA P#554108 6.5% 03/15/28                            | GINNIE MAE I POOL P#554108 6.50000000                                                            | CUSIP: 36213GR52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2963 | NS      | $3045.92       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS 5.6% 10/15/44                         | BUCKEYE PARTNERS LP REGD SER 30YR 5.60000000                                                     | CUSIP: 118230AP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1460412.08    | 0.01%             | 2044-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA P#254693 5.500% 04/01/33                          | FEDERAL NATIONAL MORTGAGE ASSN  POOL #254693 5.50000000                                          | CUSIP: 31371K3A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24887 | NS      | $25601.29      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2372 4% 11/20/44                           | GINNIE MAE II POOL P#MA2372 4.00000000                                                           | CUSIP: 36179QT50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    877129 | NS      | $843715.00     | 0.01%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKIN 4.4% 05/19/26                         | AUST & NZ BANKING GROUP REGD 144A P/P 4.40000000                                                 | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   1816000 | NS      | $1743522.97    | 0.01%             | 2026-05-19      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR1 E V/R 06/17/28                          | AMSR 2021-SFR1 TRUST SER 2021-SFR1 CL E2 V/R REGD 144A P/P 2.90000000                            | CUSIP: 00179DAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3950000 | NS      | $3054334.74    | 0.02%             | 2038-06-17      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1N1463 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1N1463 V/R 3.90900000                                                | CUSIP: 3128QHTU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2344 | NS      | $2282.64       | 0.00%             | 2037-05-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0580 3% 04/01/51                              | FREDDIE MAC POOL UMBS P#SD0580 3.00000000                                                        | CUSIP: 3132DMUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12935828 | NS      | $11386012.76   | 0.07%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN 7.8% 05/15/27                         | NORFOLK SOUTHERN CORP REGD 7.80000000                                                            | CUSIP: 655844AJ7<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   1705000 | NS      | $1875595.12    | 0.01%             | 2027-05-15      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3802 3% 07/20/46                           | GINNIE MAE II POOL P#MA3802 3.00000000                                                           | CUSIP: 36179SGK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1657847 | NS      | $1502206.29    | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CMSI 2006-4 1A2 6% 08/25/36                            | CITICORP MORTGAGE SECURITIES TRUST SERIES 2006-4 SER 2006-4 CL 1A2 REGD 6.00000000               | CUSIP: 17310DAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20143 | NS      | $17559.34      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE G 4.55% 04/17/26                         | CREDIT SUISSE GROUP AG REGD SER WI 4.55000000                                                    | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1500000 | NS      | $1322959.61    | 0.01%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNR 2009-25 SE V/R 09/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-25 CL SE V/R 3.24714000                        | CUSIP: 38374XSE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41968 | NS      | $2098.86       | 0.00%             | 2038-09-20      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PART 4% 08/01/24                         | EQM MIDSTREAM PARTNERS L REGD 4.00000000                                                         | CUSIP: 26885BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    749000 | NS      | $719766.53     | 0.00%             | 2024-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM3665 4% 03/01/48                              | FANNIE MAE POOL UMBS P#BM3665 4.00000000                                                         | CUSIP: 3140J8CB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5766422 | NS      | $5525469.95    | 0.04%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTI 3.45% 06/01/26                         | QUEST DIAGNOSTICS INC REGD 3.45000000                                                            | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    223000 | NS      | $212669.79     | 0.00%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4323 4.5% 03/20/47                         | GINNIE MAE II POOL P#MA4323 4.50000000                                                           | CUSIP: 36179SYU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    243219 | NS      | $240979.92     | 0.00%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA C 3.125% 10/25/41                         | TSMC ARIZONA CORP REGD 3.12500000                                                                | CUSIP: 872898AD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4500000 | NS      | $3492884.25    | 0.02%             | 2041-10-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 04/22/32                         | GOLDMAN SACHS GROUP INC REGD V/R 2.61500000                                                      | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9805000 | NS      | $7819397.59    | 0.05%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNGT 2002-T16 A2 7% 07/25/42                           | FANNIE MAE GRANTOR TRUST 2002-T16 SER 2002-T16 CL A2 7.00000000                                  | CUSIP: 31392FDC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     76889 | NS      | $80929.08      | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2004-51 SY V/R 07/25/34                            | FANNIE MAE REMICS SER 2004-51 CL SY V/R 5.46258000                                               | CUSIP: 31393Y4T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7175 | NS      | $6615.81       | 0.00%             | 2034-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNR 2009-112 ST V/R 01/25/40                           | FANNIE MAE REMICS SER 2009-112 CL ST V/R 1.86129000                                              | CUSIP: 31398GKH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     68113 | NS      | $5585.43       | 0.00%             | 2040-01-25      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| UMBS P#868952 V/R 05/01/36                             | FANNIE MAE POOL UMBS P#868952 V/R 3.10000000                                                     | CUSIP: 31409EL90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1763 | NS      | $1731.98       | 0.00%             | 2036-05-01      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNR 2004-61 FH V/R 11/25/32                            | FANNIE MAE REMICS SER 2004-61 CL FH V/R 5.18871000                                               | CUSIP: 31394ARN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    134775 | NS      | $134872.72     | 0.00%             | 2032-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO 4.75% 08/01/43                          | HALLIBURTON CO REGD 4.75000000                                                                   | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    565000 | NS      | $481922.12     | 0.00%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TPMT 2022-2 A1 V/R 01/25/32                            | TOWD POINT MORTGAGE TRUST 2022-2 SER 2022-2 CL A1 V/R REGD 144A P/P 3.75000000                   | CUSIP: 89180HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17303023 | NS      | $16112127.03   | 0.10%             | 2062-07-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNR 1993-179 SB V/R 10/25/23                           | FANNIE MAE REMICS SER 1993-179 CL SB V/R 6.26062500                                              | CUSIP: 31359EFW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        93 | NS      | $89.52         | 0.00%             | 2023-10-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| MDST 2006-1 M 6.083% 10/15/40                          | MID-STATE CAPITAL CORP 2006-1 TRUST SER 2006-1 CL M1 REGD 144A P/P 6.08300000                    | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    413893 | NS      | $400741.29     | 0.00%             | 2040-10-15      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3768 3.5% 06/01/52                            | FANNIE MAE POOL UMBS P#CB3768 0.00000000                                                         | CUSIP: 3140QPFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7848284 | NS      | $7135068.60    | 0.05%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LMAT 2021-GS2 A1 V/R 04/25/61                          | LEGACY MORTGAGE ASSET TRUST 2021-GS2 SER 2021-GS2 CL A1 V/R REGD 144A P/P 1.75000000             | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5249930 | NS      | $4745365.28    | 0.03%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ 2.048% 07/17/30                         | MITSUBISHI UFJ FIN GRP REGD 2.04800000                                                           | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2940000 | NS      | $2319072.88    | 0.01%             | 2030-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GNR 2003-90 PO ZCP 10/20/33                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-90 CL PO ZCP 0.00000000                        | CUSIP: 38374CUL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2980 | NS      | $2956.30       | 0.00%             | 2033-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3149 SO ZCP 05/15/36                               | FREDDIE MAC REMICS SER 3149 CL SO ZCP 0.00000000                                                 | CUSIP: 31396RJA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9504 | NS      | $7486.06       | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 4077 FB V/R 07/15/42                               | FREDDIE MAC REMICS SER 4077 CL FB V/R 4.81786000                                                 | CUSIP: 3137ASAP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    166235 | NS      | $162043.97     | 0.00%             | 2042-07-15      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL9645 1.5% 01/01/31                            | FANNIE MAE POOL UMBS P#BL9645 1.50000000                                                         | CUSIP: 3140J2WF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | NS      | $7969335.00    | 0.05%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO 5.705% 05/01/40                              | BOEING CO REGD 5.70500000                                                                        | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1555000 | NS      | $1482789.64    | 0.01%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| CARMX 2021-1 A 0.53% 02/18/25                          | CARMAX AUTO OWNER TRUST 2021-1 SER 2021-1 CL A4 REGD 0.53000000                                  | CUSIP: 14316NAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4057000 | NS      | $3711702.64    | 0.02%             | 2026-10-15      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91840 3% 07/01/35                             | FREDDIE MAC GOLD POOL P#C91840 3.00000000                                                        | CUSIP: 3128P8BH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3534364 | NS      | $3284593.09    | 0.02%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT 5.1% 06/18/50                         | REPUBLICA ORIENT URUGUAY REGD 5.10000000                                                         | CUSIP: 760942BA9<br>LEI: N/A                  | Long             | DBT              | USGA              | UY        |   1150000 | NS      | $1126813.85    | 0.01%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC P#781087 V/R 12/01/33                            | FREDDIE MAC NON GOLD POOL P#781087 V/R 4.35500000                                                | CUSIP: 31349SF40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11952 | NS      | $11720.79      | 0.00%             | 2033-12-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A88871 7% 01/01/31                             | FREDDIE MAC GOLD POOL P#A88871 7.00000000                                                        | CUSIP: 3129352C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16430 | NS      | $16746.46      | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHMS K158 A3 V/R 10/25/33                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K158 CL A3 V/R 3.90000000            | CUSIP: 3137FJY78<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6500000 | NS      | $6049340.05    | 0.04%             | 2033-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS 2.95% 09/15/29                         | REGENCY CENTERS LP REGD 2.95000000                                                               | CUSIP: 75884RAZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2200000 | NS      | $1846495.97    | 0.01%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA P#366706 6.5% 01/15/24                            | GINNIE MAE I POOL P#366706 6.50000000                                                            | CUSIP: 36204DKT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195 | NS      | $200.50        | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#945870 6.5% 08/01/37                            | FANNIE MAE POOL UMBS P#945870 6.50000000                                                         | CUSIP: 31413HJP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21678 | NS      | $22370.17      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NAROT 2021-A A 0.33% 07/15/24                          | NISSAN AUTO RECEIVABLES 2021-A OWNER TRUST SER 2021-A CL A3 REGD 0.33000000                      | CUSIP: 65480BAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9768000 | NS      | $9347819.71    | 0.06%             | 2025-10-15      | Fixed         | 0.33%                 | No            |                  2 | On Loan: No      |
| NAVSL 2019-CA  3.13% 02/15/68                          | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-C SER 2019-CA CL A2 REGD 144A P/P 3.13000000      | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2638767 | NS      | $2491354.99    | 0.02%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY 4.35% 09/08/26                          | MORGAN STANLEY REGD MTN SER GMTN 4.35000000                                                      | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    930000 | NS      | $902325.60     | 0.01%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH  5.4% 06/01/41                         | BURLINGTN NORTH SANTA FE REGD 5.40000000                                                         | CUSIP: 12189LAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    542000 | NS      | $546173.18     | 0.00%             | 2041-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FHR 2642 SL V/R 07/15/33                               | FREDDIE MAC REMICS SER 2642 CL SL V/R 4.73993000                                                 | CUSIP: 31393VYC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       462 | NS      | $377.91        | 0.00%             | 2033-07-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| FMMSR 2021-GT2 A V/R 10/25/26                          | FMC GMSR ISSUER TRUST SER 2021-GT2 CL A V/R REGD 144A P/P 3.85000000                             | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8250000 | NS      | $6616137.00    | 0.04%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNR 2009-4 BD 4.5% 02/25/39                            | FANNIE MAE REMICS SER 2009-4 CL BD 4.50000000                                                    | CUSIP: 31397MW94<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1571 | NS      | $1434.42       | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY COR 2.65% 09/01/26                         | DUKE ENERGY CORP REGD 2.65000000                                                                 | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |  10514000 | NS      | $9710879.59    | 0.06%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FHR 1602 SA V/R 10/15/23                               | FREDDIE MAC REMICS SER 1602 CL SA V/R 10.16229500                                                | CUSIP: 3133T1D82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       380 | NS      | $369.90        | 0.00%             | 2023-10-15      | Variable      | 10.16%                | No            |                  2 | On Loan: No      |
| FNA 2018-M4 A2 V/R 03/25/28                            | FANNIE MAE-ACES SER 2018-M4 CL A2 V/R 3.05600000                                                 | CUSIP: 3136B1XJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3486660 | NS      | $3245669.66    | 0.02%             | 2028-03-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS &  2.9% 06/15/50                         | BALTIMORE GAS & ELECTRIC REGD 2.90000000                                                         | CUSIP: 059165EM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | NS      | $627781.67     | 0.00%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AETNA INC 6.75% 12/15/37                               | AETNA INC REGD 6.75000000                                                                        | CUSIP: 00817YAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    341000 | NS      | $365755.47     | 0.00%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL5788 5% 05/01/42                              | FANNIE MAE POOL UMBS P#AL5788 5.00000000                                                         | CUSIP: 3138ENNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    865621 | NS      | $876551.61     | 0.01%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3549 FA V/R 07/15/39                               | FREDDIE MAC REMICS SER 3549 CL FA V/R 5.51786000                                                 | CUSIP: 31398EP99<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6781 | NS      | $6761.32       | 0.00%             | 2039-07-15      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| UMBS P#BN0545 4% 10/01/48                              | FANNIE MAE POOL UMBS P#BN0545 4.00000000                                                         | CUSIP: 3140JGTB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    246995 | NS      | $235508.33     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAMARCO MINERAC 5.75% 10/24/23                         | SAMARCO MINERACAO SA REGD 0.00000000                                                             | CUSIP: 79586KAC5<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |    537000 | NS      | $245946.00     | 0.00%             | 2023-10-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY 4.1% 05/22/23                           | MORGAN STANLEY REGD MTN 4.10000000                                                               | CUSIP: 61747YDU6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3460000 | NS      | $3447350.66    | 0.02%             | 2023-05-22      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO 3.7% 09/15/47                           | PECO ENERGY CO REGD 3.70000000                                                                   | CUSIP: 693304AV9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2120000 | NS      | $1656355.41    | 0.01%             | 2047-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY L 3.85% 04/01/27                         | VENTAS REALTY LP REGD 3.85000000                                                                 | CUSIP: 92277GAL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    677000 | NS      | $635870.28     | 0.00%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G05671 5.5% 08/01/38                           | FREDDIE MAC GOLD POOL P#G05671 5.50000000                                                        | CUSIP: 3128M7T48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33088 | NS      | $34304.82      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SDART 2022-6 C 4.96% 04/15/26                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-6 SER 2022-6 CL C REGD 4.96000000                    | CUSIP: 802918AE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6097000 | NS      | $5896103.24    | 0.04%             | 2028-11-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FNS 329 1 ZCP 01/25/33                                 | FANNIE MAE INTEREST STRIP SER 329 CL 1 ZCP 0.00000000                                            | CUSIP: 3136FAWE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4014 | NS      | $3399.03       | 0.00%             | 2033-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BK0436 3% 12/01/49                              | FANNIE MAE POOL UMBS P#BK0436 3.00000000                                                         | CUSIP: 3140HDPW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    747244 | NS      | $663296.18     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG 3.7% 05/30/24                         | DEUTSCHE BANK AG LONDON REGD MTN 3.70000000                                                      | CUSIP: 25152RXA6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2063000 | NS      | $2027077.31    | 0.01%             | 2024-05-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SLG 2021-OVA  2.585% 07/15/31                          | SLG OFFICE TRUST 2021-OVA SER 2021-OVA CL A REGD 144A P/P 2.58540000                             | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9955000 | NS      | $7941357.35    | 0.05%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| GNR 2007-27 SD V/R 05/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-27 CL SD V/R 1.84714000                        | CUSIP: 38375JJ71<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79847 | NS      | $2744.68       | 0.00%             | 2037-05-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7367 2.5% 05/20/51                         | GINNIE MAE II POOL P#MA7367 2.50000000                                                           | CUSIP: 36179WFG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10265280 | NS      | $8924913.52    | 0.06%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY IN 7% 06/15/38                         | DOMINION ENERGY INC REGD 7.00000000                                                              | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    124000 | NS      | $132821.09     | 0.00%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CGCMT 2016-C3 3.154% 10/15/26                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C3 SER 2016-C3 CL A4 REGD 3.15400000                    | CUSIP: 17325GAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2764000 | NS      | $2541901.27    | 0.02%             | 2049-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1328 3.5% 01/01/43                            | FANNIE MAE POOL UMBS P#MA1328 3.50000000                                                         | CUSIP: 31418APN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    308373 | NS      | $287969.25     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H26 JA V/R 10/20/61                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H26 CL JA V/R 3.94005000                       | CUSIP: 38375BYU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2248 | NS      | $2206.64       | 0.00%             | 2061-10-20      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUNI  7.499% 02/15/50                         | AMERICAN MUNI PWR-OHIO INC OH REGD N/C B/E 7.49900000                                            | CUSIP: 02765UDV3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   1350000 | NS      | $1620535.01    | 0.01%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 3117 OK ZCP 02/15/36                               | FREDDIE MAC REMICS SER 3117 CL OK ZCP 0.00000000                                                 | CUSIP: 31396HVU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12303 | NS      | $10210.32      | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/22/32                         | JPMORGAN CHASE & CO REGD V/R 2.58000000                                                          | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6390000 | NS      | $5118644.45    | 0.03%             | 2032-04-22      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| FHR 3151 PO ZCP 05/15/36                               | FREDDIE MAC REMICS SER 3151 CL PO ZCP 0.00000000                                                 | CUSIP: 31396NU46<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21082 | NS      | $16804.42      | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN NATURAL 4.8% 03/15/47                         | SOUTHERN NATURAL GAS REGD 144A P/P 4.80000000                                                    | CUSIP: 84346LAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    428000 | NS      | $347233.47     | 0.00%             | 2047-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MVW 2015-9A A1R V/R 07/15/31                           | MOUNTAIN VIEW CLO IX LTD SER 2015-9A CL A1R V/R REGD 144A P/P 5.19914000                         | CUSIP: 62432BAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20000000 | NS      | $19657460.00   | 0.13%             | 2031-07-15      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08587 4.5% 05/01/44                           | FREDDIE MAC GOLD POOL P#G08587 4.50000000                                                        | CUSIP: 3128MJUM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    283447 | NS      | $278764.40     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 3137 XP 6% 04/15/36                                | FREDDIE MAC REMICS SER 3137 CL XP 6.00000000                                                     | CUSIP: 31396N2Q8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     43814 | NS      | $45308.98      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY S ZCP 08/15/41                             | UNITED STATES TREASURY STRIP__  COUPON 0.00000000                                                | CUSIP: 912834KP2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1425000 | NS      | $644188.59     | 0.00%             | 2041-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM6781 V/R 09/01/24                             | FANNIE MAE POOL UMBS P#AM6781 V/R 4.62200000                                                     | CUSIP: 3138L7RB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3249972 | NS      | $3217905.37    | 0.02%             | 2024-09-01      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| HART 2022-A A3 2.22% 10/15/26                          | HYUNDAI AUTO RECEIVABLES TRUST 2022-A SER 2022-A CL A3 REGD 2.22000000                           | CUSIP: 448977AD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1642000 | NS      | $1568794.55    | 0.01%             | 2026-10-15      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| FNR 2009-11 NB 5% 03/25/29                             | FANNIE MAE REMICS SER 2009-11 CL NB 5.00000000                                                   | CUSIP: 31397NLM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     42622 | NS      | $42146.52      | 0.00%             | 2029-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNR 2011-163 WA V/R 12/20/38                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-163 CL WA V/R 5.88620000                       | CUSIP: 38378AS36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    292289 | NS      | $301517.62     | 0.00%             | 2038-12-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNR 2005-68 PG 5.5% 08/25/35                           | FANNIE MAE REMICS SER 2005-68 CL PG 5.50000000                                                   | CUSIP: 31394E7B8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     43937 | NS      | $44309.82      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHMS K065 A2 3.243% 04/25/27                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K065 CL A2 3.24300000           | CUSIP: 3137F1G44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7030000 | NS      | $6688025.65    | 0.04%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FNR 2010-43 FD V/R 05/25/40                            | FANNIE MAE REMICS SER 2010-43_  CL FD V/R 4.98871000                                             | CUSIP: 31398RCX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32435 | NS      | $32052.31      | 0.00%             | 2040-05-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| MCMLT 2021-NMR1  V/R 11/25/60                          | MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 SER 2021-NMR1 CL A1 V/R REGD 144A P/P 1.12500000         | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1901992 | NS      | $1756324.16    | 0.01%             | 2060-11-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| AESOP 2018-2A A 4% 03/20/24                            | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2018-2A CL A REGD 144A P/P 4.00000000               | CUSIP: 05377RDC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5800000 | NS      | $5702076.28    | 0.04%             | 2025-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-79 DO ZCP 08/25/36                            | FANNIE MAE REMICS SER 2006-79 CL DO ZCP 0.00000000                                               | CUSIP: 31396KYB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13541 | NS      | $11804.87      | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT6765 3% 07/01/43                              | FANNIE MAE POOL UMBS P#AT6765 3.00000000                                                         | CUSIP: 3138WUQT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32409 | NS      | $29490.79      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 4.272% 01/15/36                         | VERIZON COMMUNICATIONS REGD SER WI 4.27200000                                                    | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   7380000 | NS      | $6569562.28    | 0.04%             | 2036-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6702 3% 02/01/52                              | FREDDIE MAC POOL UMBS P#RA6702 3.00000000                                                        | CUSIP: 3133KNNT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10454546 | NS      | $9220183.53    | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WI TREASURY SE 3.875% 09/30/27                         | WI TREAS. NT/BD REGD 4.12500000                                                                  | CUSIP: 91282CFM8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  10566000 | NS      | $10605622.50   | 0.07%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA P#AD9020 3.5% 04/15/43                            | GINNIE MAE I POOL P#AD9020 3.50000000                                                            | CUSIP: 36180NAV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1832235 | NS      | $1723101.27    | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G16076 3% 02/01/32                             | FREDDIE MAC GOLD POOL P#G16076 3.00000000                                                        | CUSIP: 3128ME6M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2748038 | NS      | $2631647.81    | 0.02%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC 2.75% 12/10/51                          | MERCK & CO INC REGD 2.75000000                                                                   | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   1415000 | NS      | $945416.70     | 0.01%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4325 2% 05/01/51                              | FANNIE MAE POOL UMBS P#MA4325 2.00000000                                                         | CUSIP: 31418DYX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3616678 | NS      | $2952433.60    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HART 2020-A A3 1.41% 11/15/24                          | HYUNDAI AUTO RECEIVABLES TRUST 2020-A SER 2020-A CL A3 REGD 1.41000000                           | CUSIP: 44891LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1611412 | NS      | $1589102.97    | 0.01%             | 2024-11-15      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| GNR 2006-57 P 5.564% 10/20/36                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-57 CL PZ 5.56480000                            | CUSIP: 38374NXS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     76377 | NS      | $76420.61      | 0.00%             | 2036-10-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER C 4.15% 08/15/44                         | ALABAMA POWER CO REGD 4.15000000                                                                 | CUSIP: 010392FL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | NS      | $169640.39     | 0.00%             | 2044-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROU 4.704% 01/10/36                         | CVS PASS-THROUGH TR 2013 REGD P/P 4.70400000                                                     | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    783900 | NS      | $704501.85     | 0.00%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#889020 6.5% 11/01/29                            | FANNIE MAE POOL UMBS P#889020 6.50000000                                                         | CUSIP: 31410GVM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    176014 | NS      | $180414.20     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2007-C2 AX V/R 01/15/49                           | CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SER 2007-C2 CL AX V/R REGD 144A P/P 0.01395900           | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1794352 | NS      | $2.15          | 0.00%             | 2049-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-1 1A 5.5% 03/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SER 2005-1 CL 1A1 REGD 5.50000000     | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     44268 | NS      | $39000.60      | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO2993 3.5% 05/01/42                            | FANNIE MAE POOL UMBS P#AO2993 3.50000000                                                         | CUSIP: 3138LTKF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2721225 | NS      | $2547215.55    | 0.02%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TO 6.263% 04/01/49                         | BAY AREA CA TOLL AUTH TOLL BRI REGD N/C B/E 6.26300000                                           | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |   1650000 | NS      | $1870583.88    | 0.01%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FNR 2011-118 LB 7% 11/25/41                            | FANNIE MAE REMICS SER 2011-118 CL LB 7.00000000                                                  | CUSIP: 3136A12K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    433659 | NS      | $462267.74     | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/22/27                         | BANK OF AMERICA CORP REGD V/R 1.73400000                                                         | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7170000 | NS      | $6281754.52    | 0.04%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNR 2005-73 PS V/R 08/25/35                            | FANNIE MAE REMICS SER 2005-73 CL PS V/R 5.72822500                                               | CUSIP: 31394EC48<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15705 | NS      | $15883.67      | 0.00%             | 2035-08-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G05713 6.5% 12/01/35                           | FREDDIE MAC GOLD POOL P#G05713 6.50000000                                                        | CUSIP: 3128M7VE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31860 | NS      | $33100.61      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2595 HC 5.5% 04/15/23                              | FREDDIE MAC REMICS SER 2595 CL HC 5.50000000                                                     | CUSIP: 31393PE91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3236 | NS      | $3231.06       | 0.00%             | 2023-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-6 2A 5.5% 08/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SER 2005-6 CL 2A4 REGD 5.50000000     | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18180 | NS      | $15195.71      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2009-106 AS V/R 11/16/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-106 CL AS V/R 2.07371000                       | CUSIP: 38376JFB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    165758 | NS      | $13233.60      | 0.00%             | 2039-11-16      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| FHS 233 13 5% 09/15/35                                 | FREDDIE MAC STRIPS SER 233 CL 13 5.00000000                                                      | CUSIP: 31282YDY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     92177 | NS      | $18505.89      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CWL 2004-1 M2 V/R 3/25/34                              | COUNTRYWIDE ASSET BACKED CERTIFICATES SERIES 2004-1 CLASS M2 VARIABLE RATE REGD 5.21371000       | CUSIP: 126671Z33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4828 | NS      | $4772.92       | 0.00%             | 2034-03-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.5% 03/31/27                             | UNITED STATES TREASURY NOTE 2.50000000                                                           | CUSIP: 91282CEF4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  15034000 | NS      | $14107882.15   | 0.09%             | 2027-03-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE  1.375% 01/10/25                         | PRINCIPAL LFE GLB FND II REGD 144A P/P 1.37500000                                                | CUSIP: 74256LET2<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   4722000 | NS      | $4369118.42    | 0.03%             | 2025-01-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3662 3% 05/20/46                           | GINNIE MAE II POOL P#MA3662 3.00000000                                                           | CUSIP: 36179SB71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     86460 | NS      | $78474.65      | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IMM 2004-7 1A1 V/R 11/25/34                            | IMM 2004-7 1A1 V/R 11/25/34 5.12871000                                                           | CUSIP: 45254NKF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    293078 | NS      | $285148.75     | 0.00%             | 2034-11-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO4381 4% 10/01/49                              | FANNIE MAE POOL UMBS P#BO4381 4.00000000                                                         | CUSIP: 3140JY2P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2547616 | NS      | $2439738.49    | 0.02%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF N 4.458% 10/01/62                         | PORT AUTH OF NEW YORK & NEW JE REGD N/C B/E 4.45800000                                           | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   2065000 | NS      | $1791884.13    | 0.01%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & CO 4.4% 06/14/46                         | WELLS FARGO & COMPANY REGD MTN 4.40000000                                                        | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    626000 | NS      | $502819.36     | 0.00%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNR 2002-90 A1 6.5% 06/25/42                           | FANNIE MAE REMICS SER 2002-90 CL A1 6.50000000                                                   | CUSIP: 31392GEK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36376 | NS      | $37724.39      | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 05/22/27                         | MIZUHO FINANCIAL GROUP REGD V/R 1.23400000                                                       | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   2378000 | NS      | $2059709.00    | 0.01%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF N 5.647% 11/01/40                         | PORT AUTH OF NEW YORK & NEW JE REGD N/C B/E GO OF A 5.64700000                                   | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    435000 | NS      | $454249.92     | 0.00%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA P 1.2% 09/02/25                         | ROYALTY PHARMA PLC REGD SER WI 1.20000000                                                        | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | US        |    874000 | NS      | $782178.80     | 0.01%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| AESOP 2018-1A A 3.7% 09/20/23                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2018-1A CL A REGD 144A P/P 3.70000000               | CUSIP: 05377RCY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6200000 | NS      | $6138574.12    | 0.04%             | 2024-09-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMERN AIRLINE 1 3.65% 06/15/28                         | AMERN AIRLINE 16-2 A PTT REGD SER A 3.65000000                                                   | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    863400 | NS      | $673162.76     | 0.00%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.85% 11/15/23                         | PACIFIC GAS & ELECTRIC REGD 3.85000000                                                           | CUSIP: 694308HE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9208000 | NS      | $9076332.69    | 0.06%             | 2023-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 07/24/26                         | CAPITAL ONE FINANCIAL CO REGD V/R 4.98500000                                                     | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    600000 | NS      | $587645.59     | 0.00%             | 2026-07-24      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNR 2007-35 PO V/R 06/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-35 CL PO V/R 0.00000000                        | CUSIP: 38375KPE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    108028 | NS      | $90559.06      | 0.00%             | 2037-06-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH G 4.625% 07/15/35                         | UNITEDHEALTH GROUP INC REGD 4.62500000                                                           | CUSIP: 91324PCQ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    427000 | NS      | $413969.87     | 0.00%             | 2035-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#902818 V/R 11/01/36                             | FANNIE MAE POOL UMBS P#902818 V/R 4.19600000                                                     | CUSIP: 31411BAT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       267 | NS      | $262.23        | 0.00%             | 2036-11-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| XYLEM INC 2.25% 01/30/31                               | XYLEM INC REGD 2.25000000                                                                        | CUSIP: 98419MAL4<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |    960000 | NS      | $778752.83     | 0.00%             | 2031-01-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| VENDE 1996-2 1 6.75% 06/15/26                          | VENDEE MORTGAGE TRUST 1996-2 SER 1996-2 CL 1Z 6.75000000                                         | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14593 | NS      | $14853.33      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA5257 2% 05/01/51                              | FREDDIE MAC POOL UMBS P#RA5257 2.00000000                                                        | CUSIP: 3133KLZW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11344179 | NS      | $9254726.18    | 0.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT  3.25% 06/15/25                         | PRIVATE EXPORT FUNDING REGD SER NN 3.25000000                                                    | CUSIP: 742651DW9<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   1280000 | NS      | $1232123.67    | 0.01%             | 2025-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BN1 3.688% 01/15/28                          | BANK 2018-BNK10 SER 2018-BN10 CL A5 REGD 3.68800000                                              | CUSIP: 065404BB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | NS      | $3725655.20    | 0.02%             | 2061-02-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| TRISTATE GEN&TR 4.25% 06/01/46                         | TRISTATE GEN&TRANS ASSN REGD 4.25000000                                                          | CUSIP: 89566EAK4<br>LEI: 549300VDHNFNPADSSV98 | Long             | DBT              | CORP              | US        |    371000 | NS      | $274055.40     | 0.00%             | 2046-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G05132 5% 12/01/38                             | FREDDIE MAC GOLD POOL P#G05132 5.00000000                                                        | CUSIP: 3128M7A97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     97613 | NS      | $99698.91      | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A13625 5.5% 10/01/33                           | FREDDIE MAC GOLD POOL P#A13625 5.50000000                                                        | CUSIP: 31296NA23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18648 | NS      | $19249.10      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC  3.75% 05/15/46                         | ARIZONA PUBLIC SERVICE REGD 3.75000000                                                           | CUSIP: 040555CU6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2290000 | NS      | $1616562.91    | 0.01%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNR 2007-106 A7 V/R 10/25/37                           | FANNIE MAE REMICS SER 2007-106 CL A7 V/R 6.23747300                                              | CUSIP: 31396XF25<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23389 | NS      | $24023.42      | 0.00%             | 2037-10-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785447 2.5% 03/20/51                         | GINNIE MAE II POOL P#785447 2.50000000                                                           | CUSIP: 3622AA5G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13877818 | NS      | $11727024.05   | 0.08%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#723852 5% 07/01/33                              | FANNIE MAE POOL UMBS P#723852 5.00000000                                                         | CUSIP: 31402BEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7472 | NS      | $7619.45       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST  7.155% 03/01/27                         | CALIFORNIA ST QUALIFIED SCH BO REGD N/C B/E 7.15500000                                           | CUSIP: 13055CAC4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    670000 | NS      | $699325.83     | 0.00%             | 2027-03-01      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| FNR 2006-44 GO ZCP 06/25/36                            | FANNIE MAE REMICS SER 2006-44 CL GO ZCP 0.00000000                                               | CUSIP: 31395NBG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16258 | NS      | $13634.81      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LRB 2018-B A2F 3.54% 05/25/27                          | LAUREL ROAD PRIME STUDENT LOAN TRUST 2018-B SER 2018-B CL A2FX REGD 144A P/P 3.54000000          | CUSIP: 51888RAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    744424 | NS      | $730533.30     | 0.00%             | 2043-05-26      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| EMIR 2019-1 M1B V/R 04/25/29                           | EAGLE RE 2019-1 LTD SER 2019-1 CL M1B V/R REGD 144A P/P 6.18871000                               | CUSIP: 269822AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    866253 | NS      | $847975.31     | 0.01%             | 2029-04-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H08 FC V/R 03/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H08 CL FC V/R 4.32157000                       | CUSIP: 38375UVB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4705373 | NS      | $4660592.17    | 0.03%             | 2065-03-20      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4446 2% 10/01/41                              | FANNIE MAE POOL UMBS P#MA4446 2.00000000                                                         | CUSIP: 31418D5G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1016960 | NS      | $857237.45     | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE 3.885% 07/01/16                         | MASS INSTITUTE OF TECH REGD 3.88500000                                                           | CUSIP: 575718AF8<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |   2906000 | NS      | $2089294.74    | 0.01%             | 2116-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W4 2A V/R 10/25/42                            | FANNIE MAE REMIC TRUST 2003-W4 SER 2003-W4 CL 2A V/R 5.20680000                                  | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9200 | NS      | $9251.24       | 0.00%             | 2042-10-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W1 2A V/R 12/25/42                            | FANNIE MAE REMIC TRUST 2003-W1 SER 2003-W1 CL 2A V/R 5.30505000                                  | CUSIP: 31392GWB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17828 | NS      | $17254.84      | 0.00%             | 2042-12-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| UMBS P#888890 6.5% 10/01/37                            | FANNIE MAE POOL UMBS P#888890 6.50000000                                                         | CUSIP: 31410GRK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30941 | NS      | $32411.97      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BC2521 3.5% 01/01/46                            | FANNIE MAE POOL UMBS P#BC2521 3.50000000                                                         | CUSIP: 3140EWYT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3687511 | NS      | $3459592.62    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4624 3% 06/01/52                              | FANNIE MAE POOL UMBS P#MA4624 3.00000000                                                         | CUSIP: 31418ED64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1812249 | NS      | $1590450.40    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA 4.25% 07/02/24                         | MARTIN MARIETTA MATERIAL REGD 4.25000000                                                         | CUSIP: 573284AN6<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |   1705000 | NS      | $1682093.80    | 0.01%             | 2024-07-02      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TAOT 2021-B A4 0.53% 04/15/24                          | TOYOTA AUTO RECEIVABLES 2021-B OWNER TRUST SER 2021-B CL A4 REGD 0.53000000                      | CUSIP: 89190GAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7016000 | NS      | $6404521.92    | 0.04%             | 2026-10-15      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q33871 3% 06/01/45                             | FREDDIE MAC GOLD POOL P#Q33871 3.00000000                                                        | CUSIP: 3132QQJR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    269828 | NS      | $244991.45     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 1993-37 PX 7% 03/25/23                             | FANNIE MAE REMICS SER 1993-37 CL PX 7.00000000                                                   | CUSIP: 31358UDP8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       112 | NS      | $111.81        | 0.00%             | 2023-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANA 4.5% 04/16/50                         | REPUBLIC OF PANAMA REGD 4.50000000                                                               | CUSIP: 698299BH6<br>LEI: N/A                  | Long             | DBT              | USGA              | PA        |   1610000 | NS      | $1213673.82    | 0.01%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB3396 2.5% 09/01/50                            | FREDDIE MAC POOL UMBS P#QB3396 2.50000000                                                        | CUSIP: 3133A9XZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    873491 | NS      | $745036.29     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2004-49 Z 6% 06/20/34                              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-49 CL Z 6.00000000                             | CUSIP: 38374GU91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    133024 | NS      | $135838.48     | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OI 3.5% 04/16/29                         | SAUDI ARABIAN OIL CO REGD 144A P/P MTN 3.50000000                                                | CUSIP: 80414L2D6<br>LEI: N/A                  | Long             | DBT              | CORP              | SA        |   6290000 | NS      | $5769565.40    | 0.04%             | 2029-04-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3243 3% 11/20/45                           | GINNIE MAE II POOL P#MA3243 3.00000000                                                           | CUSIP: 36179RS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    234396 | NS      | $213238.43     | 0.00%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3% 06/30/24                               | UNITED STATES TREASURY NOTE 3.00000000                                                           | CUSIP: 91282CEX5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  70175000 | NS      | $68494637.87   | 0.44%             | 2024-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2010-130 CP 7% 10/16/40                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-130 CL CP 7.00000000                           | CUSIP: 38377LK72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    212708 | NS      | $226125.46     | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4579 3% 04/01/52                              | FANNIE MAE POOL UMBS P#MA4579 3.00000000                                                         | CUSIP: 31418ECR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23987927 | NS      | $21063710.88   | 0.14%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GRUPO TELEVISA 6.125% 01/31/46                         | GRUPO TELEVISA SAB REGD 6.12500000                                                               | CUSIP: 40049JBC0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |    382000 | NS      | $379333.00     | 0.00%             | 2046-01-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.75% 05/31/29                            | UNITED STATES TREASURY NOTE 2.75000000                                                           | CUSIP: 91282CES6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    380000 | NS      | $353043.75     | 0.00%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0133 5% 08/01/24                              | FANNIE MAE POOL UMBS P#AD0133 5.00000000                                                         | CUSIP: 31418MEF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1813 | NS      | $1823.80       | 0.00%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MLCC 2004-A A1 V/R 4/25/29                             | MLCC 2004-A A1 V/R 4/25/29 4.84871000                                                            | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11441 | NS      | $10352.27      | 0.00%             | 2029-04-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT H 2.782% 10/01/30                         | COMMONSPIRIT HEALTH REGD 2.78200000                                                              | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   5925000 | NS      | $4887082.20    | 0.03%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1B7303 V/R 03/01/37                            | FREDDIE MAC NON GOLD POOL P#1B7303 V/R 3.94700000                                                | CUSIP: 3128QPQF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2839 | NS      | $2796.89       | 0.00%             | 2037-03-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| AMCAR 2020-2 A 0.66% 02/18/23                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-2 SER 2020-2 CL A3 REGD 0.66000000                 | CUSIP: 03066EAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    483499 | NS      | $481878.39     | 0.00%             | 2024-12-18      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| VOLT 2021-NPL1 A V/R 02/27/51                          | VOLT XCII LLC SER 2021-NPL1 CL A1 V/R REGD 144A P/P 1.89250000                                   | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6797452 | NS      | $5865377.81    | 0.04%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91158 6.5% 01/01/28                           | FREDDIE MAC GOLD POOL P#C91158 6.50000000                                                        | CUSIP: 3128P7JB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11057 | NS      | $11095.24      | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SDART 2021-4 C 1.26% 12/15/24                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4 SER 2021-4 CL C REGD 1.26000000                    | CUSIP: 80285VAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10600000 | NS      | $10075462.18   | 0.06%             | 2027-02-16      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| AHS HOSPITAL CO 2.78% 07/01/51                         | AHS HOSPITAL CORP REGD SER 2021 2.78000000                                                       | CUSIP: 001306AC3<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |   2730000 | NS      | $1704437.61    | 0.01%             | 2051-07-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL0587 4% 09/01/40                              | FANNIE MAE POOL UMBS P#AL0587 4.00000000                                                         | CUSIP: 3138EGUM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    483354 | NS      | $464195.59     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.75% 04/30/26                            | UNITED STATES TREASURY NOTE 0.75000000                                                           | CUSIP: 91282CBW0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1030000 | NS      | $920763.67     | 0.01%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA1831 4% 06/01/33                              | FANNIE MAE POOL UMBS P#CA1831 4.00000000                                                         | CUSIP: 3140Q9A94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350023 | NS      | $342975.67     | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03355 5% 08/01/37                             | FREDDIE MAC GOLD POOL P#G03355 5.00000000                                                        | CUSIP: 3128M5BY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     90813 | NS      | $92846.31      | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC 3.85% 06/22/40                             | VIATRIS INC REGD SER WI 3.85000000                                                               | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   4820000 | NS      | $3231800.27    | 0.02%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#888417 6.5% 01/01/36                            | FANNIE MAE POOL UMBS P#888417 6.50000000                                                         | CUSIP: 31410GAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    116394 | NS      | $119292.60     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OHIO ST UNIV 4.048% 12/01/56                           | OHIO ST UNIV REGD N/C B/E 4.04800000                                                             | CUSIP: 677632G96<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |    406000 | NS      | $341474.38     | 0.00%             | 2056-12-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FNR 2022-51 PS V/R 08/25/52                            | FANNIE MAE REMICS SER 2022-51 CL PS V/R 2.02232000                                               | CUSIP: 3136BNJK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11136918 | NS      | $759072.26     | 0.00%             | 2052-08-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER 4.65% 10/15/25                         | PLAINS ALL AMER PIPELINE REGD 4.65000000                                                         | CUSIP: 72650RBJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3052000 | NS      | $2986453.75    | 0.02%             | 2025-10-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5148 2% 03/01/42                              | FREDDIE MAC POOL UMBS P#RB5148 2.00000000                                                        | CUSIP: 3133KYWH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12623719 | NS      | $10640852.02   | 0.07%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU5938 3% 09/01/28                              | FANNIE MAE POOL UMBS P#AU5938 3.00000000                                                         | CUSIP: 3138X5S40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    822741 | NS      | $789501.25     | 0.01%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC 3.95% 08/08/52                               | APPLE INC REGD 3.95000000                                                                        | CUSIP: 037833EQ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1037000 | NS      | $881134.67     | 0.01%             | 2052-08-08      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#WN2203 3.75% 08/01/32                           | FREDDIE MAC POOL UMBS P#WN2203 3.75000000                                                        | CUSIP: 3132XGNV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15000000 | NS      | $14103438.15   | 0.09%             | 2032-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMGEN INC 3% 01/15/52                                  | AMGEN INC REGD 3.00000000                                                                        | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   2500000 | NS      | $1595590.03    | 0.01%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DTAOT 2019-4A  2.73% 08/15/22                          | DT AUTO OWNER TRUST 2019-4 SER 2019-4A CL C REGD 144A P/P 2.73000000                             | CUSIP: 23343JAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17886 | NS      | $17867.90      | 0.00%             | 2025-07-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6474 3% 02/20/50                           | GINNIE MAE II POOL P#MA6474 3.00000000                                                           | CUSIP: 36179VFP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    123242 | NS      | $110799.28     | 0.00%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES  5.2% 07/01/27                         | TARGA RESOURCES CORP REGD 5.20000000                                                             | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3920527.56    | 0.03%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ALFA DESARROLLO 4.55% 09/27/51                         | ALFA DESARROLLO SPA REGD 144A P/P 4.55000000                                                     | CUSIP: 01538TAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |   2465978 | NS      | $1873232.95    | 0.01%             | 2051-09-27      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ALEXANDER FUND 1.841% 11/15/23                         | ALEXANDER FUNDING TRUST REGD 144A P/P 1.84100000                                                 | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1915903.60    | 0.01%             | 2023-11-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| PAIA 2018-1A A1A V/R 10/20/31                          | PARK AVENUE INSTITUTIONAL ADVISERS CLO  SER 2018-1A CL A1AR V/R REGD 144A P/P 5.24257000         | CUSIP: 70016RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21500000 | NS      | $21158386.50   | 0.14%             | 2031-10-20      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W11 1A1 6% 05/25/44                           | FANNIE MAE REMIC TRUST 2004-W11 SER 2004-W11 CL 1A1 6.00000000                                   | CUSIP: 31394AB39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50570 | NS      | $52122.18      | 0.00%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-128 BP 5.5% 01/25/37                          | FANNIE MAE REMICS SER 2006-128 CL BP 5.50000000                                                  | CUSIP: 31396PES6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6150 | NS      | $6138.89       | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/23/29                         | BANK OF AMERICA CORP REGD V/R MTN 4.27100000                                                     | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1398750.42    | 0.01%             | 2029-07-23      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN  3.226% 10/01/20                         | UNIV SOUTHERN CALIFORIA REGD SER A 3.22600000                                                    | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |   1370000 | NS      | $794389.66     | 0.01%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC 2.5% 02/10/41                             | 7-ELEVEN INC REGD 144A P/P 2.50000000                                                            | CUSIP: 817826AF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1298000 | NS      | $856508.59     | 0.01%             | 2041-02-10      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS 2.314% 03/10/27                         | ROCHE HOLDINGS INC REGD 144A P/P 2.31400000                                                      | CUSIP: 771196BV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11019000 | NS      | $10038169.94   | 0.06%             | 2027-03-10      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| RIO TINTO ALCAN 5.75% 06/01/35                         | RIO TINTO ALCAN INC REGD 5.75000000                                                              | CUSIP: 013716AW5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     54000 | NS      | $55033.52      | 0.00%             | 2035-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA4675 3% 11/01/49                              | FREDDIE MAC POOL UMBS P#QA4675 3.00000000                                                        | CUSIP: 31346YFQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1064365 | NS      | $943690.97     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5416 2.5% 03/01/50                            | FANNIE MAE POOL UMBS P#CA5416 2.50000000                                                         | CUSIP: 3140QDAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    691698 | NS      | $591272.89     | 0.00%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 01/21/28                            | MORGAN STANLEY REGD V/R MTN 2.47500000                                                           | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    526000 | NS      | $467378.93     | 0.00%             | 2028-01-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| UMBS P#898179 V/R 09/01/36                             | FANNIE MAE POOL UMBS P#898179 V/R 3.67000000                                                     | CUSIP: 31410U2L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37315 | NS      | $37461.25      | 0.00%             | 2036-09-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| UMBS P#BW7204 3% 09/01/52                              | FANNIE MAE POOL UMBS P#BW7204 3.00000000                                                         | CUSIP: 3140N0AE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    149234 | NS      | $131022.74     | 0.00%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G2415 V/R 05/01/36                            | FREDDIE MAC NON GOLD POOL P#1G2415 V/R 3.51600000                                                | CUSIP: 3128QSVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5550 | NS      | $5539.35       | 0.00%             | 2036-05-01      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FHR 1541 O V/R 07/15/23                                | FREDDIE MAC REMICS SER 1541 CL O V/R 3.42000000                                                  | CUSIP: 3133T0BX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       294 | NS      | $292.83        | 0.00%             | 2023-07-15      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER 6.593% 10/15/37                         | AMERICAN WATER CAPITAL C REGD 6.59300000                                                         | CUSIP: 03040WAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    386000 | NS      | $426874.51     | 0.00%             | 2037-10-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| DTAOT 2021-2A C 1.1% 04/15/24                          | DT AUTO OWNER TRUST 2021-2 SER 2021-2A CL C REGD 144A P/P 1.10000000                             | CUSIP: 23345EAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1835000 | NS      | $1743211.47    | 0.01%             | 2027-02-16      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| JPALT 2006-A1 2A V/R 03/25/36                          | JP MORGAN ALTERNATIVE LOAN TRUST SER 2006-A1 CL 2A1 V/R REGD 3.50748800                          | CUSIP: 46627MCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15458 | NS      | $14485.74      | 0.00%             | 2036-03-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| INDONESIA ASAHA 4.75% 05/15/25                         | INDONESIA ASAHAN ALUMINI REGD 144A P/P 4.75000000                                                | CUSIP: 74445PAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | ID        |   5657000 | NS      | $5563311.54    | 0.04%             | 2025-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUB 4.5% 08/15/41                         | SOUTHWESTERN PUBLIC SERV REGD 4.50000000                                                         | CUSIP: 845743BN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | NS      | $304874.41     | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SDART 2021-3 C 0.95% 07/15/24                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-3 SER 2021-3 CL C REGD 0.95000000                    | CUSIP: 80287EAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8100000 | NS      | $7790938.02    | 0.05%             | 2027-09-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2020-1  7.75% 11/15/28                         | JETBLUE 2020-1 CLASS B REGD SER 1B 7.75000000                                                    | CUSIP: 477164AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1487687 | NS      | $1438627.47    | 0.01%             | 2028-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FNR 2009-99 WA V/R 12/25/39                            | FANNIE MAE REMICS SER 2009-99 CL WA V/R 6.30230600                                               | CUSIP: 31398F4W8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    163726 | NS      | $167625.35     | 0.00%             | 2039-12-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT 3.616% 08/01/27                         | DUQUESNE LIGHT HOLDINGS REGD 144A P/P 3.61600000                                                 | CUSIP: 266233AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6675000 | NS      | $6003105.65    | 0.04%             | 2027-08-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| COMET 2022-A1 A 2.8% 03/15/25                          | CAPITAL ONE MULTI-ASSET EXECUTION TRUST SER 2022-A1 CL A1 REGD 2.80000000                        | CUSIP: 14041NFZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2602000 | NS      | $2493999.57    | 0.02%             | 2027-03-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNR 1997-42 ZC 6.5% 07/18/27                           | FANNIE MAE REMICS SER 1997-42 CL ZC 6.50000000                                                   | CUSIP: 31359PX84<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       408 | NS      | $414.26        | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY L 3.75% 05/01/24                         | VENTAS REALTY LP REGD 3.75000000                                                                 | CUSIP: 92277GAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    382000 | NS      | $373386.98     | 0.00%             | 2024-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VULCAN MATERIALS 4.7% 03/01/48                         | VULCAN MATERIALS CO REGD SER WI 4.70000000                                                       | CUSIP: 929160AY5<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |   2054000 | NS      | $1741007.56    | 0.01%             | 2048-03-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#776708 5% 05/01/34                              | FANNIE MAE POOL UMBS P#776708 5.00000000                                                         | CUSIP: 31404R3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17988 | NS      | $18369.40      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M4 A2 V/R 12/25/26                            | FANNIE MAE-ACES SER 2017-M4 CL A2 V/R 2.55500000                                                 | CUSIP: 3136AVY52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6611390 | NS      | $6106577.78    | 0.04%             | 2026-12-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3173 3.5% 10/20/45                         | GINNIE MAE II POOL P#MA3173 3.50000000                                                           | CUSIP: 36179RQ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3254480 | NS      | $3035088.66    | 0.02%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PROD 4.85% 08/15/42                         | ENTERPRISE PRODUCTS OPER REGD 4.85000000                                                         | CUSIP: 29379VAW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3533369.44    | 0.02%             | 2042-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WAMU 2006-AR8 1A V/R 08/25/46                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006-AR8 SER 2006-AR8 CL 1A2 V/R REGD 3.68230900  | CUSIP: 93362FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29806 | NS      | $26102.23      | 0.00%             | 2046-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1012 3.5% 05/20/43                         | GINNIE MAE II POOL P#MA1012 3.50000000                                                           | CUSIP: 36179NDR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    494712 | NS      | $466643.54     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JB HUNT TRANSPR 3.85% 03/15/24                         | JB HUNT TRANSPRT SVCS REGD 3.85000000                                                            | CUSIP: 445658CD7<br>LEI: 549300XCD1MPI1C5GK90 | Long             | DBT              | CORP              | US        |    650000 | NS      | $638828.84     | 0.00%             | 2024-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03854 5% 02/01/38                             | FREDDIE MAC GOLD POOL P#G03854 5.00000000                                                        | CUSIP: 3128M5TK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    113730 | NS      | $116067.54     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4127 3.5% 12/20/46                         | GINNIE MAE II POOL P#MA4127 3.50000000                                                           | CUSIP: 36179SSQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2808789 | NS      | $2619515.60    | 0.02%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CURATORS OF THE 5.96% 11/01/39                         | CURATORS OF THE UNIV OF MISSOU REGD N/C B/E 5.96000000                                           | CUSIP: 231266FD4<br>LEI: G0G4PRB87K0V5MXIV248 | Long             | DBT              | MUN               | US        |   3310000 | NS      | $3542116.07    | 0.02%             | 2039-11-01      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRIC 3.75% 02/22/32                         | ISRAEL ELECTRIC CORP LTD REGD EMTN SER GMTN 3.75000000                                           | CUSIP: M60170AW3<br>LEI: N/A                  | Long             | DBT              | CORP              | IL        |   3154000 | NS      | $2758614.56    | 0.02%             | 2032-02-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CAALT 2020-1A  2.39% 11/15/23                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-1 SER 2020-1A CL B REGD 144A P/P 2.39000000               | CUSIP: 22534GAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4271367 | NS      | $4254534.60    | 0.03%             | 2029-04-16      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| NAROT 2020-A A 1.38% 12/16/24                          | NISSAN AUTO RECEIVABLES 2020-A OWNER TRUST SER 2020-A CL A3 REGD 1.38000000                      | CUSIP: 65479MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1348753 | NS      | $1330427.77    | 0.01%             | 2024-12-16      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| MARATHON PETRO 3.625% 09/15/24                         | MARATHON PETROLEUM CORP REGD 3.62500000                                                          | CUSIP: 56585AAG7<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   1000000 | NS      | $973120.74     | 0.01%             | 2024-09-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4% 11/15/42                               | UNITED STATES TREASURY BOND 4.00000000                                                           | CUSIP: 912810TM0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  37566000 | NS      | $36779461.88   | 0.24%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| XILINX INC 2.375% 06/01/30                             | XILINX INC REGD 2.37500000                                                                       | CUSIP: 983919AK7<br>LEI: 6EY4K7ZMF9UX1CU6KC79 | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1681710.64    | 0.01%             | 2030-06-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FKH 2021-SFR1 2.189% 08/17/26                          | FIRSTKEY HOMES 2021-SFR1 TRUST SER 2021-SFR1 CL D REGD 144A P/P 2.18900000                       | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7500000 | NS      | $6295920.75    | 0.04%             | 2038-08-17      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 08/05/27                              | UBS GROUP AG REGD V/R 144A P/P 4.70300000                                                        | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2615000 | NS      | $2527364.84    | 0.02%             | 2027-08-05      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS6973 3% 04/01/36                              | FANNIE MAE POOL UMBS P#AS6973 3.00000000                                                         | CUSIP: 3138WGXB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    567206 | NS      | $526217.20     | 0.00%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRIME 2004-CL1 1A 6% 02/25/34                          | PRIME MORTGAGE TRUST 2004-CL1 SER 2004-CL1 CL 1A1 REGD 6.00000000                                | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28191 | NS      | $27087.63      | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2008-33 XS V/R 04/16/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-33 CL XS V/R 3.37371000                        | CUSIP: 38375QFE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40420 | NS      | $2531.21       | 0.00%             | 2038-04-16      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 10/22/25                         | BANK OF AMERICA CORP REGD V/R MTN 2.45600000                                                     | CUSIP: 06051GHW2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1889714.18    | 0.01%             | 2025-10-22      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5539 V/R 09/20/71                          | GINNIE MAE II POOL P#CE5539 V/R 6.31500000                                                       | CUSIP: 3617VUEL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10014034 | NS      | $10427792.74   | 0.07%             | 2071-09-20      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 08/12/35                               | BNP PARIBAS REGD V/R 2.58800000                                                                  | CUSIP: 09659T2B6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   6899000 | NS      | $5049276.68    | 0.03%             | 2035-08-12      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| KEYCORP V/R 06/01/33                                   | KEYCORP REGD V/R MTN 4.78900000                                                                  | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    590000 | NS      | $557071.42     | 0.00%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| UMBS P#BE3667 3.5% 06/01/47                            | FANNIE MAE POOL UMBS P#BE3667 3.50000000                                                         | CUSIP: 3140FPCD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    275795 | NS      | $255823.64     | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2761 3.5% 09/01/46                            | FANNIE MAE POOL UMBS P#MA2761 3.50000000                                                         | CUSIP: 31418CB78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1677053 | NS      | $1558470.45    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINA 3.85% 04/05/29                         | COREBRIDGE FINANCIAL INC REGD P/P 3.85000000                                                     | CUSIP: 21871XAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1455000 | NS      | $1325225.12    | 0.01%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CAB 6.75% 06/15/39                         | TIME WARNER CABLE LLC REGD 6.75000000                                                            | CUSIP: 88732JAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    539000 | NS      | $510435.20     | 0.00%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPA 2.9% 10/01/51                         | OHIO POWER COMPANY REGD SER R 2.90000000                                                         | CUSIP: 677415CU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1390000 | NS      | $904361.48     | 0.01%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.95% 08/01/59                               | BOEING CO REGD 3.95000000                                                                        | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4825000 | NS      | $3240084.77    | 0.02%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7548 2.5% 11/01/51                            | FREDDIE MAC POOL UMBS P#SD7548 2.50000000                                                        | CUSIP: 3132DVL52<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13441144 | NS      | $11558302.07   | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.875% 02/15/32                           | UNITED STATES TREASURY NOTE 1.87500000                                                           | CUSIP: 91282CDY4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  32500000 | NS      | $27570410.08   | 0.18%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C1 3.329% 05/15/29                          | CSAIL 2019-C16 COMMERCIAL MORTGAGE TRUST SER 2019-C16 CL A3 REGD 3.32900000                      | CUSIP: 12596WAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1299000 | NS      | $1147810.69    | 0.01%             | 2052-06-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| GOODG 2017-1A  3.74% 10/15/52                          | GOODGREEN 2017-1 TRUST SER 2017-1A CL A REGD 144A P/P 3.74000000                                 | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    714396 | NS      | $661765.64     | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| KROGER CO 5.4% 07/15/40                                | KROGER CO REGD 5.40000000                                                                        | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     95000 | NS      | $90834.15      | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNR 2006-58 PO ZCP 07/25/36                            | FANNIE MAE REMICS SER 2006-58 CL PO ZCP 0.00000000                                               | CUSIP: 31395ND20<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9794 | NS      | $8112.59       | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LMAT 2020-GS1 A1 V/R 10/25/59                          | LEGACY MORTGAGE ASSET TRUST 2020-GS1 SER 2020-GS1 CL A1 V/R REGD 144A P/P 2.88200000             | CUSIP: 52474PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3977258 | NS      | $3947626.99    | 0.03%             | 2059-10-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| ANCHC 2016-8A AR V/R 10/27/34                          | ANCHORAGE CAPITAL CLO 8 LTD SER 2016-8A CL AR2A V/R REGD 144A P/P 5.55800000                     | CUSIP: 03329KAY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15500000 | NS      | $14976069.00   | 0.10%             | 2034-10-27      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHR 2571 SK V/R 09/15/23                               | FREDDIE MAC REMICS SER 2571 CL SK V/R 15.87922900                                                | CUSIP: 31393LAX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       267 | NS      | $265.30        | 0.00%             | 2023-09-15      | Variable      | 15.88%                | No            |                  2 | On Loan: No      |
| FHMS KJ14 A2 2.811% 09/25/24                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER KJ14 CL A2 2.81100000           | CUSIP: 3137BYMQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3659885 | NS      | $3560362.98    | 0.02%             | 2024-09-25      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PAR 2.717% 12/15/24                          | MRCD 2019-MARK MORTGAGE TRUST SER 2019-PARK CL D REGD 144A P/P 2.71752000                        | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6108000 | NS      | $5442044.15    | 0.03%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 11/15/48                         | JPMORGAN CHASE & CO REGD V/R 3.96400000                                                          | CUSIP: 46647PAL0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5770000 | NS      | $4500598.27    | 0.03%             | 2048-11-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.75% 03/31/26                            | UNITED STATES TREASURY NOTE 0.75000000                                                           | CUSIP: 91282CBT7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4345000 | NS      | $3894375.97    | 0.02%             | 2026-03-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPAN 3.75% 06/15/27                         | WILLIAMS COMPANIES INC REGD 3.75000000                                                           | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |  12425000 | NS      | $11695062.81   | 0.08%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2647 8% 09/20/28                             | GINNIE MAE II POOL P#2647 8.00000000                                                             | CUSIP: 36202C5G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       162 | NS      | $161.54        | 0.00%             | 2028-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHR 3621 BO ZCP 01/15/40                               | FREDDIE MAC REMICS SER 3621 CL BO ZCP 0.00000000                                                 | CUSIP: 31398LZP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50124 | NS      | $41638.43      | 0.00%             | 2040-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM6471 2% 02/01/51                              | FANNIE MAE POOL UMBS P#FM6471 2.00000000                                                         | CUSIP: 3140XAFM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7057307 | NS      | $5764697.60    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 1993-230 FA V/R 12/25/23                           | FANNIE MAE REMICS SER 1993-230  CL FA V/R 4.61614000                                             | CUSIP: 31359FE38<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       126 | NS      | $125.98        | 0.00%             | 2023-12-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2041 2% 08/01/51                              | FANNIE MAE POOL UMBS P#FS2041 2.00000000                                                         | CUSIP: 3140XHHT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3692165 | NS      | $3013047.76    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL C 7.25% 11/15/23                         | CNA FINANCIAL CORP REGD 7.25000000                                                               | CUSIP: 126117AE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7470000 | NS      | $7625817.78    | 0.05%             | 2023-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE 4.5% 02/15/45                         | ERAC USA FINANCE LLC REGD P/P 4.50000000                                                         | CUSIP: 26884TAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | NS      | $243662.20     | 0.00%             | 2045-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0546 2.5% 07/01/61                            | FANNIE MAE POOL UMBS P#BF0546 2.50000000                                                         | CUSIP: 3140FXTC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10905869 | NS      | $9021382.45    | 0.06%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2002-28 PK 6.5% 05/25/32                           | FANNIE MAE REMICS SER 2002-28 CL PK 6.50000000                                                   | CUSIP: 31392CA46<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22530 | NS      | $23299.96      | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#735676 5% 07/01/35                              | FANNIE MAE POOL UMBS P#735676 5.00000000                                                         | CUSIP: 31402RJV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1254861 | NS      | $1281471.84    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MAGELLAN MIDSTRE 4.2% 03/15/45                         | MAGELLAN MIDSTREAM PARTN REGD 4.20000000                                                         | CUSIP: 559080AJ5<br>LEI: MZF5TI8NFVZZNUSKDL39 | Long             | DBT              | CORP              | US        |   5725000 | NS      | $4090887.26    | 0.03%             | 2045-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.55% 09/15/55                                | AT&T INC REGD 3.55000000                                                                         | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  10545000 | NS      | $7036084.61    | 0.05%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GNR 2012-141 WA V/R 11/16/41                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-141 CL WA V/R 4.52284000                       | CUSIP: 38378GPE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    187725 | NS      | $184235.29     | 0.00%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB4532 3.5% 06/01/52                            | FANNIE MAE POOL UMBS P#CB4532 3.50000000                                                         | CUSIP: 3140QQBA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    705062 | NS      | $640753.56     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2005-82 PO ZCP 10/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-82 CL PO ZCP 0.00000000                        | CUSIP: 38374MBR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17722 | NS      | $14687.35      | 0.00%             | 2035-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 2410 NG 6.5% 02/15/32                              | FREDDIE MAC REMICS SER 2410 CL NG 6.50000000                                                     | CUSIP: 31339NLX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13138 | NS      | $13628.04      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H07 ES V/R 02/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H07 CL ES V/R 3.61271000                       | CUSIP: 38375UVX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    896390 | NS      | $887357.41     | 0.01%             | 2065-02-20      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| AESOP 2021-1A  1.38% 08/20/26                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2021-1A CL A REGD 144A P/P 1.38000000               | CUSIP: 05377REH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12900000 | NS      | $11231459.82   | 0.07%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHR 2450 SW V/R 03/15/32                               | FREDDIE MAC REMICS SER 2450 CL SW V/R 3.68214000                                                 | CUSIP: 31392KMK9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8496 | NS      | $856.76        | 0.00%             | 2032-03-15      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNR 2002-15 ZA 6% 04/25/32                             | FANNIE MAE REMICS SER 2002-15 CL ZA 6.00000000                                                   | CUSIP: 31392CKK9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63734 | NS      | $64355.07      | 0.00%             | 2032-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC 6.625% 01/15/28                          | CITIGROUP INC REGD 6.62500000                                                                    | CUSIP: 172967AR2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    387000 | NS      | $412146.56     | 0.00%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.125% 05/15/48                           | UNITED STATES TREASURY BOND 3.12500000                                                           | CUSIP: 912810SC3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  24938000 | NS      | $20958635.61   | 0.13%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEA LTD 8.25% 1/17/34                         | VALE OVERSEAS LIMITED REGD 8.25000000                                                            | CUSIP: 91911TAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    984000 | NS      | $1165810.27    | 0.01%             | 2034-01-17      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 01/26/27                         | CREDIT AGRICOLE SA REGD V/R 144A P/P 1.24700000                                                  | CUSIP: 22535WAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |  15531000 | NS      | $13582491.47   | 0.09%             | 2027-01-26      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09028 3.5% 01/01/43                           | FREDDIE MAC GOLD POOL P#C09028 3.50000000                                                        | CUSIP: 31292SA59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3248228 | NS      | $3041866.43    | 0.02%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U80345 3.5% 05/01/33                           | FREDDIE MAC GOLD POOL P#U80345 3.50000000                                                        | CUSIP: 3132G7L29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    354500 | NS      | $333930.51     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2005-56 TP V/R 08/25/33                            | FANNIE MAE REMICS SER 2005-56 CL TP V/R 4.98387000                                               | CUSIP: 31394D6U9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7699 | NS      | $7352.68       | 0.00%             | 2033-08-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK0513 4% 12/20/51                           | GINNIE MAE II POOL P#CK0513 4.00000000                                                           | CUSIP: 3617XUSA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11276594 | NS      | $10671614.61   | 0.07%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB0125 5% 02/01/35                              | FANNIE MAE POOL UMBS P#AB0125 5.00000000                                                         | CUSIP: 31416VD76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    262890 | NS      | $268461.01     | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENDE 1997-1 2Z 7.5% 02/15/27                          | VENDEE MORTGAGE TRUST 1997-1 SER 1997-1 CL 2Z 7.50000000                                         | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49988 | NS      | $51175.55      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 2010-111 AM 5.5% 10/25/40                          | FANNIE MAE REMICS SER 2010-111 CL AM 5.50000000                                                  | CUSIP: 31398NXS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    449250 | NS      | $456184.78     | 0.00%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNS 300 1 ZCP 09/25/24                                 | FANNIE MAE INTEREST STRIP SER 300 CL 1 ZCP 0.00000000                                            | CUSIP: 31364HT56<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5240 | NS      | $5103.08       | 0.00%             | 2024-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2500 3% 03/01/37                              | FANNIE MAE POOL UMBS P#FS2500 3.00000000                                                         | CUSIP: 3140XHX69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4495257 | NS      | $4219436.23    | 0.03%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 07/09/32                         | MIZUHO FINANCIAL GROUP REGD V/R 2.26000000                                                       | CUSIP: 60687YBT5<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1000000 | NS      | $762086.05     | 0.00%             | 2032-07-09      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| HPA 2021-3 A 2.2% 01/17/29                             | HOME PARTNERS OF AMERICA 2021-3 TRUST SER 2021-3 CL A REGD 144A P/P 2.20000000                   | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6352418 | NS      | $5347174.97    | 0.03%             | 2041-01-17      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC 2% 05/15/28                                | EQUINIX INC REGD 2.00000000                                                                      | CUSIP: 29444UBR6<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   4467000 | NS      | $3770816.35    | 0.02%             | 2028-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/ 2.65% 02/15/32                         | NXP BV/NXP FDG/NXP USA REGD 2.65000000                                                           | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   4875000 | NS      | $3815385.94    | 0.02%             | 2032-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CO 5.625% 02/26/44                         | REPUBLIC OF COLOMBIA REGD 5.62500000                                                             | CUSIP: 195325BR5<br>LEI: N/A                  | Long             | DBT              | USGA              | CO        |    782000 | NS      | $573497.29     | 0.00%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNR 2008-60 CS V/R 07/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-60 CL CS V/R 1.79714000                        | CUSIP: 38375DAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     80440 | NS      | $1942.19       | 0.00%             | 2038-07-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FNW 2005-W1 1A2 6.5% 10/25/44                          | FANNIE MAE REMIC TRUST 2005-W1 SER 2005-W1 CL 1A2 6.50000000                                     | CUSIP: 31394CB43<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     93287 | NS      | $96747.22      | 0.00%             | 2044-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017- 3.3% 01/15/30                         | AIR CANADA 2017-1AA PTT REGD 144A P/P 3.30000000                                                 | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   4545363 | NS      | $3880270.19    | 0.02%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FMMSR 2021-GT1 A V/R 07/25/26                          | FMC GMSR ISSUER TRUST SER 2021-GT1 CL A V/R REGD 144A P/P 3.62000000                             | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10900000 | NS      | $8852461.16    | 0.06%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08105 5.5% 01/01/36                           | FREDDIE MAC GOLD POOL P#G08105 5.50000000                                                        | CUSIP: 3128MJDK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8752 | NS      | $9069.21       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR 1.555% 03/17/26                          | PROGRESS RESIDENTIAL 2021-SFR1 SER 2021-SFR1 CL C REGD 144A P/P 1.55500000                       | CUSIP: 74331FAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3500000 | NS      | $2986872.35    | 0.02%             | 2038-04-17      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CPS 2022-C C 5.28% 08/15/25                            | CPS AUTO RECEIVABLES TRUST 2022-C SER 2022-C CL C REGD 144A P/P 5.28000000                       | CUSIP: 12664DAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6000000 | NS      | $5869140.60    | 0.04%             | 2030-04-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G00981 8.5% 07/01/28                           | FREDDIE MAC GOLD POOL P#G00981 8.50000000                                                        | CUSIP: 31283HCS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       848 | NS      | $871.63        | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MYLAN INC 5.4% 11/29/43                                | MYLAN INC REGD 5.40000000                                                                        | CUSIP: 628530BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3770000 | NS      | $2984297.99    | 0.02%             | 2043-11-29      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD 5.25% 01/15/45                             | NUTRIEN LTD REGD 5.25000000                                                                      | CUSIP: 67077MAS7<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   1444000 | NS      | $1319250.26    | 0.01%             | 2045-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHR 3371 FA V/R 09/15/37                               | FREDDIE MAC REMICS SER 3371 CL FA V/R 4.91786000                                                 | CUSIP: 31397KNW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8232 | NS      | $8147.84       | 0.00%             | 2037-09-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| ONEOK INC 4.5% 03/15/50                                | ONEOK INC REGD 4.50000000                                                                        | CUSIP: 682680BC6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    915000 | NS      | $681325.05     | 0.00%             | 2050-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC V/R 04/10/25                             | AIB GROUP PLC REGD V/R MTN 4.26300000                                                            | CUSIP: 00135TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1265000 | NS      | $1220487.86    | 0.01%             | 2025-04-10      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHR 3802 LS V/R 01/15/40                               | FREDDIE MAC REMICS SER 3802 CL LS V/R 0.00000000                                                 | CUSIP: 3137A6CE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    293201 | NS      | $10808.59      | 0.00%             | 2040-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LP LMS 2021-1 3.228% 10/15/28                          | LP LMS 2021-1 ASSET            SECURITIZATION TRUST REGD      REG S 144A 3.22800000              | CUSIP: 50214GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2320261 | NS      | $2291726.10    | 0.01%             | 2028-10-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| FNA 2018-M8 A2 V/R 06/25/28                            | FANNIE MAE-ACES SER 2018-M8 CL A2 V/R 3.30200000                                                 | CUSIP: 3136B2GX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4687722 | NS      | $4453090.09    | 0.03%             | 2028-06-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0523 6% 11/01/48                              | FANNIE MAE POOL UMBS P#AD0523 6.00000000                                                         | CUSIP: 31418MSM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24023 | NS      | $23719.27      | 0.00%             | 2048-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AM 5.05% 09/15/48                         | WILLIS NORTH AMERICA INC REGD 5.05000000                                                         | CUSIP: 970648AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7500000 | NS      | $6251557.35    | 0.04%             | 2048-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNR 2007-65 KI V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-65 CL KI V/R 2.23129000                                               | CUSIP: 31396WLY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     68194 | NS      | $6426.89       | 0.00%             | 2037-07-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-16 A2 5.5% 09/25/35                          | CHL MORTGAGE PASS-THROUGH TRUST 2005-16 SER 2005-16 CL A23 REGD 5.50000000                       | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5268 | NS      | $3379.79       | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC5442 4.5% 11/01/39                            | FANNIE MAE POOL UMBS P#AC5442 4.50000000                                                         | CUSIP: 31417SBL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8735 | NS      | $8632.94       | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 2345 NE 6.5% 08/15/31                              | FREDDIE MAC REMICS SER 2345 CL NE 6.50000000                                                     | CUSIP: 313399SN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6874 | NS      | $7126.91       | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOFI 2017-F A2 2.84% 08/25/26                          | SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC SER 2017-F CL A2FX REGD 144A P/P 2.84000000            | CUSIP: 83401BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3610685 | NS      | $3477756.48    | 0.02%             | 2041-01-25      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNR 2004-46 SK V/R 05/25/34                            | FANNIE MAE REMICS SER 2004-46 CL SK V/R 4.43104800                                               | CUSIP: 31393YT54<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5216 | NS      | $4987.16       | 0.00%             | 2034-05-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL  3.8% 04/15/26                         | ALEXANDRIA REAL ESTATE E REGD 3.80000000                                                         | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    338000 | NS      | $326837.70     | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNR 2009-14 NI 6.5% 03/20/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-14 CL NI 6.50000000                            | CUSIP: 38374XAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     59449 | NS      | $8726.23       | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MARP 2005-2 1A1F V/R 05/25/35                          | MASTR REPERFORMING LOAN TRUST 2005-2 SER 2005-2 CL 1A1F V/R REGD 144A P/P 4.73871000             | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    643650 | NS      | $342144.81     | 0.00%             | 2035-05-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 01/10/28                             | CITIGROUP INC REGD V/R 3.88700000                                                                | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  12600000 | NS      | $11774295.29   | 0.08%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H29 FA V/R 10/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H29 CL FA V/R 4.35657000                       | CUSIP: 38375BZQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    714545 | NS      | $709948.25     | 0.00%             | 2062-10-20      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04952 7.5% 01/01/38                           | FREDDIE MAC GOLD POOL P#G04952 7.50000000                                                        | CUSIP: 3128M6ZR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13982 | NS      | $14407.96      | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL  1.8% 01/10/28                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 1.80000000                                             | CUSIP: 44891ABT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2170000 | NS      | $1779610.77    | 0.01%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.65% 03/25/41                             | ORACLE CORP REGD 3.65000000                                                                      | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1537000 | NS      | $1134603.18    | 0.01%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH C 2.82% 09/01/51                         | RAYTHEON TECH CORP REGD 2.82000000                                                               | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2550000 | NS      | $1651798.12    | 0.01%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.55% 03/15/35                              | ABBVIE INC REGD 4.55000000                                                                       | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   6025000 | NS      | $5633851.64    | 0.04%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MARM 2004-15 3A1 V/R 12/25/34                          | MASTR ADJUSTABLE RATE MORTGAGES TRUST 2004-15 SER 2004-15 CL 3A1 V/R REGD 4.43920500             | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7731 | NS      | $7106.67       | 0.00%             | 2034-12-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNR 2022-148 DS V/R 08/20/52                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-148 CL DS V/R 0.00000000                       | CUSIP: 38383YAV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9570826 | NS      | $122702.78     | 0.00%             | 2052-08-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS L 6.2% 09/15/43                         | ONEOK PARTNERS LP REGD 6.20000000                                                                | CUSIP: 68268NAM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | NS      | $2373492.13    | 0.02%             | 2043-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIO 4.8% 02/01/35                         | COX COMMUNICATIONS INC REGD P/P 4.80000000                                                       | CUSIP: 224044CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | NS      | $5319482.22    | 0.03%             | 2035-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GA 5.875% 03/15/41                         | SOUTHERN CO GAS CAPITAL REGD 5.87500000                                                          | CUSIP: 001192AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1210000 | NS      | $1201576.51    | 0.01%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNR 2012-101 FC V/R 09/25/42                           | FANNIE MAE REMICS SER 2012-101 CL FC V/R 4.88871000                                              | CUSIP: 3136A76U1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     69040 | NS      | $67292.49      | 0.00%             | 2042-09-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| MASTR 2003-12 6A1 5% 12/25/33                          | MASTR ASSET SECURITIZATION TRUST 2003-12 SER 2003-12 CL 6A1 REGD 5.00000000                      | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7638 | NS      | $7054.56       | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP8607 2.5% 06/01/50                            | FANNIE MAE POOL UMBS P#BP8607 2.50000000                                                         | CUSIP: 3140KGR54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14580888 | NS      | $12475492.16   | 0.08%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03127 5% 03/01/37                             | FREDDIE MAC GOLD POOL P#G03127 5.00000000                                                        | CUSIP: 3128M4YY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75073 | NS      | $76754.20      | 0.00%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO V/R /PERP/                         | JPMORGAN CHASE & CO REGD V/R /PERP/ SER II 4.00000000                                            | CUSIP: 48128BAH4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4275000 | NS      | $3660468.75    | 0.02%             | 2171-10-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NSLT 2021-DA A 1.63% 03/20/29                          | NELNET STUDENT LOAN TRUST 2021-D SER 2021-DA CL AFX REGD 144A P/P 1.63000000                     | CUSIP: 64034YAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9568626 | NS      | $8622519.80    | 0.06%             | 2062-04-20      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| FNR 2007-81 GE 6% 08/25/37                             | FANNIE MAE REMICS SER 2007-81 CL GE 6.00000000                                                   | CUSIP: 31396XAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28924 | NS      | $29215.58      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIP 4.75% 05/15/38                         | TRANSCANADA PIPELINES REGD SER 20YR 4.75000000                                                   | CUSIP: 89352HAX7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1000000 | NS      | $891310.78     | 0.01%             | 2038-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP 5% 05/15/50                         | ENERGY TRANSFER LP REGD 5.00000000                                                               | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3730000 | NS      | $2980012.00    | 0.02%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W2 1A1 6.5% 07/25/42                          | FANNIE MAE TRUST 2003-W2 SER 2003-W2 CL 1A1 6.50000000                                           | CUSIP: 31392JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     60569 | NS      | $61568.77      | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNW 2006-W2 2A V/R 11/25/35                            | FANNIE MAE TRUST 2006-W2 SER 2006-W2 CL 2A V/R 2.96437000                                        | CUSIP: 31395N5E3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83708 | NS      | $83164.01      | 0.00%             | 2045-11-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNR 2005-109 PC 6% 12/25/35                            | FANNIE MAE REMICS SER 2005-109 CL PC 6.00000000                                                  | CUSIP: 31394UZE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5288 | NS      | $5348.32       | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC 5.125% 06/15/39                                | HCA INC REGD 5.12500000                                                                          | CUSIP: 404119BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1715000 | NS      | $1534554.30    | 0.01%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNR 2008-80 SA V/R 09/25/38                            | FANNIE MAE REMICS SER 2008-80 CL SA V/R 1.46129000                                               | CUSIP: 31397MRK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     81090 | NS      | $5461.11       | 0.00%             | 2038-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK 4% 09/15/24                         | EXPORT-IMPORT BANK KOREA REGD 4.00000000                                                         | CUSIP: 302154DP1<br>LEI: N/A                  | Long             | DBT              | USGA              | KR        |   4764000 | NS      | $4691587.20    | 0.03%             | 2024-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995003 7.5% 01/01/35                            | FANNIE MAE POOL UMBS P#995003 7.50000000                                                         | CUSIP: 31416BKQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15467 | NS      | $16168.85      | 0.00%             | 2035-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY IN 6.8% 05/15/38                         | SUNCOR ENERGY INC REGD 6.80000000                                                                | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    423000 | NS      | $443097.39     | 0.00%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNI 2.65% 11/20/40                         | VERIZON COMMUNICATIONS REGD 2.65000000                                                           | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2329000 | NS      | $1572037.25    | 0.01%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CO 2.726% 03/25/31                         | BAT CAPITAL CORP REGD 2.72600000                                                                 | CUSIP: 05526DBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6820000 | NS      | $5321081.51    | 0.03%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FHR 1981 Z 6% 05/15/27                                 | FREDDIE MAC REMICS SER 1981 CL Z 6.00000000                                                      | CUSIP: 3133TAUE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4756 | NS      | $4765.98       | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q24029 4% 12/01/43                             | FREDDIE MAC GOLD POOL P#Q24029 4.00000000                                                        | CUSIP: 3132M4EA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    159327 | NS      | $153076.03     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF 4.3% 12/01/56                         | CON EDISON CO OF NY INC REGD SER C 4.30000000                                                    | CUSIP: 209111FK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3050000 | NS      | $2443101.64    | 0.02%             | 2056-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MPLX LP 4.5% 04/15/38                                  | MPLX LP REGD 4.50000000                                                                          | CUSIP: 55336VAM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6723000 | NS      | $5663239.66    | 0.04%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO 4.2% 03/15/48                             | EVERGY METRO REGD 4.20000000                                                                     | CUSIP: 485134BR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | NS      | $405336.88     | 0.00%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNR 2004-25 SA V/R 04/25/34                            | FANNIE MAE REMICS SER 2004-25 CL SA V/R 7.45604800                                               | CUSIP: 31393XRE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19662 | NS      | $20182.92      | 0.00%             | 2034-04-25      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q40375 3.5% 05/01/46                           | FREDDIE MAC GOLD POOL P#Q40375 3.50000000                                                        | CUSIP: 3132WDMZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    941678 | NS      | $875541.42     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK 3.538% 12/15/27                          | BANK 2017-BNK9 SER 2017-BNK9 CL A4 REGD 3.53800000                                               | CUSIP: 06540RAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6100000 | NS      | $5645513.40    | 0.04%             | 2054-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB8726 3.5% 03/01/43                            | FANNIE MAE POOL UMBS P#AB8726 3.50000000                                                         | CUSIP: 31417FVU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1521264 | NS      | $1416865.47    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AA0917 5.5% 09/01/33                            | FANNIE MAE POOL UMBS P#AA0917 5.50000000                                                         | CUSIP: 31416JAT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94778 | NS      | $97354.38      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNA 2018-M10 A1 V/R 07/25/28                           | FANNIE MAE-ACES SER 2018-M10 CL A1 V/R 3.35800000                                                | CUSIP: 3136B2GY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    681729 | NS      | $673363.58     | 0.00%             | 2028-07-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q20067 3% 07/01/43                             | FREDDIE MAC GOLD POOL P#Q20067 3.00000000                                                        | CUSIP: 3132JMCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    133219 | NS      | $121354.18     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HANOVER INSURANC 2.5% 09/01/30                         | HANOVER INSURANCE GROUP REGD 2.50000000                                                          | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |   5610000 | NS      | $4309674.71    | 0.03%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS I 4% 06/15/25                         | VERISK ANALYTICS INC REGD 4.00000000                                                             | CUSIP: 92345YAD8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   7000000 | NS      | $6803807.08    | 0.04%             | 2025-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK 3.508% 10/01/24                         | NIAGARA MOHAWK POWER REGD P/P 3.50800000                                                         | CUSIP: 65364UAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    258000 | NS      | $247853.51     | 0.00%             | 2024-10-01      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07304 3.5% 12/01/42                           | FREDDIE MAC GOLD POOL P#G07304 3.50000000                                                        | CUSIP: 3128M9NV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1297019 | NS      | $1215439.33    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HEA 2.511% 08/15/50                         | CHILDREN'S HEATH SYS TX REGD 2.51100000                                                          | CUSIP: 16876HAB5<br>LEI: 254900FK4IY1J5YO2L69 | Long             | DBT              | CORP              | US        |   2270000 | NS      | $1355584.53    | 0.01%             | 2050-08-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB4058 4% 12/01/41                              | FANNIE MAE POOL UMBS P#AB4058 4.00000000                                                         | CUSIP: 31417AQL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    638709 | NS      | $613369.73     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#886558 V/R 08/01/36                             | FANNIE MAE POOL UMBS P#886558 V/R 4.02300000                                                     | CUSIP: 31410D5T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35950 | NS      | $36239.91      | 0.00%             | 2036-08-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGI 1.4% 09/15/27                         | ROPER TECHNOLOGIES INC REGD 1.40000000                                                           | CUSIP: 776743AN6<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   3050000 | NS      | $2580169.43    | 0.02%             | 2027-09-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| TRUSTAGE FINAN 4.625% 04/15/32                         | TRUSTAGE FINANCIAL GROUP REGD 144A P/P 4.62500000                                                | CUSIP: 89787EAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4310491.30    | 0.03%             | 2032-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1177 3.5% 09/01/42                            | FANNIE MAE POOL UMBS P#MA1177 3.50000000                                                         | CUSIP: 31418AJX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    349781 | NS      | $326631.50     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-78 BZ 6.5% 08/25/36                           | FANNIE MAE REMICS SER 2006-78 CL BZ 6.50000000                                                   | CUSIP: 31396KDK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10140 | NS      | $10563.67      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO1728 4% 07/01/49                              | FANNIE MAE POOL UMBS P#BO1728 4.00000000                                                         | CUSIP: 3140JV4N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1867942 | NS      | $1780840.59    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNA 2013-M9 A2 V/R 01/25/23                            | FANNIE MAE-ACES SER 2013-M9 CL A2 V/R 2.38900000                                                 | CUSIP: 3136AEX69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35513 | NS      | $35395.09      | 0.00%             | 2023-01-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| VOLT 2021-NPL2 A V/R 01/25/24                          | VOLT XCIII LLC SER 2021-NPL2 CL A1 V/R REGD 144A P/P 1.89250000                                  | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12777356 | NS      | $11494669.42   | 0.07%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FHR 2283 K 6.5% 12/15/23                               | FREDDIE MAC REMICS SER 2283 CL K 6.50000000                                                      | CUSIP: 3133TRJM8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       998 | NS      | $999.40        | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CR1 3.923% 07/10/23                          | COMM 2013-CCRE10 MORTGAGE TRUST SER 2013-CR10 CL A3 REGD 3.92300000                              | CUSIP: 12626BAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1063391 | NS      | $1059257.22    | 0.01%             | 2046-08-10      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 4.3% 03/25/28                          | CVS HEALTH CORP REGD 4.30000000                                                                  | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    783000 | NS      | $757351.03     | 0.00%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FHR 3610 CA 4.5% 12/15/39                              | FREDDIE MAC REMICS SER 3610 CL CA 4.50000000                                                     | CUSIP: 31398LLE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1529093 | NS      | $1494942.63    | 0.01%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 2010-16 WA V/R 03/25/40                            | FANNIE MAE REMICS SER 2010-16 CL WA V/R 6.43902400                                               | CUSIP: 31398MRP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    111678 | NS      | $114490.37     | 0.00%             | 2040-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICA 6.5% 01/23/29                         | PETROLEOS MEXICANOS REGD SER WI 6.50000000                                                       | CUSIP: 71654QCP5<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    970000 | NS      | $830230.76     | 0.01%             | 2029-01-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-16 OA ZCP 03/25/36                            | FANNIE MAE REMICS SER 2006-16 CL OA ZCP 0.00000000                                               | CUSIP: 31394V4X5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7699 | NS      | $6467.43       | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC7296 5.5% 12/01/39                            | FANNIE MAE POOL UMBS P#AC7296 5.50000000                                                         | CUSIP: 31417UDA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28001 | NS      | $28322.16      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C7 A5 V/R 10/15/26                          | CSAIL 2016-C7 COMMERCIAL MORTGAGE TRUST SER 2016-C7 CL A5 V/R REGD 3.50200000                    | CUSIP: 12637UAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1882000 | NS      | $1753072.08    | 0.01%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BSARM 2003-2 A5 V/R 01/25/33                           | BEAR STEARNS ARM TRUST 2003-2 SER 2003-2 CL A5 V/R REGD 144A P/P 4.33705000                      | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     56664 | NS      | $54280.93      | 0.00%             | 2033-01-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHR 3481 SJ V/R 08/15/38                               | FREDDIE MAC REMICS SER 3481 CL SJ V/R 1.53214000                                                 | CUSIP: 31397Y4R9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    106596 | NS      | $7338.46       | 0.00%             | 2038-08-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC U 4.125% 06/15/44                         | PPL ELECTRIC UTILITIES REGD 4.12500000                                                           | CUSIP: 69351UAS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    208000 | NS      | $173674.01     | 0.00%             | 2044-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FSPC T-59 1A2 7% 10/25/43                              | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-59 CL 1A2 7.00000000                      | CUSIP: 31394PPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    199987 | NS      | $204942.69     | 0.00%             | 2043-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION 3.865% 03/04/29                         | BROOKLYN UNION GAS CO REGD 144A P/P 3.86500000                                                   | CUSIP: 114259AT1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1125000 | NS      | $1010898.16    | 0.01%             | 2029-03-04      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FHR 2544 HC 6% 12/15/32                                | FREDDIE MAC REMICS SER 2544 CL HC 6.00000000                                                     | CUSIP: 31393FQX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15616 | NS      | $16266.57      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY 3.95% 04/23/27                          | MORGAN STANLEY REGD MTN 3.95000000                                                               | CUSIP: 61761JZN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  14190000 | NS      | $13400935.82   | 0.09%             | 2027-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT8027 3% 07/01/43                              | FANNIE MAE POOL UMBS P#AT8027 3.00000000                                                         | CUSIP: 3138WV4M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69425 | NS      | $63168.80      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TPMT 2019-1 A1 V/R 11/25/28                            | TOWD POINT MORTGAGE TRUST 2019-1 SER 2019-1 CL A1 V/R REGD 144A P/P 3.72175000                   | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3888112 | NS      | $3658360.41    | 0.02%             | 2058-03-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HO 5.391% 03/15/62                         | WARNERMEDIA HOLDINGS INC REGD 144A P/P 5.39100000                                                | CUSIP: 55903VAS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1665000 | NS      | $1215472.88    | 0.01%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.125% 10/31/27                           | UNITED STATES TREASURY NOTE 4.12500000                                                           | CUSIP: 91282CFU0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  13431000 | NS      | $13480317.02   | 0.09%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 06/14/27                         | SANTANDER UK GROUP HLDGS REGD V/R 1.67300000                                                     | CUSIP: 80281LAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2290000 | NS      | $1947170.35    | 0.01%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE9384 V/R 11/20/71                          | GINNIE MAE II POOL P#CE9384 V/R 6.13300000                                                       | CUSIP: 3617VYM97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3888643 | NS      | $4016323.78    | 0.03%             | 2071-11-20      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT9668 3% 06/01/43                              | FANNIE MAE POOL UMBS P#AT9668 3.00000000                                                         | CUSIP: 3138WXW60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250252 | NS      | $227703.85     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E 5.35% 05/15/40                         | SAN DIEGO G & E REGD 5.35000000                                                                  | CUSIP: 797440BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3430000 | NS      | $3257581.17    | 0.02%             | 2040-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 0% 11/30/26/                              | UNITED STATES TREASURY BOND    REGD/144A/ 1.25000000                                             | CUSIP: 91282CDK4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  14157000 | NS      | $12703142.50   | 0.08%             | 2026-11-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHR 3443 SY V/R 03/15/37                               | FREDDIE MAC REMICS SER 3443 CL SY V/R 9.00000000                                                 | CUSIP: 31397T7H9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10538 | NS      | $10827.67      | 0.00%             | 2037-03-15      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| FHR 2586 HD 5.5% 03/15/23                              | FREDDIE MAC REMICS SER 2586 CL HD 5.50000000                                                     | CUSIP: 31393MRH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2242 | NS      | $2238.36       | 0.00%             | 2023-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 1999-62 PB 7.5% 12/18/29                           | FANNIE MAE REMICS SER 1999-62 CL PB 7.50000000                                                   | CUSIP: 31359XEP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3019 | NS      | $3124.36       | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#847621 V/R 05/01/33                            | FREDDIE MAC NON GOLD POOL P#847621 V/R 3.04800000                                                | CUSIP: 3128JRPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49284 | NS      | $49102.93      | 0.00%             | 2033-05-01      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| GMCAR 2021-1 A 0.54% 10/16/24                          | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2021-1 SER 2021-1 CL A4 REGD 0.54000000       | CUSIP: 36261LAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4174000 | NS      | $3855337.64    | 0.02%             | 2027-05-17      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| BSABS 2003-2 A3 V/R 03/25/43                           | BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-2 SER 2003-2 CL A3 V/R REGD 5.88871000           | CUSIP: 07384YJQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1635369 | NS      | $1580427.89    | 0.01%             | 2043-03-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| VOLT 2021-NPL3 A V/R 01/25/24                          | VOLT XCIV LLC SER 2021-NPL3 CL A1 V/R REGD 144A P/P 2.23950000                                   | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12341300 | NS      | $11156693.60   | 0.07%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| MPLX LP 5.2% 12/01/47                                  | MPLX LP REGD SER WI 5.20000000                                                                   | CUSIP: 55336VBP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560000 | NS      | $476362.57     | 0.00%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U99134 4% 01/01/46                             | FREDDIE MAC GOLD POOL P#U99134 4.00000000                                                        | CUSIP: 3132H7EG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1865641 | NS      | $1785076.49    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 11/03/33                         | HSBC HOLDINGS PLC REGD V/R 8.11300000                                                            | CUSIP: 404280DS5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3312000 | NS      | $3504359.70    | 0.02%             | 2033-11-03      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA V/R 09/30/25                              | DNB BANK ASA REGD V/R 0.85600000                                                                 | CUSIP: 25601B2A2<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   2562000 | NS      | $2354652.40    | 0.02%             | 2025-09-30      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FHR 1737 L 6% 06/15/24                                 | FREDDIE MAC REMICS SER 1737 CL L 6.00000000                                                      | CUSIP: 3133T5QV8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1770 | NS      | $1775.70       | 0.00%             | 2024-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#650236 5% 12/01/32                              | FANNIE MAE POOL UMBS P#650236 5.00000000                                                         | CUSIP: 31390MLR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       478 | NS      | $474.32        | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATE 4.125% 05/15/44                         | NORTHERN STATES PWR-MINN REGD 4.12500000                                                         | CUSIP: 665772CL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1480000 | NS      | $1249806.68    | 0.01%             | 2044-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA0127 5.5% 06/01/39                            | FANNIE MAE POOL UMBS P#MA0127 5.50000000                                                         | CUSIP: 31417YD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14791 | NS      | $14646.39      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2008-36 SH V/R 04/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-36 CL SH V/R 1.94714000                        | CUSIP: 38374D3F4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     95018 | NS      | $103.59        | 0.00%             | 2038-04-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM8595 2.83% 05/01/27                           | FANNIE MAE POOL UMBS P#AM8595 2.83000000                                                         | CUSIP: 3138L9RR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7917903 | NS      | $7396931.74    | 0.05%             | 2027-05-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FHR 3365 PO ZCP 09/15/37                               | FREDDIE MAC REMICS SER 3365 CL PO ZCP 0.00000000                                                 | CUSIP: 31397KNK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17485 | NS      | $14102.22      | 0.00%             | 2037-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 08/18/31                         | HSBC HOLDINGS PLC REGD V/R 2.35700000                                                            | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2580000 | NS      | $1971356.46    | 0.01%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNR 2008-69 QD 5.75% 07/20/38                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-69 CL QD 5.75000000                            | CUSIP: 38375XRK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33313 | NS      | $33378.61      | 0.00%             | 2038-07-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHR 3607 OP ZCP 07/15/37                               | FREDDIE MAC REMICS SER 3607 CL OP ZCP 0.00000000                                                 | CUSIP: 31398LQS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    177697 | NS      | $143110.08     | 0.00%             | 2037-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BBCMS 2022-C16 A V/R 05/15/32                          | BBCMS MORTGAGE TRUST 2022-C16 SER 2022-C16 CL A5 V/R REGD 4.60000000                             | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8750000 | NS      | $8418012.75    | 0.05%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT8460 2.5% 09/01/51                            | FANNIE MAE POOL UMBS P#BT8460 2.50000000                                                         | CUSIP: 3140LXMJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    991720 | NS      | $824223.51     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#617486 7% 04/15/37                              | GINNIE MAE I POOL P#617486 7.00000000                                                            | CUSIP: 36290T6X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9309 | NS      | $9258.08       | 0.00%             | 2037-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2903 Z 5% 12/15/24                                 | FREDDIE MAC REMICS SER 2903 CL Z 5.00000000                                                      | CUSIP: 31395KQM8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6495 | NS      | $6548.07       | 0.00%             | 2024-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSX CORP 4.75% 11/15/48                                | CSX CORP REGD 4.75000000                                                                         | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   1280000 | NS      | $1156132.08    | 0.01%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#976871 6.5% 08/01/36                            | FANNIE MAE POOL UMBS P#976871 6.50000000                                                         | CUSIP: 31414UW87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79196 | NS      | $81483.46      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNR 2003-46 MG 6.5% 05/20/33                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-46 CL MG 6.50000000                            | CUSIP: 38373Q2Q3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37014 | NS      | $37417.16      | 0.00%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & 4.65% 08/15/43                         | VIRGINIA ELEC & POWER CO REGD SER D 4.65000000                                                   | CUSIP: 927804FP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1765000 | NS      | $1549565.88    | 0.01%             | 2043-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#257048 6% 01/01/28                              | FANNIE MAE POOL UMBS P#257048 6.00000000                                                         | CUSIP: 31371NP90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34844 | NS      | $35369.22      | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#886772 V/R 09/01/36                             | FANNIE MAE POOL UMBS P#886772 V/R 3.98200000                                                     | CUSIP: 31410EFM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18697 | NS      | $18741.05      | 0.00%             | 2036-09-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN T 3.7% 03/15/28                         | GOODMAN US FIN THREE REGD 144A P/P 3.70000000                                                    | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    862000 | NS      | $777716.98     | 0.00%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNR 2007-28 EO ZCP 04/25/37                            | FANNIE MAE REMICS SER 2007-28 CL EO ZCP 0.00000000                                               | CUSIP: 31396VLE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     43377 | NS      | $35487.31      | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08524 3% 03/01/43                             | FREDDIE MAC GOLD POOL P#G08524 3.00000000                                                        | CUSIP: 3128MJSN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1125591 | NS      | $1025343.11    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE I 1.875% 07/12/28                         | ENEL FINANCE INTL NV REGD 144A P/P 1.87500000                                                    | CUSIP: 29278GAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    270000 | NS      | $214461.99     | 0.00%             | 2028-07-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGH 3.5% 05/20/51                         | ARTHUR J GALLAGHER & CO REGD 3.50000000                                                          | CUSIP: 363576AB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2093145.84    | 0.01%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AID-ISRAEL 5.5% 09/18/33                               | AID-ISRAEL REGD 5.50000000                                                                       | CUSIP: 46513EFG2<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |    619000 | NS      | $672789.79     | 0.00%             | 2033-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 3200 PO ZCP 08/15/36                               | FREDDIE MAC REMICS SER 3200 CL PO ZCP 0.00000000                                                 | CUSIP: 31397AJ95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18755 | NS      | $15012.99      | 0.00%             | 2036-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 2458 ZM 6.5% 06/15/32                              | FREDDIE MAC REMICS SER 2458 CL ZM 6.50000000                                                     | CUSIP: 31392PAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12518 | NS      | $12732.00      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MRFC 2000-TBC3 A1 V/R 12/15/30                         | MRFC 2000-TBC3 A1 V/R 12/15/30 4.75786000                                                        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16759 | NS      | $15612.13      | 0.00%             | 2030-12-15      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| SCRT 2019-4 M55D 4% 02/25/59                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4 SER 2019-4 CL M55D 4.00000000                  | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4609220 | NS      | $4381737.19    | 0.03%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNW 2007-W1 1AF1 V/R 11/25/46                          | FANNIE MAE WHOLE LOAN SER 2007-W1 CL 1AF1 V/R 4.64871000                                         | CUSIP: 31395D7H6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    573477 | NS      | $567110.70     | 0.00%             | 2046-11-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH 4.625% 02/01/44                         | ANHEUSER-BUSCH INBEV FIN REGD 4.62500000                                                         | CUSIP: 03524BAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    455000 | NS      | $408929.72     | 0.00%             | 2044-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL9960 3% 02/01/44                              | FANNIE MAE POOL UMBS P#AL9960 3.00000000                                                         | CUSIP: 3138ESB64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3009234 | NS      | $2738373.27    | 0.02%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2004-65 EY 5.5% 08/25/24                           | FANNIE MAE REMICS SER 2004-65 CL EY 5.50000000                                                   | CUSIP: 31394APL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11254 | NS      | $11165.12      | 0.00%             | 2024-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDING 2.125% 02/21/26                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 2.12500000                                                | CUSIP: 05401AAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1430000 | NS      | $1230766.29    | 0.01%             | 2026-02-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#888476 7.5% 05/01/37                            | FANNIE MAE POOL UMBS P#888476 7.50000000                                                         | CUSIP: 31410GCM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10840 | NS      | $11528.47      | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1227 3% 04/01/52                              | FANNIE MAE POOL UMBS P#FS1227 3.00000000                                                         | CUSIP: 3140XGLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  34438260 | NS      | $30385080.88   | 0.19%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM1325 3% 08/01/34                              | FANNIE MAE POOL UMBS P#FM1325 3.00000000                                                         | CUSIP: 3140X4PK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1236458 | NS      | $1160669.21    | 0.01%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BBCMS 2022-C15 A V/R 10/15/32                          | BBCMS MORTGAGE TRUST 2022-C15 SER 2022-C15 CL ASB V/R REGD 3.68400000                            | CUSIP: 05552FBB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8700000 | NS      | $8020101.09    | 0.05%             | 2055-04-15      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| GNR 2007-36 SJ V/R 06/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-36 CL SJ V/R 1.89714000                        | CUSIP: 38375KHN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58343 | NS      | $1252.11       | 0.00%             | 2037-06-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPEL 5.95% 06/01/26                         | BOARDWALK PIPELINES LP REGD 5.95000000                                                           | CUSIP: 096630AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | NS      | $3037633.98    | 0.02%             | 2026-06-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60039 3% 04/01/43                             | FREDDIE MAC GOLD POOL P#G60039 3.00000000                                                        | CUSIP: 31335ABG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6583107 | NS      | $5996805.91    | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / 3.375% 12/15/41                         | DELL INT LLC / EMC CORP REGD 144A P/P 3.37500000                                                 | CUSIP: 24703DBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2481000 | NS      | $1661592.02    | 0.01%             | 2041-12-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0933 3% 04/20/43                           | GINNIE MAE II POOL P#MA0933 3.00000000                                                           | CUSIP: 36179NBA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1314552 | NS      | $1200004.94    | 0.01%             | 2043-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD 3.2% 09/16/40                            | AIA GROUP LTD REGD 144A P/P 3.20000000                                                           | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    915000 | NS      | $653067.05     | 0.00%             | 2040-09-16      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH G 5.875% 02/15/53                         | UNITEDHEALTH GROUP INC REGD 5.87500000                                                           | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |  12787000 | NS      | $13806955.06   | 0.09%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 02/04/28                         | BANK OF AMERICA CORP REGD V/R 2.55100000                                                         | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3075000 | NS      | $2731175.52    | 0.02%             | 2028-02-04      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| WFCM 2017-C38  3.19% 07/15/50                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C38 SER 2017-C38 CL A4 REGD 3.19000000                | CUSIP: 95001MAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13320933 | NS      | $12187571.65   | 0.08%             | 2050-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN2896 2.58% 09/01/28                           | FANNIE MAE POOL UMBS P#AN2896 2.58000000                                                         | CUSIP: 3138LFGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3749964 | NS      | $3414418.64    | 0.02%             | 2028-09-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING 2.5% 09/01/30                         | GLENCORE FUNDING LLC REGD 144A P/P 2.50000000                                                    | CUSIP: 378272AY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5040000 | NS      | $4090916.44    | 0.03%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HINTT 2020-A B 2.23% 10/09/39                          | HIN TIMESHARE TRUST 2020-A SER 2020-A CL B REGD 144A P/P 2.23000000                              | CUSIP: 40439HAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1819498 | NS      | $1667137.27    | 0.01%             | 2039-10-09      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-AR3 A1 V/R 06/25/34                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR3 SER 2004-AR3 CL A1 V/R REGD 3.10375200   | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    889754 | NS      | $815656.78     | 0.01%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| NAA 2003-A1 A5 7% 04/25/33                             | NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST SERIES 2 SER 2003-A1 CL A5 REGD 7.00000000   | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7831 | NS      | $7612.87       | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.5% 02/28/26                             | UNITED STATES TREASURY NOTE 2.50000000                                                           | CUSIP: 9128286F2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1285000 | NS      | $1220499.03    | 0.01%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAR 4.25% 12/15/41                         | DUKE ENERGY CAROLINAS REGD 4.25000000                                                            | CUSIP: 26442CAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    141000 | NS      | $121684.18     | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS  4.625% 05/15/44                         | BRISTOL-MYERS SQUIBB CO REGD 4.62500000                                                          | CUSIP: 110122DH8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   2640000 | NS      | $2413247.34    | 0.02%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KSBA 2014-2 A V/R 04/25/40                             | KGS-ALPHA SBA COOF TRUST 2014-2 SER 2014-2 CL A V/R 144A P/P 3.16158700                          | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    401941 | NS      | $25473.40      | 0.00%             | 2040-04-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUS 2.875% 01/12/32                         | RELIANCE INDUSTRIES LTD REGD 144A P/P 2.87500000                                                 | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   3000000 | NS      | $2432204.34    | 0.02%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNS 265 2 9% 03/25/24                                  | FANNIE MAE INTEREST STRIP SER 265 CL 2 9.00000000                                                | CUSIP: 31364HJ81<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        33 | NS      | $33.57         | 0.00%             | 2024-03-25      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES  4.25% 07/30/23                         | DELTA AIRLINES 2015B REGD SER 15-1 4.25000000                                                    | CUSIP: 24737AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1504878 | NS      | $1475133.81    | 0.01%             | 2023-07-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#884722 V/R 08/01/36                             | FANNIE MAE POOL UMBS P#884722 V/R 3.70700000                                                     | CUSIP: 31410B4F8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4949 | NS      | $4895.10       | 0.00%             | 2036-08-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7541 2% 05/01/51                              | FREDDIE MAC POOL UMBS P#SD7541 2.00000000                                                        | CUSIP: 3132DVLW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8517315 | NS      | $7014226.26    | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE0113 4% 07/01/40                              | FANNIE MAE POOL UMBS P#AE0113 4.00000000                                                         | CUSIP: 31419ADT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1947204 | NS      | $1870042.92    | 0.01%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-HYB3 2 V/R 06/20/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-HYB3 SER 2004-HYB3 CL 2A V/R REGD 2.71388200                | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28079 | NS      | $25935.46      | 0.00%             | 2034-06-20      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 3.6% 05/14/25                               | ABBVIE INC REGD 3.60000000                                                                       | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  12060000 | NS      | $11687912.82   | 0.07%             | 2025-05-14      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 04/22/32                         | BANK OF AMERICA CORP REGD V/R 2.68700000                                                         | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  17025000 | NS      | $13626539.14   | 0.09%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FNR 2008-56 AC 5% 07/25/38                             | FANNIE MAE REMICS SER 2008-56 CL AC 5.00000000                                                   | CUSIP: 31397MAH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17614 | NS      | $17258.04      | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA 2% 07/15/26                                | AKER BP ASA REGD 144A P/P 2.00000000                                                             | CUSIP: 55037AAA6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   2255000 | NS      | $1991865.85    | 0.01%             | 2026-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#889634 6% 02/01/23                              | FANNIE MAE POOL UMBS P#889634 6.00000000                                                         | CUSIP: 31410KLP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11 | NS      | $11.37         | 0.00%             | 2023-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A87147 4.5% 07/01/39                           | FREDDIE MAC GOLD POOL P#A87147 4.50000000                                                        | CUSIP: 3129335G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     82443 | NS      | $81777.67      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FSPC T-58 APO ZCP 09/25/43                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-58 CL APO ZCP 0.00000000                  | CUSIP: 31394JY76<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14674 | NS      | $10277.05      | 0.00%             | 2043-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-S9 A 5.25% 10/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-S9 TRUST SER 2003-S9 CL A8 REGD 5.25000000   | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    113603 | NS      | $109548.03     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 11/03/28                         | HSBC HOLDINGS PLC REGD V/R 7.39000000                                                            | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4379000 | NS      | $4602111.71    | 0.03%             | 2028-11-03      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SC 5.25% 12/06/24                         | BANK OF NOVA SCOTIA REGD 5.25000000                                                              | CUSIP: 06417XAL5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  12335000 | NS      | $12357759.68   | 0.08%             | 2024-12-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB8897 3% 04/01/43                              | FANNIE MAE POOL UMBS P#AB8897 3.00000000                                                         | CUSIP: 31417F3F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1226319 | NS      | $1115800.31    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RALI 2005-QA6 A3 V/R 05/25/35                          | RALI SERIES 2005-QA6 TRUST SER 2005-QA6 CL A32 V/R REGD 4.26259200                               | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75241 | NS      | $43105.60      | 0.00%             | 2035-05-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO 2.65% 03/15/32                         | ESSEX PORTFOLIO LP REGD 2.65000000                                                               | CUSIP: 29717PAV9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1740000 | NS      | $1371207.54    | 0.01%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q10960 3.5% 09/01/42                           | FREDDIE MAC GOLD POOL P#Q10960 3.50000000                                                        | CUSIP: 3132HMB59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1465199 | NS      | $1373076.97    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.875% 04/30/25                           | UNITED STATES TREASURY NOTE 2.87500000                                                           | CUSIP: 9128284M9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    840000 | NS      | $812864.06     | 0.01%             | 2025-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON C 2.65% 05/01/28                         | TOLEDO EDISON COMPANY REGD 144A P/P 2.65000000                                                   | CUSIP: 889175BF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1208000 | NS      | $1055113.27    | 0.01%             | 2028-05-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ODART 2019-1A  3.63% 08/14/25                          | ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2019-1 SER 2019-1A CL A REGD 144A P/P 3.63000000           | CUSIP: 68267EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14600000 | NS      | $14012647.84   | 0.09%             | 2027-09-14      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CGCMT 2019-C7  2.86% 11/15/29                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7 SER 2019-C7 CL A3 REGD 2.86000000                    | CUSIP: 17328CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2550000 | NS      | $2195702.75    | 0.01%             | 2072-12-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FNR 2008-4 SD V/R 02/25/38                             | FANNIE MAE REMICS SER 2008-4 CL SD V/R 1.61129000                                                | CUSIP: 31396YEP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    227267 | NS      | $16046.13      | 0.00%             | 2038-02-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FNR 1993-54 Z 7% 04/25/23                              | FANNIE MAE REMICS SER 1993-54 CL Z 7.00000000                                                    | CUSIP: 31358UYY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        94 | NS      | $94.20         | 0.00%             | 2023-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09055 4% 12/01/43                             | FREDDIE MAC GOLD POOL P#C09055 4.00000000                                                        | CUSIP: 31292SBY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    528125 | NS      | $506428.29     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STACR 2022-DNA1  V/R 01/25/42                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA1 SER 2022-DNA1 CL M1A V/R REGD 144A P/P 4.92768000        | CUSIP: 35564KPU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6713481 | NS      | $6541102.74    | 0.04%             | 2042-01-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT 3.5% 06/01/41                         | CHARTER COMM OPT LLC/CAP REGD 3.50000000                                                         | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13115000 | NS      | $8545662.52    | 0.05%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 3232 ST V/R 10/15/36                               | FREDDIE MAC REMICS SER 3232 CL ST V/R 2.38214000                                                 | CUSIP: 31397BP96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30174 | NS      | $2650.18       | 0.00%             | 2036-10-15      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/25                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833LU2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    799000 | NS      | $728695.71     | 0.00%             | 2025-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HDMOT 2021-A A 0.53% 06/15/25                          | HARLEY-DAVIDSON MOTORCYCLE TRUST 2021-A SER 2021-A CL A4 REGD 0.53000000                         | CUSIP: 41284NAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4288000 | NS      | $4003807.65    | 0.03%             | 2028-09-15      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1  4% 04/11/26                         | UNITED AIR 2014-1 A PTT REGD SER A 4.00000000                                                    | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    661042 | NS      | $614155.04     | 0.00%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV V/R 07/01/26                              | ING GROEP NV REGD V/R 144A P/P 1.40000000                                                        | CUSIP: 456837AU7<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1940000 | NS      | $1744097.46    | 0.01%             | 2026-07-01      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| CWL 2004-6 2A5 V/R 11/25/34                            | CWABS INC ASSET-BACKED CERTIFICATES TRUST 2004-6 SER 2004-6 CL 2A5 V/R REGD 5.16871000           | CUSIP: 126673BR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    307465 | NS      | $288922.26     | 0.00%             | 2034-11-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FREMF 2017-KGL1  V/R 10/25/27                          | FREMF 2017-KGS1 MORTGAGE TRUST SER 2017-KGL1 CL BFL V/R REGD 144A P/P 6.64200000                 | CUSIP: 30305QAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4424309 | NS      | $4317665.76    | 0.03%             | 2027-10-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| SIXST 2020-16A A V/R 10/20/32                          | SIXTH STREET CLO XVI LTD SER 2020-16A CL A1A V/R REGD 144A P/P 5.56257000                        | CUSIP: 83012DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20000000 | NS      | $19813660.00   | 0.13%             | 2032-10-20      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO 5% 04/01/35                          | GENERAL MOTORS CO REGD 5.00000000                                                                | CUSIP: 37045VAH3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   4591000 | NS      | $3953313.54    | 0.03%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4781 3% 10/01/52                              | FANNIE MAE POOL UMBS P#MA4781 3.00000000                                                         | CUSIP: 31418EJ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1594843 | NS      | $1399943.86    | 0.01%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 201 4.125% 05/15/25                         | AIR CANADA 2013-1A PTT REGD P/P 4.12500000                                                       | CUSIP: 009089AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1297317 | NS      | $1186408.45    | 0.01%             | 2025-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC 3.6% 11/15/60                         | T-MOBILE USA INC REGD 3.60000000                                                                 | CUSIP: 87264ABY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3920000 | NS      | $2588267.18    | 0.02%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CAFL 2019-1 B 3.88% 01/15/29                           | COREVEST AMERICAN FINANCE 2019-1 TRUST SER 2019-1 CL B REGD 144A P/P 3.88000000                  | CUSIP: 21872FAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4860000 | NS      | $4709784.69    | 0.03%             | 2052-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04668 5% 03/01/38                             | FREDDIE MAC GOLD POOL P#G04668 5.00000000                                                        | CUSIP: 3128M6QV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    124932 | NS      | $127550.53     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0698 3% 01/20/43                           | GINNIE MAE II POOL P#MA0698 3.00000000                                                           | CUSIP: 36179MX39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    533543 | NS      | $487051.81     | 0.00%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4182 2% 11/01/50                              | FANNIE MAE POOL UMBS P#MA4182 2.00000000                                                         | CUSIP: 31418DUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14581358 | NS      | $11924301.99   | 0.08%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T3 PT1 V/R 01/25/44                          | FANNIE MAE GRANTOR TRUST 2004-T3 SER 2004-T3 CL PT1 V/R 9.74518000                               | CUSIP: 31393YV85<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15370 | NS      | $16219.59      | 0.00%             | 2044-01-25      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| BOAMS 2003-C 3A1 V/R 04/25/33                          | BANC OF AMERICA MORTGAGE 2003-C TRUST SER 2003-C CL 3A1 V/R REGD 2.74643700                      | CUSIP: 0605067V8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1907 | NS      | $1796.93       | 0.00%             | 2033-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04077 6.5% 03/01/38                           | FREDDIE MAC GOLD POOL P#G04077 6.50000000                                                        | CUSIP: 3128M52J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27366 | NS      | $28897.68      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ES 2% 05/18/32                         | ALEXANDRIA REAL ESTATE E REGD 2.00000000                                                         | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   2180000 | NS      | $1669251.00    | 0.01%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 09/13/30                         | MIZUHO FINANCIAL GROUP REGD V/R 2.86900000                                                       | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1620000 | NS      | $1354744.81    | 0.01%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| TVA 0.75% 05/15/25                                     | TENNESSEE VALLEY AUTHORITY 0.75000000                                                            | CUSIP: 880591EW8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   5562000 | NS      | $5082808.73    | 0.03%             | 2025-05-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH2683 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH2683 4.00000000                                                         | CUSIP: 3138A36V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    666827 | NS      | $640396.39     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H20 LF V/R 10/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H20 CL LF V/R 4.44157000                       | CUSIP: 38375UQR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1043778 | NS      | $1029873.30    | 0.01%             | 2064-10-20      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA EL 3.25% 03/15/28                         | PENNSYLVANIA ELECTRIC CO REGD 144A P/P 3.25000000                                                | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2386000 | NS      | $2143207.80    | 0.01%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5.5% JAN 23                              | FNMA 30YR TBA 5.5% JAN 23      TO BE ANNOUNCED 5.50000000                                        | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8890000 | NS      | $8911928.07    | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4837 3.5% 11/20/47                         | GINNIE MAE II POOL P#MA4837 3.50000000                                                           | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5079760 | NS      | $4729113.09    | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018- 3.7% 03/01/30                         | UNITED AIR 2018-1 A PTT REGD SER A 3.70000000                                                    | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3127224 | NS      | $2605458.92    | 0.02%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO 5.15% 05/01/30                               | BOEING CO REGD 5.15000000                                                                        | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4225000 | NS      | $4122075.92    | 0.03%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4719 3% 11/01/50                              | FANNIE MAE POOL UMBS P#FM4719 3.00000000                                                         | CUSIP: 3140X8G50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    401388 | NS      | $356297.12     | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-12 BZ 5.5% 03/25/36                           | FANNIE MAE REMICS SER 2006-12 CL BZ 5.50000000                                                   | CUSIP: 31394VQ29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98941 | NS      | $100095.20     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 4.3% 03/15/45                         | PACIFIC GAS & ELECTRIC REGD 4.30000000                                                           | CUSIP: 694308HL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    638000 | NS      | $452334.32     | 0.00%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.625% 05/15/31                           | UNITED STATES TREASURY NOTE 1.62500000                                                           | CUSIP: 91282CCB5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4225000 | NS      | $3553125.97    | 0.02%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| TPMT 2020-MH1 A1 V/R 02/25/60                          | TOWD POINT MORTGAGE TRUST 2020-MH1 SER 2020-MH1 CL A1 V/R REGD 144A P/P 2.25000000               | CUSIP: 89178YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4135893 | NS      | $3848507.71    | 0.02%             | 2060-02-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/23/29                         | JPMORGAN CHASE & CO REGD V/R 4.00500000                                                          | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2320000 | NS      | $2146315.43    | 0.01%             | 2029-04-23      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-S3 1A5 5% 07/25/34                           | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-S3 TRUST SER 2004-S3 CL 1A5 REGD 5.00000000  | CUSIP: 92922FUU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6324 | NS      | $6134.45       | 0.00%             | 2034-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4807 5.5% 11/01/52                            | FANNIE MAE POOL UMBS P#MA4807 5.50000000                                                         | CUSIP: 31418EKV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7671692 | NS      | $7692284.26    | 0.05%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MA 1.6% 04/06/24                         | ELEMENT FLEET MANAGEMENT REGD 144A P/P 1.60000000                                                | CUSIP: 286181AF9<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1405000 | NS      | $1330981.97    | 0.01%             | 2024-04-06      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC 4.4% 03/15/45                           | HOME DEPOT INC REGD 4.40000000                                                                   | CUSIP: 437076BF8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    268000 | NS      | $239446.38     | 0.00%             | 2045-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GNR 2010-129 AW V/R 04/20/37                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-129 CL AW V/R 5.92473000                       | CUSIP: 38377MBJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     47255 | NS      | $48444.21      | 0.00%             | 2037-04-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4586 3.5% 07/20/47                         | GINNIE MAE II POOL P#MA4586 3.50000000                                                           | CUSIP: 36179TCX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2358967 | NS      | $2200488.49    | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2001-44 PD 7% 09/25/31                             | FANNIE MAE REMICS SER 2001-44 CL PD 7.00000000                                                   | CUSIP: 3139204E7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3313 | NS      | $3468.95       | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#782306 V/R 07/01/34                             | FANNIE MAE POOL UMBS P#782306 V/R 4.17000000                                                     | CUSIP: 31404YDK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       346 | NS      | $338.58        | 0.00%             | 2034-07-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 04/23/29                             | CITIGROUP INC REGD V/R 4.07500000                                                                | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1111000 | NS      | $1022303.56    | 0.01%             | 2029-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| UMBS P#679886 6.5% 02/01/32                            | FANNIE MAE POOL UMBS P#679886 6.50000000                                                         | CUSIP: 31391XJ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29264 | NS      | $30271.38      | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 05/25/26                         | MIZUHO FINANCIAL GROUP REGD V/R 2.22600000                                                       | CUSIP: 60687YBD0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1740000 | NS      | $1598145.25    | 0.01%             | 2026-05-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNR 2006-53 US V/R 06/25/36                            | FANNIE MAE REMICS SER 2006-53 CL US V/R 2.19129000                                               | CUSIP: 31395NJD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     66248 | NS      | $5740.11       | 0.00%             | 2036-06-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| BOC AVIATION U 1.625% 04/29/24                         | BOC AVIATION USA CORP REGD 144A P/P MTN 1.62500000                                               | CUSIP: 66980P2A6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2170000 | NS      | $2059712.20    | 0.01%             | 2024-04-29      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FNR 2008-61 BH 4.5% 07/25/23                           | FANNIE MAE REMICS SER 2008-61 CL BH 4.50000000                                                   | CUSIP: 31397L4F3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       617 | NS      | $614.18        | 0.00%             | 2023-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FI 5.75% 04/01/33                         | JBS USA/FOOD/FINANCE REGD 144A P/P 5.75000000                                                    | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7500000 | NS      | $7153350.00    | 0.05%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5064 2% 06/01/40                              | FREDDIE MAC POOL UMBS P#RB5064 2.00000000                                                        | CUSIP: 3133KYTV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1487654 | NS      | $1266953.26    | 0.01%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CADILLAC FAIRV 3.875% 03/20/27                         | CADILLAC FAIRVIEW PRP TR REGD 144A P/P 3.87500000                                                | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1044000 | NS      | $962070.96     | 0.01%             | 2027-03-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PART 2021-1A A 0.55% 02/15/23                          | PRESTIGE AUTO RECEIVABLES TRUST 2021-1 SER 2021-1A CL A2 REGD 144A P/P 0.55000000                | CUSIP: 74113XAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1387481 | NS      | $1384030.16    | 0.01%             | 2024-09-16      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN 5.25% 01/15/33                         | LOCKHEED MARTIN CORP REGD 5.25000000                                                             | CUSIP: 539830BW8<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   4491000 | NS      | $4630334.98    | 0.03%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO 4.875% 05/01/25                              | BOEING CO REGD 4.87500000                                                                        | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1165000 | NS      | $1156079.63    | 0.01%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JAB HOLDINGS BV 4.5% 04/08/52                          | JAB HOLDINGS BV REGD 144A P/P 4.50000000                                                         | CUSIP: 46653KAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2408000 | NS      | $1633397.43    | 0.01%             | 2052-04-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4414 2.5% 09/01/51                            | FANNIE MAE POOL UMBS P#MA4414 2.50000000                                                         | CUSIP: 31418D3Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7652590 | NS      | $6497350.29    | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 2.625% 09/06/24                                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.62500000                                                 | CUSIP: 3135G0ZR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5221000 | NS      | $5065148.82    | 0.03%             | 2024-09-06      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FHR 3770 ZB 5% 12/15/40                                | FREDDIE MAC REMICS SER 3770 CL ZB 5.00000000                                                     | CUSIP: 3137A4PM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    668949 | NS      | $674199.96     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOOD 5.2% 07/15/45                         | KRAFT HEINZ FOODS CO REGD 5.20000000                                                             | CUSIP: 50077LAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    725000 | NS      | $668893.28     | 0.00%             | 2045-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA5931 2% 09/01/51                              | FREDDIE MAC POOL UMBS P#RA5931 2.00000000                                                        | CUSIP: 3133KMSU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9152318 | NS      | $7511485.40    | 0.05%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN I 5.05% 02/15/46                         | KINDER MORGAN INC REGD 5.05000000                                                                | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    600000 | NS      | $508863.74     | 0.00%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHS 299 300 3% 01/15/43                                | FREDDIE MAC STRIPS SER 299 CL 300 3.00000000                                                     | CUSIP: 3132HTJV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    131480 | NS      | $118796.10     | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS S 4.55% 02/20/48                         | BRISTOL-MYERS SQUIBB CO REGD 4.55000000                                                          | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1374000 | NS      | $1235433.27    | 0.01%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GLOBE LIFE INC 4.55% 09/15/28                          | GLOBE LIFE INC REGD 4.55000000                                                                   | CUSIP: 891027AS3<br>LEI: 5493001JFHKQOPP6XA71 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2907387.24    | 0.02%             | 2028-09-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM7321 3.12% 11/01/26                           | FANNIE MAE POOL UMBS P#AM7321 3.12000000                                                         | CUSIP: 3138L8D35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    910553 | NS      | $864002.29     | 0.01%             | 2026-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7589 2.5% 09/20/51                         | GINNIE MAE II POOL P#MA7589 2.50000000                                                           | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8429438 | NS      | $7316842.22    | 0.05%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MLMI 2004-A4 A2 V/R 08/25/34                           | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLMI 2 SER 2004-A4 CL A2 V/R REGD 3.51558900       | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32413 | NS      | $29755.94      | 0.00%             | 2034-08-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0179 V/R 12/01/37                             | FANNIE MAE POOL UMBS P#AD0179 V/R 4.31800000                                                     | CUSIP: 31418MFV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39257 | NS      | $39526.15      | 0.00%             | 2037-12-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2670 3% 01/01/52                              | FANNIE MAE POOL UMBS P#CB2670 3.00000000                                                         | CUSIP: 3140QM6G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9654996 | NS      | $8477326.99    | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2271 PC 7.25% 12/15/30                             | FREDDIE MAC REMICS SER 2271 CL PC 7.25000000                                                     | CUSIP: 3133TQKD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10646 | NS      | $11249.21      | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR1725 3.5% 02/01/43                            | FANNIE MAE POOL UMBS P#AR1725 3.50000000                                                         | CUSIP: 3138NX4K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32476 | NS      | $30387.93      | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2022-66 SB V/R 04/20/52                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-66 CL SB V/R 0.02429000                        | CUSIP: 38383RFV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7621033 | NS      | $147249.78     | 0.00%             | 2052-04-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESO 4.9% 06/01/44                         | CONTINENTAL RESOURCES REGD SER WI 4.90000000                                                     | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1610000 | NS      | $1193571.36    | 0.01%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNR 2008-76 US V/R 09/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-76 CL US V/R 1.54714000                        | CUSIP: 38375DUZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     97831 | NS      | $3206.87       | 0.00%             | 2038-09-20      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH7932 4.5% 08/01/41                            | FANNIE MAE POOL UMBS P#AH7932 4.50000000                                                         | CUSIP: 3138A9Y65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1036710 | NS      | $1027721.32    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#889588 5.5% 06/01/38                            | FANNIE MAE POOL UMBS P#889588 5.50000000                                                         | CUSIP: 31410KJ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       834 | NS      | $864.94        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PMTCR 2021-1R A V/R 02/27/24                           | PMT CREDIT RISK TRANSFER TRUST 2021-1R SER 2021-1R CL A V/R REGD 144A P/P 7.28686000             | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9786666 | NS      | $9346866.92    | 0.06%             | 2024-02-27      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3238 3.5% 01/01/48                            | FANNIE MAE POOL UMBS P#MA3238 3.50000000                                                         | CUSIP: 31418CS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1903939 | NS      | $1765509.74    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE0049 6% 09/01/29                              | FANNIE MAE POOL UMBS P#AE0049 6.00000000                                                         | CUSIP: 31419ABT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16248 | NS      | $16492.72      | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CH ROBINSON WORL 4.2% 04/15/28                         | CH ROBINSON WORLDWIDE REGD 4.20000000                                                            | CUSIP: 12541WAA8<br>LEI: 529900WNWN5L0OVDHA79 | Long             | DBT              | CORP              | US        |   6000000 | NS      | $5666475.24    | 0.04%             | 2028-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2324 8% 11/20/26                             | GINNIE MAE II POOL P#2324 8.00000000                                                             | CUSIP: 36202CSM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       246 | NS      | $251.00        | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1L1286 V/R 05/01/36                            | FREDDIE MAC NON GOLD POOL P#1L1286 V/R 3.25000000                                                | CUSIP: 3128Q3NB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10400 | NS      | $10572.89      | 0.00%             | 2036-05-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| AETNA INC 4.5% 05/15/42                                | AETNA INC REGD 4.50000000                                                                        | CUSIP: 00817YAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4205000 | NS      | $3626937.18    | 0.02%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SCENTRE GROUP TR 3.5% 02/12/25                         | SCENTRE GROUP TRUST 1/2 REGD P/P 3.50000000                                                      | CUSIP: 806213AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   1390000 | NS      | $1330292.63    | 0.01%             | 2025-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 1993-247 FE V/R 12/25/23                           | FANNIE MAE REMICS SER 1993-247 CL FE V/R 5.38871000                                              | CUSIP: 31359FP77<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       276 | NS      | $276.54        | 0.00%             | 2023-12-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| JPMMT 2005-A1 3A V/R 02/25/35                          | JP MORGAN MORTGAGE TRUST 2005-A1 SER 2005-A1 CL 3A4 V/R REGD 3.53511300                          | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31396 | NS      | $29285.97      | 0.00%             | 2035-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| TAOT 2020-B A4 1.66% 09/15/25                          | TOYOTA AUTO RECEIVABLES 2020-B OWNER TRUST SER 2020-B CL A4 REGD 1.66000000                      | CUSIP: 89239RAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3189000 | NS      | $3082487.08    | 0.02%             | 2025-09-15      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM6559 2% 03/01/51                              | FANNIE MAE POOL UMBS P#FM6559 2.00000000                                                         | CUSIP: 3140XAJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4636798 | NS      | $3780618.09    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RETAIL  3.5% 10/15/27                         | NATIONAL RETAIL PROP INC REGD 3.50000000                                                         | CUSIP: 637417AK2<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    400000 | NS      | $362754.72     | 0.00%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2489 5% 08/01/52                              | FANNIE MAE POOL UMBS P#FS2489 5.00000000                                                         | CUSIP: 3140XHXT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11080747 | NS      | $10932140.41   | 0.07%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2010-42 S V/R 05/25/40                             | FANNIE MAE REMICS SER 2010-42 CL S V/R 2.01129000                                                | CUSIP: 31398PSE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33723 | NS      | $1971.28       | 0.00%             | 2040-05-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT 2.3% 02/01/32                         | CHARTER COMM OPT LLC/CAP REGD 2.30000000                                                         | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | NS      | $2946193.84    | 0.02%             | 2032-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER H 3.375% 03/24/29                         | GSK CONSUMER HEALTHCARE REGD 3.37500000                                                          | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   2865000 | NS      | $2576311.80    | 0.02%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-54CB  V/R 11/25/35                          | ALTERNATIVE LOAN TRUST 2005-54CB SER 2005-54CB CL 1A2 V/R REGD 0.46129000                        | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    399049 | NS      | $16653.20      | 0.00%             | 2035-11-25      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC 6.5% 03/15/41                            | WELLTOWER INC REGD 6.50000000                                                                    | CUSIP: 42217KAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | NS      | $697058.91     | 0.00%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.375% 11/15/39                           | UNITED STATES TREASURY BOND 4.37500000                                                           | CUSIP: 912810QD3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  11454000 | NS      | $11943032.08   | 0.08%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-S4 2A1 V/R 06/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-S4 SER 2003-S4 CL 2A10 V/R REGD 5.39354700   | CUSIP: 9292275C6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8625 | NS      | $8098.93       | 0.00%             | 2033-06-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER C 3.75% 03/01/45                         | ALABAMA POWER CO REGD 3.75000000                                                                 | CUSIP: 010392FM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    182000 | NS      | $141396.84     | 0.00%             | 2045-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NRZT 2018-1A A1A V/R 12/25/57                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-1 SER 2018-1A CL A1A V/R REGD 144A P/P 4.00000000       | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1437523 | NS      | $1348109.22    | 0.01%             | 2057-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CSFB 2004-8 1A4 5.5% 12/25/34                          | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES SER SER 2004-8 CL 1A4 REGD 5.50000000             | CUSIP: 22541SU55<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     62941 | NS      | $60312.00      | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE C 4.1% 06/15/48                         | PUBLIC SERVICE COLORADO REGD 4.10000000                                                          | CUSIP: 744448CQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2515000 | NS      | $2082911.71    | 0.01%             | 2048-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC3428 2.5% 06/01/51                            | FREDDIE MAC POOL UMBS P#QC3428 2.50000000                                                        | CUSIP: 3133AMYZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1413737 | NS      | $1200347.29    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERIC 4.45% 06/12/25                         | REYNOLDS AMERICAN INC REGD 4.45000000                                                            | CUSIP: 761713BG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4891286.20    | 0.03%             | 2025-06-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6929 3.5% 11/01/42                            | FANNIE MAE POOL UMBS P#AB6929 3.50000000                                                         | CUSIP: 31417DVX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3210016 | NS      | $3004049.86    | 0.02%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-22 SC V/R 03/25/37                            | FANNIE MAE REMICS SER 2007-22 CL SC V/R 1.69129000                                               | CUSIP: 31396PU90<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1871 | NS      | $7.74          | 0.00%             | 2037-03-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| EQT CORP 3.9% 10/01/27                                 | EQT CORP REGD 3.90000000                                                                         | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    805000 | NS      | $743148.02     | 0.00%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNR 2009-72 SM V/R 08/16/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-72 CL SM V/R 1.92371000                        | CUSIP: 38373AGM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    115013 | NS      | $6944.39       | 0.00%             | 2039-08-16      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| CGCMT 2015-GC 3.778% 09/10/25                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC33 SER 2015-GC33 CL A4 REGD 3.77800000                | CUSIP: 29425AAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    717000 | NS      | $682347.10     | 0.00%             | 2058-09-10      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| GNMA P#AE9881 3% 05/15/43                              | GINNIE MAE I POOL P#AE9881 3.00000000                                                            | CUSIP: 36181D6S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    286261 | NS      | $262105.23     | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BX4955 3% 09/20/50                           | GINNIE MAE II POOL P#BX4955 3.00000000                                                           | CUSIP: 3617Q9QG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2681319 | NS      | $2394236.45    | 0.02%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEASEPLAN CORP 2.875% 10/24/24                         | LEASEPLAN CORPORATION NV REGD 144A P/P 2.87500000                                                | CUSIP: 52206AAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   5500000 | NS      | $5160323.91    | 0.03%             | 2024-10-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0737 V/R 11/01/36                            | FREDDIE MAC NON GOLD POOL P#1Q0737 V/R 3.99300000                                                | CUSIP: 3128S4ZA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17398 | NS      | $17224.09      | 0.00%             | 2036-11-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4625 3.5% 06/01/52                            | FANNIE MAE POOL UMBS P#MA4625 3.50000000                                                         | CUSIP: 31418ED72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24239520 | NS      | $22028666.33   | 0.14%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4071 4.5% 11/20/46                         | GINNIE MAE II POOL P#MA4071 4.50000000                                                           | CUSIP: 36179SQY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1374794 | NS      | $1383960.65    | 0.01%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#752786 6% 09/01/33                              | FANNIE MAE POOL UMBS P#752786 6.00000000                                                         | CUSIP: 31403MJ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9124 | NS      | $9101.09       | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE0828 3.5% 02/01/41                            | FANNIE MAE POOL UMBS P#AE0828 3.50000000                                                         | CUSIP: 31419A4N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3313056 | NS      | $3100766.48    | 0.02%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2009-6 SA V/R 02/16/39                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-6 CL SA V/R 1.77371000                         | CUSIP: 38375Y5V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41178 | NS      | $252.82        | 0.00%             | 2039-02-16      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN2899 2.59% 09/01/28                           | FANNIE MAE POOL UMBS P#AN2899 2.59000000                                                         | CUSIP: 3138LFGH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7520983 | NS      | $6849589.90    | 0.04%             | 2028-09-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| GNR 2008-17 IO 5.5% 02/20/38                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-17 CL IO 5.50000000                            | CUSIP: 383742TE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14312 | NS      | $1.69          | 0.00%             | 2038-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AV3992 3% 12/01/28                              | FANNIE MAE POOL UMBS P#AV3992 3.00000000                                                         | CUSIP: 3138XFNJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    256116 | NS      | $245479.62     | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 4.812% 03/15/39                         | VERIZON COMMUNICATIONS REGD SER WI 4.81200000                                                    | CUSIP: 92343VDR2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   7941000 | NS      | $7273897.87    | 0.05%             | 2039-03-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FHR 1498 I V/R 04/15/23                                | FREDDIE MAC REMICS SER 1498 CL I V/R 5.46786000                                                  | CUSIP: 312915RW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       225 | NS      | $224.75        | 0.00%             | 2023-04-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| AGFMT 2006-1 A5 V/R 12/25/35                           | AMERICAN GENERAL MORTGAGE LOAN TRUST 2006-1 SER 2006-1 CL A5 V/R REGD 144A P/P 5.75000000        | CUSIP: 02639MAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       304 | NS      | $319.28        | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03666 7.5% 01/01/38                           | FREDDIE MAC GOLD POOL P#G03666 7.50000000                                                        | CUSIP: 3128M5MP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38345 | NS      | $40309.99      | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7768 3% 12/20/51                           | GINNIE MAE II POOL P#MA7768 3.00000000                                                           | CUSIP: 36179WTZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2220270 | NS      | $1983869.07    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR G93-27 FD V/R 08/25/23                             | FANNIE MAE REMICS SER G93-27 CL FD V/R 5.26871000                                                | CUSIP: 31359B3C9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        24 | NS      | $23.81         | 0.00%             | 2023-08-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H07 GA V/R 03/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H07 CL GA V/R 4.31157000                       | CUSIP: 38375BQ70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     94977 | NS      | $94228.15      | 0.00%             | 2063-03-20      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| CMLTI 2003-1 PO2 ZCP 10/25/33                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2003-1 CL PO2 ZCP REGD 0.00000000                          | CUSIP: 17307GBP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        97 | NS      | $88.51         | 0.00%             | 2033-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 2054 PV 7.5% 05/15/28                              | FREDDIE MAC REMICS SER 2054 CL PV 7.50000000                                                     | CUSIP: 3133TE4B7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4360 | NS      | $4504.59       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G05190 7.5% 09/01/38                           | FREDDIE MAC GOLD POOL P#G05190 7.50000000                                                        | CUSIP: 3128M7C38<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15369 | NS      | $15865.37      | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH C 4.15% 05/15/45                         | RAYTHEON TECH CORP REGD 4.15000000                                                               | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1683000 | NS      | $1403026.22    | 0.01%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| SCFET 2021-1A  1.93% 09/20/30                          | SCF EQUIPMENT LEASING 2021-1 LLC SER 2021-1A CL D REGD 144A P/P 1.93000000                       | CUSIP: 783897AF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3600000 | NS      | $3163159.08    | 0.02%             | 2030-09-20      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| RAST 2004-A7 A6 5.5% 10/25/34                          | RESIDENTIAL ASSET SECURITIZATION TRUST 2004-A7 SER 2004-A7 CL A6 REGD 5.50000000                 | CUSIP: 45660NV51<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1242596 | NS      | $1162738.23    | 0.01%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FKH 2022-SFR1 4.145% 05/17/27                          | FIRSTKEY HOMES 2022-SFR1 TRUST SER 2022-SFR1 CL A REGD 144A P/P 4.14500000                       | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10788985 | NS      | $10118308.41   | 0.06%             | 2039-05-17      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 6.3% 04/15/40                         | WILLIAMS COMPANIES INC REGD 6.30000000                                                           | CUSIP: 96950FAF1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    333000 | NS      | $340164.42     | 0.00%             | 2040-04-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FHMS K-150 A2 V/R 09/25/32                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K-150 CL A2 V/R 3.71000000           | CUSIP: 3137H9C98<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11105000 | NS      | $10406488.84   | 0.07%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4747 5% 07/20/40                             | GINNIE MAE II POOL P#4747 5.00000000                                                             | CUSIP: 36202FHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78366 | NS      | $79411.64      | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-57 1AP ZCP 07/25/43                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-57 CL 1AP ZCP 0.00000000                  | CUSIP: 31394JDD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13192 | NS      | $10186.56      | 0.00%             | 2043-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 02/11/32                              | UBS GROUP AG REGD V/R 144A P/P MTN 2.09500000                                                    | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   6420000 | NS      | $4833572.74    | 0.03%             | 2032-02-11      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FHR 1863 Z 6.5% 07/15/26                               | FREDDIE MAC REMICS SER 1863 CL Z 6.50000000                                                      | CUSIP: 3133T7DV8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1937 | NS      | $1941.95       | 0.00%             | 2026-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CA 5.875% 11/15/40                         | TIME WARNER CABLE LLC REGD 5.87500000                                                            | CUSIP: 88732JAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1275000 | NS      | $1110814.21    | 0.01%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#AX5316 4.5% 01/01/42                            | FANNIE MAE POOL UMBS P#AX5316 4.50000000                                                         | CUSIP: 3138Y64A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1043184 | NS      | $1034138.21    | 0.01%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WOART 2020-C A 0.48% 11/17/25                          | WORLD OMNI AUTO RECEIVABLES TRUST 2020-C SER 2020-C CL A3 REGD 0.48000000                        | CUSIP: 98163CAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1392157 | NS      | $1355655.05    | 0.01%             | 2025-11-17      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| FHR 2466 PH 6.5% 06/15/32                              | FREDDIE MAC REMICS SER 2466 CL PH 6.50000000                                                     | CUSIP: 31392MN99<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19221 | NS      | $19921.99      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORDR 2021-2 A 1.53% 11/15/26                          | FORD CREDIT AUTO OWNER TRUST 2021-REV2 SER 2021-2 CL A REGD 144A P/P 1.53000000                  | CUSIP: 345285AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7993000 | NS      | $6929047.77    | 0.04%             | 2034-05-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7368 3% 05/20/51                           | GINNIE MAE II POOL P#MA7368 3.00000000                                                           | CUSIP: 36179WFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4839945 | NS      | $4333074.05    | 0.03%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0278 3.5% 05/01/42                            | FANNIE MAE POOL UMBS P#BF0278 3.50000000                                                         | CUSIP: 3140FXJY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2635499 | NS      | $2506240.83    | 0.02%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8090 2% 09/01/50                              | FREDDIE MAC POOL UMBS P#SD8090 2.00000000                                                        | CUSIP: 3132DV7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5557456 | NS      | $4545258.10    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-91 ES V/R 10/25/37                            | FANNIE MAE REMICS SER 2007-91 CL ES V/R 2.07129000                                               | CUSIP: 31396XYW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    118089 | NS      | $9566.39       | 0.00%             | 2037-10-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| FHR 2110 PG 6% 01/15/29                                | FREDDIE MAC REMICS SER 2110 CL PG 6.00000000                                                     | CUSIP: 3133THLK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30432 | NS      | $30881.73      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-44 MY 7% 09/25/31                             | FANNIE MAE REMICS SER 2001-44 CL MY 7.00000000                                                   | CUSIP: 3139205U0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19026 | NS      | $20049.59      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-43 DO ZCP 06/25/36                            | FANNIE MAE REMICS SER 2006-43 CL DO ZCP 0.00000000                                               | CUSIP: 31395DF38<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23360 | NS      | $19306.56      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC 4% 09/18/42                            | ASTRAZENECA PLC REGD 4.00000000                                                                  | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    540000 | NS      | $466785.23     | 0.00%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-78 PE 6.00% 08/25/37                          | FANNIE MAE REMICS SER 2007-78 CL PE 6.00000000                                                   | CUSIP: 31396W5Y8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19223 | NS      | $19574.05      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BU7638 2.5% 09/20/50                         | GINNIE MAE II POOL P#BU7638 2.50000000                                                           | CUSIP: 3617N9PX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5019090 | NS      | $4399897.02    | 0.03%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4159 2.5% 10/01/50                            | FANNIE MAE POOL UMBS P#MA4159 2.50000000                                                         | CUSIP: 31418DTR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  41015314 | NS      | $34918279.99   | 0.22%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H15 FA V/R 07/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H15 CL FA V/R 4.34157000                       | CUSIP: 38378U8D2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1202860 | NS      | $1189792.71    | 0.01%             | 2064-07-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNR 1997-27 J 7.5% 04/18/27                            | FANNIE MAE REMICS SER 1997-27 CL J 7.50000000                                                    | CUSIP: 31359NR78<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1723 | NS      | $1781.41       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 01/24/29                            | MORGAN STANLEY REGD V/R MTN SER GMTN 3.77200000                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4371000 | NS      | $4002762.57    | 0.03%             | 2029-01-24      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4307 3% 04/01/51                              | FANNIE MAE POOL UMBS P#MA4307 3.00000000                                                         | CUSIP: 31418DYD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6343020 | NS      | $5575724.66    | 0.04%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CPS 2022-C A 4.18% 02/15/24                            | CPS AUTO RECEIVABLES TRUST 2022-C SER 2022-C CL A REGD 144A P/P 4.18000000                       | CUSIP: 12664DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4721088 | NS      | $4679390.27    | 0.03%             | 2030-04-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNW 2005-W3 2AF V/R 03/25/45                           | FANNIE MAE TRUST 2005-W3 SER 2005-W3 CL 2AF V/R 4.60871000                                       | CUSIP: 31394FSB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    566455 | NS      | $560207.09     | 0.00%             | 2045-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| CSX CORP 4.65% 03/01/68                                | CSX CORP REGD 4.65000000                                                                         | CUSIP: 126408HL0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1685071.64    | 0.01%             | 2068-03-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.5% 01/15/29                                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.50000000                                        | CUSIP: 912810PZ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    573261 | NS      | $597675.69     | 0.00%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H03 FA V/R 08/20/60                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H03 CL FA V/R 4.14157000                       | CUSIP: 38375BF64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       325 | NS      | $321.38        | 0.00%             | 2060-08-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB5502 3.5% 07/01/42                            | FANNIE MAE POOL UMBS P#AB5502 3.50000000                                                         | CUSIP: 31417CDG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    525993 | NS      | $492361.44     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEAL 3.106% 11/15/39                         | ASCENSION HEALTH REGD SER B 3.10600000                                                           | CUSIP: 04352EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2670000 | NS      | $2051047.11    | 0.01%             | 2039-11-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRO V/R 05/14/32                         | CREDIT SUISSE GROUP AG REGD V/R 144A P/P 3.09100000                                              | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2915000 | NS      | $2014108.87    | 0.01%             | 2032-05-14      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNR 2006-109 PO ZCP 11/25/36                           | FANNIE MAE REMICS SER 2006-109 CL PO ZCP 0.00000000                                              | CUSIP: 31396LQW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5439 | NS      | $4421.98       | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2007-26 SC V/R 05/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-26 CL SC V/R 1.84714000                        | CUSIP: 38375KBN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     71796 | NS      | $2516.04       | 0.00%             | 2037-05-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FNGT 2017-T1  2.898% 06/25/27                          | FANNIE MAE GRANTOR TRUST 2017-T1 SER 2017-T1 CL A 2.89800000                                     | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6507350 | NS      | $6069439.10    | 0.04%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q10378 3% 08/01/42                             | FREDDIE MAC GOLD POOL P#Q10378 3.00000000                                                        | CUSIP: 3132HLM34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    701967 | NS      | $639462.83     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.125% 08/31/28                           | UNITED STATES TREASURY NOTE 1.12500000                                                           | CUSIP: 91282CCV1<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 113725000 | NS      | $97101602.95   | 0.62%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS6601 3.54% 11/01/32                           | FANNIE MAE POOL UMBS P#BS6601 3.54000000                                                         | CUSIP: 3140LHKP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10031000 | NS      | $9294684.88    | 0.06%             | 2032-11-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDE 2.749% 12/03/30                         | BANCO SANTANDER SA REGD 2.74900000                                                               | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1000000 | NS      | $765901.07     | 0.00%             | 2030-12-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CSFB 2004-4 2A4 5.5% 09/25/34                          | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES SER SER 2004-4 CL 2A4 REGD 5.50000000             | CUSIP: 22541SUD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19021 | NS      | $18075.29      | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 2262 Z 7.5% 10/15/30                               | FREDDIE MAC REMICS SER 2262 CL Z 7.50000000                                                      | CUSIP: 3133TQ5B9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       929 | NS      | $992.72        | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO7225 4% 07/01/42                              | FANNIE MAE POOL UMBS P#AO7225 4.00000000                                                         | CUSIP: 3138LYA31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    161633 | NS      | $154842.80     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN  4.35% 01/15/47                         | UNITED MEXICAN STATES REGD 4.35000000                                                            | CUSIP: 91087BAB6<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |     42000 | NS      | $31557.89      | 0.00%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET M 3.85% 06/15/25                         | ELEMENT FLEET MANAGEMENT REGD 144A P/P 3.85000000                                                | CUSIP: 286181AD4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   3000000 | NS      | $2840031.87    | 0.02%             | 2025-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP 2.95% 12/01/29                         | LABORATORY CORP OF AMER REGD 2.95000000                                                          | CUSIP: 50540RAW2<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |   2190000 | NS      | $1886379.98    | 0.01%             | 2029-12-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC 2.25% 05/01/30                              | BIOGEN INC REGD 2.25000000                                                                       | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   1364000 | NS      | $1111238.74    | 0.01%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHR 4048 FJ V/R 07/15/37                               | FREDDIE MAC REMICS SER 4048 CL FJ V/R 3.40495100                                                 | CUSIP: 3137AQUG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    304383 | NS      | $294834.15     | 0.00%             | 2037-07-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA7497 2.5% 10/01/35                            | FANNIE MAE POOL UMBS P#CA7497 2.50000000                                                         | CUSIP: 3140QFKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150375 | NS      | $137968.08     | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SDART 2022-4 A 4.14% 02/16/27                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-4 SER 2022-4 CL A3 REGD 4.14000000                   | CUSIP: 80286FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13225000 | NS      | $12951036.19   | 0.08%             | 2027-02-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA6505 3% 01/01/50                              | FREDDIE MAC POOL UMBS P#QA6505 3.00000000                                                        | CUSIP: 3133A1GN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2128074 | NS      | $1885793.24    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-115 ES V/R 12/25/36                           | FANNIE MAE REMICS SER 2006-115 CL ES V/R 9.00516000                                              | CUSIP: 31396LT26<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1889 | NS      | $2010.87       | 0.00%             | 2036-12-25      | Variable      | 9.01%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785158 V/R 09/20/70                          | GINNIE MAE II POOL P#785158 V/R 3.07200000                                                       | CUSIP: 3622AATP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4015758 | NS      | $3615889.65    | 0.02%             | 2070-09-20      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| JOHN SEVIER CO 4.626% 01/15/42                         | JOHN SEVIER COMB CYCLE REGD 4.62600000                                                           | CUSIP: 478045AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    405649 | NS      | $380733.44     | 0.00%             | 2042-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FHR 3117 OG ZCP 02/15/36                               | FREDDIE MAC REMICS SER 3117 CL OG ZCP 0.00000000                                                 | CUSIP: 31396HVT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9514 | NS      | $8103.02       | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS8386 2.5% 11/01/31                            | FANNIE MAE POOL UMBS P#AS8386 2.50000000                                                         | CUSIP: 3138WJJ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1591605 | NS      | $1488266.91    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO O 3.85% 06/15/46                         | CON EDISON CO OF NY INC REGD 3.85000000                                                          | CUSIP: 209111FH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2940000 | NS      | $2278970.14    | 0.01%             | 2046-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 09/18/24                          | DEUTSCHE BANK NY REGD V/R 2.22200000                                                             | CUSIP: 251526CC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2835000 | NS      | $2738110.67    | 0.02%             | 2024-09-18      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDI 3.363% 06/30/31                         | FLEX INTERMEDIATE HOLDCO REGD 144A P/P 3.36300000                                                | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |   3360000 | NS      | $2622210.53    | 0.02%             | 2031-06-30      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 06/25/24                         | NATWEST GROUP PLC REGD V/R 4.51900000                                                            | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    555000 | NS      | $549841.27     | 0.00%             | 2024-06-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| UMBS P#256803 6% 07/01/27                              | FANNIE MAE POOL UMBS P#256803 6.00000000                                                         | CUSIP: 31371NGL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12451 | NS      | $12638.07      | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-3 A26 5.5% 04/25/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-3 SER 2004-3 CL A26 REGD 5.50000000                         | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13466 | NS      | $12728.44      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONTL AIRLINES 201 4% 10/29/24                         | CONTL AIRLINES 2012-2 A REGD SER 2-A 4.00000000                                                  | CUSIP: 210795QB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3668705 | NS      | $3500446.35    | 0.02%             | 2024-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BH4684 4% 06/01/47                              | FANNIE MAE POOL UMBS P#BH4684 4.00000000                                                         | CUSIP: 3140GTF21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1478242 | NS      | $1411329.45    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALLYA 2019-4 A 1.84% 06/17/24                          | ALLY AUTO RECEIVABLES TRUST 2019-4 SER 2019-4 CL A3 REGD 1.84000000                              | CUSIP: 02007TAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    269833 | NS      | $269476.83     | 0.00%             | 2024-06-17      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A77292 5% 04/01/38                             | FREDDIE MAC GOLD POOL P#A77292 5.00000000                                                        | CUSIP: 3128LBC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64389 | NS      | $65639.48      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#929331 6% 04/01/38                              | FANNIE MAE POOL UMBS P#929331 6.00000000                                                         | CUSIP: 31412MPQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9418 | NS      | $9560.50       | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H15 FA V/R 05/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H15 CL FA V/R 4.29157000                       | CUSIP: 38375BUB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        18 | NS      | $17.32         | 0.00%             | 2062-05-20      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOL 4.375% 03/17/25                         | CREDIT AGRICOLE SA REGD P/P 4.37500000                                                           | CUSIP: 225313AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |    305000 | NS      | $294216.68     | 0.00%             | 2025-03-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC 1.9% 02/15/31                          | BAE SYSTEMS PLC REGD 144A P/P 1.90000000                                                         | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   6886000 | NS      | $5339805.99    | 0.03%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FNR 2003-42 GB 4% 05/25/33                             | FANNIE MAE REMICS SER 2003-42 CL GB 4.00000000                                                   | CUSIP: 31393BUX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7226 | NS      | $7024.80       | 0.00%             | 2033-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE CHI 4.556% 11/01/52                         | NATIONWIDE CHILDREN HOSP REGD 4.55600000                                                         | CUSIP: 63861UAA7<br>LEI: 549300P18KU1WR8JWZ05 | Long             | DBT              | CORP              | US        |    646000 | NS      | $573118.81     | 0.00%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC P#782870 V/R 09/01/34                            | FREDDIE MAC NON GOLD POOL P#782870 V/R 4.07300000                                                | CUSIP: 31349UFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48098 | NS      | $48903.93      | 0.00%             | 2034-09-01      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08750 3% 03/01/47                             | FREDDIE MAC GOLD POOL P#G08750 3.00000000                                                        | CUSIP: 3128MJZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    618298 | NS      | $553036.94     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2679 4% 03/20/45                           | GINNIE MAE II POOL P#MA2679 4.00000000                                                           | CUSIP: 36179Q6Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175680 | NS      | $168981.50     | 0.00%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.25% 08/15/46                            | UNITED STATES TREASURY BOND 2.25000000                                                           | CUSIP: 912810RT7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  39102100 | NS      | $27672372.78   | 0.18%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNR 2004-71 ST V/R 09/20/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-71 CL ST V/R 7.00000000                        | CUSIP: 38374JBT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13785 | NS      | $13865.33      | 0.00%             | 2034-09-20      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| RENEW 2017-1A  3.67% 09/20/52                          | RENEW 2017-1 SER 2017-1A CL A REGD 144A P/P 3.67000000                                           | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    914105 | NS      | $826515.17     | 0.01%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4978 4.5% 03/20/41                           | GINNIE MAE II POOL P#4978 4.50000000                                                             | CUSIP: 36202FQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    235157 | NS      | $234696.67     | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WOART 2020-C A 0.61% 10/15/26                          | WORLD OMNI AUTO RECEIVABLES TRUST 2020-C SER 2020-C CL A4 REGD 0.61000000                        | CUSIP: 98163CAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3043000 | NS      | $2834400.83    | 0.02%             | 2026-10-15      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| NORTH CAROLINA ST  3% 01/01/33                         | NORTH CAROLINA ST HSG FIN AGY REGD B/E 3.00000000                                                | CUSIP: 658207RX5<br>LEI: EC4EE0PS5OP5O69B5C39 | Long             | DBT              | MUN               | US        |    190000 | NS      | $189548.48     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#756024 8% 09/01/28                              | FANNIE MAE POOL UMBS P#756024 8.00000000                                                         | CUSIP: 31403R4H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2945 | NS      | $2977.69       | 0.00%             | 2028-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 11/02/28                              | BARCLAYS PLC REGD V/R 7.38500000                                                                 | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  11338000 | NS      | $11817915.77   | 0.08%             | 2028-11-02      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| FHR 3051 DP V/R 10/15/25                               | FREDDIE MAC REMICS SER 3051 CL DP V/R 9.02941600                                                 | CUSIP: 31396CTQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4558 | NS      | $4315.12       | 0.00%             | 2025-10-15      | Variable      | 9.03%                 | No            |                  2 | On Loan: No      |
| UMBS P#890385 6% 12/01/39                              | FANNIE MAE POOL UMBS P#890385 6.00000000                                                         | CUSIP: 31410LF23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    530020 | NS      | $551189.24     | 0.00%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J28209 3% 05/01/29                             | FREDDIE MAC GOLD POOL P#J28209 3.00000000                                                        | CUSIP: 31307HDN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    462134 | NS      | $444877.22     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/26/28                         | JPMORGAN CHASE & CO REGD V/R 4.32300000                                                          | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1995000 | NS      | $1905198.75    | 0.01%             | 2028-04-26      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BG7411 4.5% 05/20/48                         | GINNIE MAE II POOL P#BG7411 4.50000000                                                           | CUSIP: 3617GSGU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2703823 | NS      | $2638582.96    | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL1040 3.81% 12/01/28                           | FANNIE MAE POOL UMBS P#BL1040 3.81000000                                                         | CUSIP: 3140HSEN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | NS      | $6754686.75    | 0.04%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTM 4% 11/15/25                         | MID-AMERICA APARTMENTS REGD 4.00000000                                                           | CUSIP: 59523UAM9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1457694.56    | 0.01%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MSC 2016-UB11 2.531% 08/15/26                          | MORGAN STANLEY CAPITAL I TRUST 2016-UB11 SER 2016-UB11 CL A3 REGD 2.53100000                     | CUSIP: 61767FAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19529784 | NS      | $17556691.98   | 0.11%             | 2049-08-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR  4.27% 05/15/47                         | TEACHERS INSUR & ANNUITY REGD 144A P/P 4.27000000                                                | CUSIP: 878091BF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3360000 | NS      | $2747354.23    | 0.02%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION C 3.439% 05/13/41                         | ALIMENTATION COUCHE-TARD REGD 144A P/P 3.43900000                                                | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   2460000 | NS      | $1751087.26    | 0.01%             | 2041-05-13      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03369 6.5% 01/01/35                           | FREDDIE MAC GOLD POOL P#G03369 6.50000000                                                        | CUSIP: 3128M5CE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46147 | NS      | $47637.93      | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1284 3% 09/20/43                           | GINNIE MAE II POOL P#MA1284 3.00000000                                                           | CUSIP: 36179NM96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    409597 | NS      | $374294.88     | 0.00%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#928670 7% 09/01/37                              | FANNIE MAE POOL UMBS P#928670 7.00000000                                                         | CUSIP: 31412LW71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22931 | NS      | $22852.53      | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2722 PF V/R 12/15/33                               | FREDDIE MAC REMICS SER 2722 CL PF V/R 4.91786000                                                 | CUSIP: 31394NG93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     86728 | NS      | $86154.19      | 0.00%             | 2033-12-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| SART 2018-1 4.76% 06/15/2025                           | SART 2018-1 4.75 15 JUN 2025   REGD 4.76000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   1911477 | NS      | $1885863.30    | 0.01%             | 2025-06-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.25% 11/15/24                            | UNITED STATES TREASURY NOTE 2.25000000                                                           | CUSIP: 912828G38<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  20529000 | NS      | $19716661.11   | 0.13%             | 2024-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8064 4% 05/01/50                              | FREDDIE MAC POOL UMBS P#SD8064 4.00000000                                                        | CUSIP: 3132DV5Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    404951 | NS      | $385242.21     | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7706 3% 11/20/51                           | GINNIE MAE II POOL P#MA7706 3.00000000                                                           | CUSIP: 36179WR34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    473573 | NS      | $423467.46     | 0.00%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 3147 PO ZCP 04/15/36                               | FREDDIE MAC REMICS SER 3147 CL PO ZCP 0.00000000                                                 | CUSIP: 31396NLC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34735 | NS      | $31184.94      | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR G93-37 H ZCP 09/25/23                              | FANNIE MAE REMICS SER G93-37 CL H ZCP 0.00000000                                                 | CUSIP: 31359E2U4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         4 | NS      | $3.84          | 0.00%             | 2023-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VZOT 2019-C B 2.06% 12/20/22                           | VERIZON OWNER TRUST 2019-C SER 2019-C CL B REGD 2.06000000                                       | CUSIP: 92348AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9211000 | NS      | $9174972.09    | 0.06%             | 2024-04-22      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| LYONDELLBASELL  5.75% 04/15/24                         | LYONDELLBASELL IND NV REGD 5.75000000                                                            | CUSIP: 552081AK7<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | DBT              | CORP              | US        |   1453000 | NS      | $1456867.71    | 0.01%             | 2024-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C03520 4% 09/01/40                             | FREDDIE MAC GOLD POOL P#C03520 4.00000000                                                        | CUSIP: 31292K4D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    244278 | NS      | $234854.15     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER S V/R 11/22/32                         | BANCO SANTANDER SA REGD V/R 3.22500000                                                           | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2000000 | NS      | $1510214.26    | 0.01%             | 2032-11-22      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE  2% 09/15/23                         | GRAY OAK PIPELINE LLC REGD 144A P/P 2.00000000                                                   | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1220000 | NS      | $1186778.63    | 0.01%             | 2023-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#753174 4% 12/01/33                              | FANNIE MAE POOL UMBS P#753174 4.00000000                                                         | CUSIP: 31403MXB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27295 | NS      | $26307.88      | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK N 4.75% 07/28/25                         | ABN AMRO BANK NV REGD 144A P/P 4.75000000                                                        | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   5000000 | NS      | $4849050.00    | 0.03%             | 2025-07-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM6128 2.5% 02/01/51                            | FANNIE MAE POOL UMBS P#FM6128 2.50000000                                                         | CUSIP: 3140X9Y25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4852140 | NS      | $4121890.70    | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT 3.5% 03/01/42                         | CHARTER COMM OPT LLC/CAP REGD 3.50000000                                                         | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8745000 | NS      | $5603415.95    | 0.04%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2010-49 SC V/R 03/25/40                            | FANNIE MAE REMICS SER 2010-49_  CL SC V/R 3.88258000                                             | CUSIP: 31398P5R6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    105268 | NS      | $100677.54     | 0.00%             | 2040-03-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC 4.95% 09/15/52                          | HOME DEPOT INC REGD 4.95000000                                                                   | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   2189000 | NS      | $2101090.99    | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MDPK 2021-59A A V/R 01/18/34                           | MADISON PARK FUNDING LIX LTD SER 2021-59A CL A V/R REGD 144A P/P 5.33371000                      | CUSIP: 55822EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20000000 | NS      | $19637240.00   | 0.13%             | 2034-01-18      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| OPTN 2022-A A 5.05% 06/09/31                           | OPORTUN ISSUANCE TRUST 2022-3 SER 2022-A CL A REGD 144A P/P 5.05000000                           | CUSIP: 68378NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10500000 | NS      | $10130545.95   | 0.06%             | 2031-06-09      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNR 2003-74 SH V/R 08/25/33                            | FANNIE MAE REMICS SER 2003-74 CL SH V/R 2.27032200                                               | CUSIP: 31393EBW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7969 | NS      | $7298.85       | 0.00%             | 2033-08-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1998 5% 06/20/44                           | GINNIE MAE II POOL P#MA1998 5.00000000                                                           | CUSIP: 36179QGF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    352086 | NS      | $358083.76     | 0.00%             | 2044-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 2988 AF V/R 06/15/35                               | FREDDIE MAC REMICS SER 2988 CL AF V/R 4.61786000                                                 | CUSIP: 31395UVT5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     43395 | NS      | $42464.17      | 0.00%             | 2035-06-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR AC 1.85% 09/16/26                         | NISSAN MOTOR ACCEPTANCE REGD 144A P/P MTN 1.85000000                                             | CUSIP: 65480CAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6194000 | NS      | $5170988.06    | 0.03%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L 3.5% 01/15/25                         | VORNADO REALTY LP REGD 3.50000000                                                                | CUSIP: 929043AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | NS      | $746326.05     | 0.00%             | 2025-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC CO 5.625% 11/15/43                              | MOSAIC CO REGD 5.62500000                                                                        | CUSIP: 61945CAE3<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | DBT              | CORP              | US        |   2055000 | NS      | $1913372.26    | 0.01%             | 2043-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION B 4.65% 11/15/28                         | CONSTELLATION BRANDS INC REGD 4.65000000                                                         | CUSIP: 21036PBC1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   4780000 | NS      | $4622649.67    | 0.03%             | 2028-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST  5.754% 12/15/28                         | NEW JERSEY ST TRANSPRTN TRUST REGD N/C B/E 5.75400000                                            | CUSIP: 646136XS5<br>LEI: 549300YUVD5TEXR6L889 | Long             | DBT              | MUN               | US        |   6790000 | NS      | $6840697.54    | 0.04%             | 2028-12-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB0982 2% 07/01/51                              | FANNIE MAE POOL UMBS P#CB0982 2.00000000                                                         | CUSIP: 3140QLCU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2928983 | NS      | $2390030.35    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 3404 SC V/R 01/15/38                               | FREDDIE MAC REMICS SER 3404 CL SC V/R 1.68214000                                                 | CUSIP: 31397PTW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    156345 | NS      | $11155.15      | 0.00%             | 2038-01-15      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK 4.2% 08/08/23                            | DISCOVER BANK REGD SER BKNT 4.20000000                                                           | CUSIP: 25466AAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6305000 | NS      | $6263967.75    | 0.04%             | 2023-08-08      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQ 5.75% 05/15/24                         | SABINE PASS LIQUEFACTION REGD SER WI 5.75000000                                                  | CUSIP: 785592AJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14493000 | NS      | $14496500.49   | 0.09%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4356 2.5% 06/01/51                            | FANNIE MAE POOL UMBS P#MA4356 2.50000000                                                         | CUSIP: 31418DZW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    833516 | NS      | $706141.80     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM9087 3% 06/01/27                              | FANNIE MAE POOL UMBS P#AM9087 3.00000000                                                         | CUSIP: 3138LACZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1949869 | NS      | $1832502.46    | 0.01%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4128 2% 09/01/40                              | FANNIE MAE POOL UMBS P#MA4128 2.00000000                                                         | CUSIP: 31418DSS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1527779 | NS      | $1301134.34    | 0.01%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CGCMT 2016-P6 A5 V/R 11/10/26                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 SER 2016-P6 CL A5 V/R REGD 3.72000000                | CUSIP: 17291EAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2783000 | NS      | $2612931.15    | 0.02%             | 2049-12-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q20356 3% 07/01/43                             | FREDDIE MAC GOLD POOL P#Q20356 3.00000000                                                        | CUSIP: 3132JMMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12356 | NS      | $11255.40      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6338 3% 12/20/49                           | GINNIE MAE II POOL P#MA6338 3.00000000                                                           | CUSIP: 36179VBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7010832 | NS      | $6304664.61    | 0.04%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.375% 05/15/51                           | UNITED STATES TREASURY BOND 2.37500000                                                           | CUSIP: 912810SX7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  18851000 | NS      | $13524119.86   | 0.09%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  3.95% 04/13/24                         | GENERAL MOTORS FINL CO REGD 3.95000000                                                           | CUSIP: 37045XBW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5535000 | NS      | $5425930.44    | 0.03%             | 2024-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FHR 4012 FN V/R 03/15/42                               | FREDDIE MAC REMICS SER 4012 CL FN V/R 4.81786000                                                 | CUSIP: 3137AMMX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    396491 | NS      | $389053.33     | 0.00%             | 2042-03-15      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| UMBS P#902955 V/R 12/01/36                             | FANNIE MAE POOL UMBS P#902955 V/R 4.04900000                                                     | CUSIP: 31411BE41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29312 | NS      | $28870.97      | 0.00%             | 2036-12-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| UMBS P#995245 5% 01/01/39                              | FANNIE MAE POOL UMBS P#995245 5.00000000                                                         | CUSIP: 31416BTA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    993370 | NS      | $998759.17     | 0.01%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHASE 2006-A1 2A V/R 09/25/36                          | CHASE MORTGAGE FINANCE TRUST SERIES 2006-A1 SER 2006-A1 CL 2A3 V/R REGD 3.98866700               | CUSIP: 16163CAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63708 | NS      | $54547.00      | 0.00%             | 2036-09-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM5430 5% 01/01/49                              | FANNIE MAE POOL UMBS P#BM5430 5.00000000                                                         | CUSIP: 3140JAA81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3709650 | NS      | $3733868.68    | 0.02%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785021 4% 05/20/47                           | GINNIE MAE II POOL P#785021 4.00000000                                                           | CUSIP: 3622AAPE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    163590 | NS      | $155668.75     | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2011-137 WA V/R 07/20/40                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-137 CL WA V/R 5.60014000                       | CUSIP: 38377YX39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    114733 | NS      | $119100.86     | 0.00%             | 2040-07-20      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHR 2388 FB V/R 01/15/29                               | FREDDIE MAC REMICS SER 2388 CL FB V/R 4.91786000                                                 | CUSIP: 31339M2J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5269 | NS      | $5239.66       | 0.00%             | 2029-01-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL3316 3.5% 03/01/43                            | FANNIE MAE POOL UMBS P#AL3316 3.50000000                                                         | CUSIP: 3138EKVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    707910 | NS      | $662472.01     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3803 3.5% 07/20/46                         | GINNIE MAE II POOL P#MA3803 3.50000000                                                           | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3525956 | NS      | $3288343.87    | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW HAMPSHIRE S 3.75% 07/01/34                         | NEW HAMPSHIRE ST HSG FIN AUTHS REGD B/E FHA/VA/ 3.75000000                                       | CUSIP: 64469DUS8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     10000 | NS      | $9969.51       | 0.00%             | 2034-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OPTN 2022-2 B 7.4% 10/09/29                            | OPORTUN ISSUANCE TRUST 2022-2 SER 2022-2 CL B REGD 144A P/P 7.40000000                           | CUSIP: 68377HAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8500000 | NS      | $8328852.50    | 0.05%             | 2029-10-09      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMAC 3.175% 07/09/50                         | TAKEDA PHARMACEUTICAL REGD 3.17500000                                                            | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   1920000 | NS      | $1294922.55    | 0.01%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FHR 1686 SH V/R 02/15/24                               | FREDDIE MAC REMICS SER 1686 CL SH V/R 10.52293500                                                | CUSIP: 3133T4EV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        45 | NS      | $44.53         | 0.00%             | 2024-02-15      | Variable      | 10.52%                | No            |                  2 | On Loan: No      |
| FHR 2095 PE 6% 11/15/28                                | FREDDIE MAC REMICS SER 2095 CL PE 6.00000000                                                     | CUSIP: 3133TGWC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11480 | NS      | $11640.37      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FMR LLC 6.45% 11/15/39                                 | FMR LLC REGD P/P 6.45000000                                                                      | CUSIP: 30251BAB4<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    258000 | NS      | $264102.75     | 0.00%             | 2039-11-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FHR 3546 A V/R 02/15/39                                | FREDDIE MAC REMICS SER 3546 CL A V/R 3.08392700                                                  | CUSIP: 31398E3W2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33133 | NS      | $32667.37      | 0.00%             | 2039-02-15      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH 4.65% 08/15/44                         | ELEVANCE HEALTH INC REGD 4.65000000                                                              | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    395000 | NS      | $352672.66     | 0.00%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GNR 2008-32 PI 5.5% 10/16/37                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-32 CL PI 5.50000000                            | CUSIP: 383742YT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10338 | NS      | $89.43         | 0.00%             | 2037-10-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 2990 WP V/R 06/15/35                               | FREDDIE MAC REMICS SER 2990 CL WP V/R 7.03529900                                                 | CUSIP: 31395V4V8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       582 | NS      | $577.09        | 0.00%             | 2035-06-15      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4451 3.5% 05/20/47                         | GINNIE MAE II POOL P#MA4451 3.50000000                                                           | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2901701 | NS      | $2714069.78    | 0.02%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALLEGION US HOLD 3.2% 10/01/24                         | ALLEGION US HOLDING CO REGD 3.20000000                                                           | CUSIP: 01748NAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1923258.60    | 0.01%             | 2024-10-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNA 2022-M3 A2 V/R 11/25/31                            | FANNIE MAE-ACES SER 2022-M3 CL A2 V/R 1.70700000                                                 | CUSIP: 3136BLW22<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13600000 | NS      | $10700220.24   | 0.07%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q13237 3.5% 11/01/42                           | FREDDIE MAC GOLD POOL P#Q13237 3.50000000                                                        | CUSIP: 3132HPS21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1265989 | NS      | $1186123.63    | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CARO 3.7% 12/01/47                         | DUKE ENERGY CAROLINAS REGD 3.70000000                                                            | CUSIP: 26442CAT1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    878000 | NS      | $667929.52     | 0.00%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM8475 3.45% 04/01/35                           | FANNIE MAE POOL UMBS P#AM8475 3.45000000                                                         | CUSIP: 3138L9MZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1735438 | NS      | $1560323.24    | 0.01%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| HCA INC 5.5% 06/15/47                                  | HCA INC REGD 5.50000000                                                                          | CUSIP: 404119BV0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1955000 | NS      | $1736276.67    | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 4.75% 01/15/26                         | ENERGY TRANSFER LP REGD 4.75000000                                                               | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1822000 | NS      | $1774661.25    | 0.01%             | 2026-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO5032 3% 12/01/49                              | FANNIE MAE POOL UMBS P#BO5032 3.00000000                                                         | CUSIP: 3140K0SW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    221007 | NS      | $196469.25     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H04 B 1.65% 02/20/63                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H04 CL BA 1.65000000                           | CUSIP: 38375BK84<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7021 | NS      | $6524.37       | 0.00%             | 2063-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM3003 4% 05/01/49                              | FANNIE MAE POOL UMBS P#FM3003 4.00000000                                                         | CUSIP: 3140X6KR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9971499 | NS      | $9637689.91    | 0.06%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN  1.625% 11/24/25                         | SAUDI ARABIAN OIL CO REGD 144A P/P 1.62500000                                                    | CUSIP: 80414L2H7<br>LEI: N/A                  | Long             | DBT              | CORP              | SA        |   4423000 | NS      | $4028530.32    | 0.03%             | 2025-11-24      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERGY  7.5% 04/15/38                         | ENBRIDGE ENERGY PARTNERS REGD SER B 7.50000000                                                   | CUSIP: 29250RAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4949000 | NS      | $5434404.35    | 0.03%             | 2038-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL C 3.45% 08/15/27                         | CNA FINANCIAL CORP REGD 3.45000000                                                               | CUSIP: 126117AU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    820000 | NS      | $759580.93     | 0.00%             | 2027-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G2539 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1G2539 V/R 3.84500000                                                | CUSIP: 3128QSZC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12005 | NS      | $11831.89      | 0.00%             | 2036-10-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD 3.2% 03/11/25                            | AIA GROUP LTD REGD P/P MTN 3.20000000                                                            | CUSIP: 00131LAB1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   5545000 | NS      | $5316980.51    | 0.03%             | 2025-03-11      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.75% 08/15/42                         | PACIFIC GAS & ELECTRIC REGD 3.75000000                                                           | CUSIP: 694308HA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    376000 | NS      | $252070.67     | 0.00%             | 2042-08-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA II P#784114 3.5% 02/20/46                         | GINNIE MAE II POOL P#784114 3.50000000                                                           | CUSIP: 3622A2SB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5830592 | NS      | $5439640.00    | 0.03%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 1994-9 E ZCP 11/25/23                              | FANNIE MAE REMICS SER 1994-9 CL E ZCP 0.00000000                                                 | CUSIP: 31359F6T0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         4 | NS      | $4.25          | 0.00%             | 2023-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP /PREFERRED/                          | STATE STREET CORP /PREFERRED/ 0.00000000                                                         | CUSIP: 857477855<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     95000 | NS      | $2233450.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS P#658481 V/R 09/01/33                             | FANNIE MAE POOL UMBS P#658481 V/R 3.09400000                                                     | CUSIP: 31390WRA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22271 | NS      | $21685.19      | 0.00%             | 2033-09-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0789 V/R 05/01/38                            | FREDDIE MAC NON GOLD POOL P#1Q0789 V/R 2.96400000                                                | CUSIP: 3128S42W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3783 | NS      | $3715.77       | 0.00%             | 2038-05-01      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C03490 4.5% 08/01/40                           | FREDDIE MAC GOLD POOL P#C03490 4.50000000                                                        | CUSIP: 31292K2X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    139884 | NS      | $138827.66     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNR 2009-64 SN V/R 07/16/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-64 CL SN V/R 1.77371000                        | CUSIP: 38373A2C9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98917 | NS      | $5157.57       | 0.00%             | 2039-07-16      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNR 2009-75 MN 5.5% 09/20/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-75 CL MN 5.50000000                            | CUSIP: 38376CLY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    314087 | NS      | $320880.99     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOODGREEN 2017-R1 5% 10/20/51                          | GOODGREEN 2017-R1 REGD 144A 5.00000000                                                           | CUSIP: 38218AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1813038 | NS      | $1458407.78    | 0.01%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| GNMA II P#CL7224 5% 09/20/49                           | GINNIE MAE II POOL P#CL7224 5.00000000                                                           | CUSIP: 3617YFAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3302825 | NS      | $3289377.34    | 0.02%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 11/01/29                         | NATWEST GROUP PLC REGD V/R 3.75400000                                                            | CUSIP: 780097BM2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1833000 | NS      | $1700101.16    | 0.01%             | 2029-11-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| OMFIT 2020-1A  3.84% 10/16/23                          | ONEMAIN FINANCIAL ISSUANCE TRUST 2020-A SER 2020-1A CL A REGD 144A P/P 3.84000000                | CUSIP: 68269LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1530304 | NS      | $1519144.49    | 0.01%             | 2032-05-14      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| FNR 2006-60 AK V/R 07/25/36                            | FANNIE MAE REMICS SER 2006-60 CL AK V/R 11.24516000                                              | CUSIP: 31395NUZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10135 | NS      | $9860.65       | 0.00%             | 2036-07-25      | Variable      | 11.25%                | No            |                  2 | On Loan: No      |
| FNR 2003-34 GE 6% 05/25/33                             | FANNIE MAE REMICS SER 2003-34 CL GE 6.00000000                                                   | CUSIP: 31393CAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45467 | NS      | $46335.01      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q23740 4% 12/01/43                             | FREDDIE MAC GOLD POOL P#Q23740 4.00000000                                                        | CUSIP: 3132M3ZD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     83875 | NS      | $80429.26      | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HART 2021-B A3 0.38% 09/16/24                          | HYUNDAI AUTO RECEIVABLES TRUST 2021-B SER 2021-B CL A3 REGD 0.38000000                           | CUSIP: 44934KAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5918000 | NS      | $5650953.21    | 0.04%             | 2026-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| TPMT 2019-HY3 A1 V/R 07/25/27                          | TOWD POINT MORTGAGE TRUST 2019-HY3 SER 2019-HY3 CL A1A V/R REGD 144A P/P 5.38871000              | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    916228 | NS      | $906240.05     | 0.01%             | 2059-10-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY 4.2% 09/01/52                         | CONSUMERS ENERGY CO REGD 4.20000000                                                              | CUSIP: 210518DQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3322000 | NS      | $2842129.33    | 0.02%             | 2052-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 11/10/28                         | BANK OF AMERICA CORP REGD V/R 6.20400000                                                         | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14456000 | NS      | $14925410.90   | 0.10%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.25% 05/31/25                            | UNITED STATES TREASURY NOTE 0.25000000                                                           | CUSIP: 912828ZT0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  30950000 | NS      | $28096796.88   | 0.18%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FNR 1993-27 SA V/R 02/25/23                            | FANNIE MAE REMICS SER 1993-27 CL SA V/R 15.50000000                                              | CUSIP: 31358TRH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         3 | NS      | $3.39          | 0.00%             | 2023-02-25      | Variable      | 15.50%                | No            |                  2 | On Loan: No      |
| TOTALENERGIES  2.986% 06/29/41                         | TOTALENERGIES CAP INTL REGD 2.98600000                                                           | CUSIP: 89153VAX7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   4000000 | NS      | $2979672.36    | 0.02%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO 4.1% 01/15/42                         | ALABAMA POWER CO REGD 4.10000000                                                                 | CUSIP: 010392FG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    233000 | NS      | $186450.07     | 0.00%             | 2042-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNR 1997-81 PI 7% 12/18/27                             | FANNIE MAE REMICS SER 1997-81 CL PI 7.00000000                                                   | CUSIP: 31359RLD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2281 | NS      | $141.46        | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| W CONTRA COSTA  6.25% 08/01/30                         | W CONTRA COSTA CA UNIF SCH DIS REGD N/C B/E 6.25000000                                           | CUSIP: 952347YH9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    215000 | NS      | $228966.53     | 0.00%             | 2030-08-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNR 2011-97 WA V/R 11/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-97 CL WA V/R 6.10997000                        | CUSIP: 38376LK65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     69556 | NS      | $72312.57      | 0.00%             | 2038-11-20      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-S2 2A 5.5% 06/25/34                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-S2 TRUST SER 2004-S2 CL 2A4 REGD 5.50000000  | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     82328 | NS      | $79770.07      | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL6 A V/R 09/25/51                          | VCAT 2021-NPL6 LLC SER 2021-NPL6 CL A1 V/R REGD 144A P/P 1.91730000                              | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2356044 | NS      | $2051092.10    | 0.01%             | 2051-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| FORDO 2020-A A 1.04% 08/15/24                          | FORD CREDIT AUTO OWNER TRUST 2020-A SER 2020-A CL A3 REGD 1.04000000                             | CUSIP: 34528GAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    693155 | NS      | $686785.16     | 0.00%             | 2024-08-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9873 2.5% 12/01/51                            | FANNIE MAE POOL UMBS P#FM9873 2.50000000                                                         | CUSIP: 3140XD6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13727054 | NS      | $11648203.58   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV 3.625% 07/15/24                         | EDP FINANCE BV REGD 144A P/P 3.62500000                                                          | CUSIP: 26835PAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |    700000 | NS      | $675444.71     | 0.00%             | 2024-07-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINAN 3.9% 01/25/28                         | BROOKFIELD FINANCE INC REGD 3.90000000                                                           | CUSIP: 11271LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    770000 | NS      | $706017.61     | 0.00%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.75% 01/31/29                            | UNITED STATES TREASURY NOTE 1.75000000                                                           | CUSIP: 91282CDW8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   8475000 | NS      | $7444095.75    | 0.05%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC 1.7% 10/15/30                           | LOWE'S COS INC REGD 1.70000000                                                                   | CUSIP: 548661DY0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2300000 | NS      | $1798606.00    | 0.01%             | 2030-10-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| COMM 2013-SFS A2 V/R 04/12/23                          | COMM 2013-SFS MORTGAGE TRUST SER 2013-SFS CL A2 V/R REGD 144A P/P 2.98680000                     | CUSIP: 12625EAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    708000 | NS      | $698877.63     | 0.00%             | 2035-04-12      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| FNR 2007-62 SE V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-62 CL SE V/R 5.52822500                                               | CUSIP: 31396WZQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14256 | NS      | $13703.56      | 0.00%             | 2037-07-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROU 7.507% 01/10/32                         | CVS PASS-THROUGH TRUST REGD   144A P/P 7.50700000                                                | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    713126 | NS      | $742201.61     | 0.00%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA 4.2% 11/01/25                              | PNC BANK NA REGD SER BKNT 4.20000000                                                             | CUSIP: 69349LAQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    322000 | NS      | $313934.61     | 0.00%             | 2025-11-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHR 3607 BO ZCP 04/15/36                               | FREDDIE MAC REMICS SER 3607 CL BO ZCP 0.00000000                                                 | CUSIP: 31398LQM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     61396 | NS      | $51449.30      | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2512 8% 11/20/27                             | GINNIE MAE II POOL P#2512 8.00000000                                                             | CUSIP: 36202CYH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       813 | NS      | $830.75        | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TMST 2003-4 A1 V/R 09/25/43                            | THORNBURG MORTGAGE SECURITIES TRUST 2003-4 SER 2003-4 CL A1 V/R REGD 5.02871000                  | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    252909 | NS      | $236014.49     | 0.00%             | 2043-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| WFCM 2015-P2  3.809% 12/15/25                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-P2 SER 2015-P2 CL A4 REGD 3.80900000                  | CUSIP: 95000AAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7272631 | NS      | $6915246.64    | 0.04%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| VZMT 2022-5 A1A V/R 01/22/24                           | VERIZON MASTER TRUST SER 2022-5 CL A1A V/R REGD 3.72000000                                       | CUSIP: 92348KAV5<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-CBDO         | CORP              | US        |   7022000 | NS      | $6915380.06    | 0.04%             | 2027-07-20      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| DTAOT 2021-4A  1.02% 05/15/26                          | DT AUTO OWNER TRUST 2021-4 SER 2021-4A CL B REGD 144A P/P 1.02000000                             | CUSIP: 26253WAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4753000 | NS      | $4534473.70    | 0.03%             | 2026-05-15      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| FHR 1470 F V/R 02/15/23                                | FREDDIE MAC REMICS SER 1470 CL F V/R 2.29300000                                                  | CUSIP: 312914LG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         1 | NS      | $0.60          | 0.00%             | 2023-02-15      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3522 4% 03/20/46                           | GINNIE MAE II POOL P#MA3522 4.00000000                                                           | CUSIP: 36179R4F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    379572 | NS      | $365144.65     | 0.00%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM6785 3.5% 08/01/43                            | FANNIE MAE POOL UMBS P#BM6785 3.50000000                                                         | CUSIP: 3140JBRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    782113 | NS      | $730520.23     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2008-18 FA V/R 03/25/38                            | FANNIE MAE REMICS SER 2008-18 CL FA V/R 5.28871000                                               | CUSIP: 31396YWQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23315 | NS      | $23271.54      | 0.00%             | 2038-03-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1A1085 V/R 08/01/36                            | FREDDIE MAC NON GOLD POOL P#1A1085 V/R 3.97000000                                                | CUSIP: 3128NFF28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20907 | NS      | $21320.41      | 0.00%             | 2036-08-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8236 3.5% 08/01/52                            | FREDDIE MAC POOL UMBS P#SD8236 3.50000000                                                        | CUSIP: 3132DWEH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3987532 | NS      | $3623814.74    | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-CB2 3A 6% 08/25/34                           | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-CB2 TRUST SER 2004-CB2 CL 3A REGD 6.00000000 | CUSIP: 92922FTY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    307892 | NS      | $300049.23     | 0.00%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H07 FA V/R 05/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H07 CL FA V/R 4.44157000                       | CUSIP: 38375UHF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3566097 | NS      | $3534571.00    | 0.02%             | 2064-05-20      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FHR 3608 SC V/R 12/15/39                               | FREDDIE MAC REMICS SER 3608 CL SC V/R 1.93214000                                                 | CUSIP: 31398LQC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49988 | NS      | $2977.95       | 0.00%             | 2039-12-15      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| UMBS P#889889 6.5% 07/01/24                            | FANNIE MAE POOL UMBS P#889889 6.50000000                                                         | CUSIP: 31410KUN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117 | NS      | $119.48        | 0.00%             | 2024-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 1994-37 L 6.5% 03/25/24                            | FANNIE MAE REMICS SER 1994-37 CL L 6.50000000                                                    | CUSIP: 31359GP34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1172 | NS      | $1173.24       | 0.00%             | 2024-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 1.625% 01/07/25                                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.62500000                                                 | CUSIP: 3135G0X24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6247000 | NS      | $5901138.66    | 0.04%             | 2025-01-07      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER  3.07% 03/15/23                         | AMERICAN TOWER TRUST I REGD P/P 3.07000000                                                       | CUSIP: 03027WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2900000 | NS      | $2883763.48    | 0.02%             | 2023-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| HERTZ 2022-2A  2.33% 06/25/27                          | HERTZ VEHICLE FINANCING LLC SER 2022-2A CL A REGD 144A P/P 2.33000000                            | CUSIP: 42806MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18900000 | NS      | $16566362.19   | 0.11%             | 2028-06-26      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| UMBS P#653815 7% 02/01/33                              | FANNIE MAE POOL UMBS P#653815 7.00000000                                                         | CUSIP: 31390RK44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       884 | NS      | $888.62        | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SP 4% 09/23/29                         | INTESA SANPAOLO SPA REGD 144A P/P SER XR 4.00000000                                              | CUSIP: 46115HBL0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |  10590000 | NS      | $9060272.91    | 0.06%             | 2029-09-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 1505 Q 7% 05/15/23                                 | FREDDIE MAC REMICS SER 1505 CL Q 7.00000000                                                      | CUSIP: 312915ZZ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        65 | NS      | $65.51         | 0.00%             | 2023-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W8 2A 7% 10/25/42                             | FANNIE MAE TRUST 2003-W8 SER 2003-W8 CL 2A 7.00000000                                            | CUSIP: 31393CW82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     81595 | NS      | $83863.54      | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#781563 V/R 11/01/34                             | FANNIE MAE POOL UMBS P#781563 V/R 4.12400000                                                     | CUSIP: 31404XJG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2835 | NS      | $2776.60       | 0.00%             | 2034-11-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 4.125% 05/30/23                         | GLENCORE FUNDING LLC REGD P/P 4.12500000                                                         | CUSIP: 378272AF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1055000 | NS      | $1049497.85    | 0.01%             | 2023-05-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHMS K091 A2 3.505% 03/25/29                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K091 CL A2 3.50500000           | CUSIP: 3137FLN91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2527000 | NS      | $2392582.30    | 0.02%             | 2029-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AH4R 2014-SFR 6.418% 12/17/24                          | AMERICAN HOMES 4 RENT 2014-SFR3 TRUST SER 2014-SFR3 CL E REGD 144A P/P 6.41800000                | CUSIP: 02665XAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | NS      | $986634.90     | 0.01%             | 2036-12-17      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| EASTERN GAS TRAN 4.6% 12/15/44                         | EASTERN GAS TRAN REGD SER * 4.60000000                                                           | CUSIP: 276480AD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1300000 | NS      | $1067324.36    | 0.01%             | 2044-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DTAOT 2021-4A  0.56% 09/15/25                          | DT AUTO OWNER TRUST 2021-4 SER 2021-4A CL A REGD 144A P/P 0.56000000                             | CUSIP: 26253WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2521888 | NS      | $2481576.61    | 0.02%             | 2025-09-15      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G67700 3.5% 08/01/46                           | FREDDIE MAC GOLD POOL P#G67700 3.50000000                                                        | CUSIP: 3132XCRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3416542 | NS      | $3178378.57    | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 3531 SA V/R 05/15/39                               | FREDDIE MAC REMICS SER 3531 CL SA V/R 1.98214000                                                 | CUSIP: 31398CVT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     57514 | NS      | $1108.33       | 0.00%             | 2039-05-15      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CO 4.1% 09/15/67                         | UNION PACIFIC CORP REGD 4.10000000                                                               | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    200000 | NS      | $156228.50     | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0345 3% 10/01/43                              | FANNIE MAE POOL UMBS P#BF0345 3.00000000                                                         | CUSIP: 3140FXL34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6886684 | NS      | $6205418.66    | 0.04%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0462 3.5% 10/20/42                         | GINNIE MAE II POOL P#MA0462 3.50000000                                                           | CUSIP: 36179MQP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2059017 | NS      | $1939903.80    | 0.01%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALI V/R 08/02/34                         | NATIONAL AUSTRALIA BANK REGD V/R MTN 3.93300000                                                  | CUSIP: 632525AS0<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   2330000 | NS      | $1959885.26    | 0.01%             | 2034-08-02      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCI 4.75% 04/08/32                         | SAMMONS FINANCIAL GROUP REGD 144A P/P 4.75000000                                                 | CUSIP: 79588TAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4174947.80    | 0.03%             | 2032-04-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INT 6.8% 09/15/37                         | ENEL FINANCE INTL NV REGD P/P 6.80000000                                                         | CUSIP: 29268BAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2425000 | NS      | $2401570.35    | 0.02%             | 2037-09-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/41                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834JP4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  50000000 | NS      | $23227629.50   | 0.15%             | 2041-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHAMS 2007-FA4 1 V/R 08/25/37                          | FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUS SER 2007-FA4 CL 1A2 V/R REGD 1.26129000       | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    544140 | NS      | $51616.83      | 0.00%             | 2037-08-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0025 V/R 02/01/36                            | FREDDIE MAC NON GOLD POOL P#1Q0025 V/R 3.02600000                                                | CUSIP: 3128S4A23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5958 | NS      | $5984.14       | 0.00%             | 2036-02-01      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNR 2007-76 ZG 6% 08/25/37                             | FANNIE MAE REMICS SER 2007-76 CL ZG 6.00000000                                                   | CUSIP: 31396WZ90<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20043 | NS      | $20181.42      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2296 PD 7% 03/15/31                                | FREDDIE MAC REMICS SER 2296 CL PD 7.00000000                                                     | CUSIP: 3133TRUS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7589 | NS      | $7950.16       | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CAALT 2022-3A  8.45% 06/15/26                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2022-3 SER 2022-3A CL C REGD 144A P/P 8.45000000               | CUSIP: 22534QAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9500000 | NS      | $9590362.10    | 0.06%             | 2033-02-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#966946 V/R 01/01/38                             | FANNIE MAE POOL UMBS P#966946 V/R 2.28500000                                                     | CUSIP: 31414HWF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14258 | NS      | $13972.84      | 0.00%             | 2038-01-01      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUD 2.375% 08/20/30                         | GOVT OF BERMUDA REGD 144A P/P 2.37500000                                                         | CUSIP: 085209AG9<br>LEI: N/A                  | Long             | DBT              | USGA              | BM        |   1765000 | NS      | $1488842.61    | 0.01%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CL1820 3.5% 02/20/52                         | GINNIE MAE II POOL P#CL1820 3.50000000                                                           | CUSIP: 3617Y9AV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3556981 | NS      | $3290212.78    | 0.02%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q13205 3% 11/01/42                             | FREDDIE MAC GOLD POOL P#Q13205 3.00000000                                                        | CUSIP: 3132HPR22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3291016 | NS      | $2997983.66    | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR 2005-AR6 3A1 V/R 09/25/35                          | GSR MORTGAGE LOAN TRUST 2005-AR6 SER 2005-AR6 CL 3A1 V/R REGD 3.01001200                         | CUSIP: 362341RZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2990 | NS      | $2686.60       | 0.00%             | 2035-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| UMBS P#303532 V/R 03/01/29                             | FANNIE MAE POOL UMBS P#303532 V/R 4.03300000                                                     | CUSIP: 31373UED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       841 | NS      | $836.63        | 0.00%             | 2029-03-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHR 2929 MS V/R 02/15/35                               | FREDDIE MAC REMICS SER 2929 CL MS V/R 9.16141600                                                 | CUSIP: 31395MB65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21591 | NS      | $19024.29      | 0.00%             | 2035-02-15      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q04097 4% 10/01/41                             | FREDDIE MAC GOLD POOL P#Q04097 4.00000000                                                        | CUSIP: 3132GKGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1686718 | NS      | $1621622.92    | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM7615 2% 06/01/36                              | FANNIE MAE POOL UMBS P#FM7615 2.00000000                                                         | CUSIP: 3140XBN97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8913786 | NS      | $7951462.38    | 0.05%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 6.05% 06/01/41                         | ENERGY TRANSFER LP REGD 6.05000000                                                               | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1878036.04    | 0.01%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP 2.4% 05/15/31                               | FEDEX CORP REGD 2.40000000                                                                       | CUSIP: 31428XCD6<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |   3085000 | NS      | $2494942.82    | 0.02%             | 2031-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GNR 2009-33 CI 5.5% 05/20/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-33 CL CI 5.50000000                            | CUSIP: 38374UKD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16499 | NS      | $1976.02       | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CR 5.45% 11/10/27                         | TOYOTA MOTOR CREDIT CORP REGD 5.45000000                                                         | CUSIP: 89236TKL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7881000 | NS      | $8057532.51    | 0.05%             | 2027-11-10      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.375% 03/31/29                           | UNITED STATES TREASURY NOTE 2.37500000                                                           | CUSIP: 91282CEE7<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 112650000 | NS      | $102432293.53  | 0.66%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHR 1890 H 7.5% 09/15/26                               | FREDDIE MAC REMICS SER 1890 CL H 7.50000000                                                      | CUSIP: 3133T85L7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       861 | NS      | $877.33        | 0.00%             | 2026-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLD 3.9% 05/17/28                         | SCHLUMBERGER HLDGS CORP REGD 144A P/P 3.90000000                                                 | CUSIP: 806851AK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    852000 | NS      | $793798.46     | 0.01%             | 2028-05-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROU 8.353% 07/10/31                         | CVS PASS-THROUGH TRUST REGD   144A P/P 8.35300000                                                | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    718927 | NS      | $785877.86     | 0.01%             | 2031-07-10      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 06/02/28                         | WELLS FARGO & COMPANY REGD V/R MTN 2.39300000                                                    | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2875000 | NS      | $2537442.71    | 0.02%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY L 3.25% 10/15/26                         | VENTAS REALTY LP REGD 3.25000000                                                                 | CUSIP: 92277GAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    323000 | NS      | $298338.24     | 0.00%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR 2.547% 04/17/26                          | PROGRESS RESIDENTIAL 2021-SFR2 TRUST SER 2021-SFR2 CL E1 REGD 144A P/P 2.54700000                | CUSIP: 74333DAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | NS      | $4230202.50    | 0.03%             | 2038-04-19      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL4333 2.52% 11/01/29                           | FANNIE MAE POOL UMBS P#BL4333 2.52000000                                                         | CUSIP: 3140HVY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14210655 | NS      | $12608272.54   | 0.08%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FOMENTO ECONOMIC 3.5% 01/16/50                         | FOMENTO ECONOMICO MEX REGD 3.50000000                                                            | CUSIP: 344419AC0<br>LEI: 549300A8MDWDJNMLV153 | Long             | DBT              | CORP              | MX        |   2290000 | NS      | $1605999.90    | 0.01%             | 2050-01-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2017-H14 FV V/R 06/20/67                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H14 CL FV V/R 4.34157000                       | CUSIP: 38376R5A0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3847984 | NS      | $3806806.76    | 0.02%             | 2067-06-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1146 3% 07/01/51                              | FANNIE MAE POOL UMBS P#CB1146 3.00000000                                                         | CUSIP: 3140QLHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1368333 | NS      | $1206070.64    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 08/09/28                              | BARCLAYS PLC REGD V/R 5.50100000                                                                 | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2360000 | NS      | $2285746.99    | 0.01%             | 2028-08-09      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 1998-4 C V/R 04/25/23                              | FANNIE MAE REMICS SER 1998-4 CL C V/R 0.00000000                                                 | CUSIP: 31359RA69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        18 | NS      | $17.50         | 0.00%             | 2023-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C00414 7.5% 08/01/25                           | FREDDIE MAC GOLD POOL P#C00414 7.50000000                                                        | CUSIP: 31292GN77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       260 | NS      | $261.73        | 0.00%             | 2025-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.125% 05/15/25                           | UNITED STATES TREASURY NOTE 2.12500000                                                           | CUSIP: 912828XB1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    670000 | NS      | $636683.20     | 0.00%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BXGNT 2022-A C 5.35% 09/28/37                          | BXG RECEIVABLES NOTE TRUST 2022-A SER 2022-A CL C REGD 144A P/P 5.35000000                       | CUSIP: 12434KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9917166 | NS      | $9338659.48    | 0.06%             | 2037-09-28      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UMBS P#QF0212 4.5% 09/01/52                            | FREDDIE MAC POOL UMBS P#QF0212 4.50000000                                                        | CUSIP: 3133BMGV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5499999 | NS      | $5294310.21    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 1993-122 M 6.5% 07/25/23                           | FANNIE MAE REMICS SER 1993-122 CL M 6.50000000                                                   | CUSIP: 31359BPE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        51 | NS      | $50.97         | 0.00%             | 2023-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINA 4.2% 10/29/25                         | CAPITAL ONE FINANCIAL CO REGD 4.20000000                                                         | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    400000 | NS      | $386534.25     | 0.00%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA1576 5% 01/01/48                              | FANNIE MAE POOL UMBS P#CA1576 5.00000000                                                         | CUSIP: 3140Q8XE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    429198 | NS      | $429558.33     | 0.00%             | 2048-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3386 KF V/R 11/15/37                               | FREDDIE MAC REMICS SER 3386 CL KF V/R 4.99786000                                                 | CUSIP: 31397PBU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    301469 | NS      | $299817.22     | 0.00%             | 2037-11-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 4.25% 01/15/33                            | COMCAST CORP REGD 4.25000000                                                                     | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   3107000 | NS      | $2928525.25    | 0.02%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 03/05/24                         | BANK OF AMERICA CORP REGD V/R MTN 3.55000000                                                     | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2120000 | NS      | $2112020.07    | 0.01%             | 2024-03-05      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| JPMCC 2007-LD12  V/R 09/15/27                          | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST  SER 2007-LD12 CL X V/R REGD 0.00000000     | CUSIP: 46632HAH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    747909 | NS      | $7.48          | 0.00%             | 2051-02-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IMSA 2003-2 A1 5.5% 08/25/33                           | IMPAC SECURED ASSETS CMN OWNER TRUST SER 2003-2 CL A1 REGD 5.50000000                            | CUSIP: 45254TMS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37317 | NS      | $30893.13      | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB4536 2.5% 06/01/52                            | FANNIE MAE POOL UMBS P#CB4536 2.50000000                                                         | CUSIP: 3140QQBE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    963521 | NS      | $817047.05     | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#782212 7.5% 10/15/37                            | GINNIE MAE I POOL P#782212 7.50000000                                                            | CUSIP: 36241KN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16188 | NS      | $17016.65      | 0.00%             | 2037-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2418 FO V/R 02/15/32                               | FREDDIE MAC REMICS SER 2418 CL FO V/R 5.21786000                                                 | CUSIP: 31339D2Z0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19658 | NS      | $19716.88      | 0.00%             | 2032-02-15      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0651 3% 09/01/50                              | FREDDIE MAC POOL UMBS P#SD0651 3.00000000                                                        | CUSIP: 3132DMWL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1144163 | NS      | $1020482.60    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 3029 SO ZCP 09/15/35                               | FREDDIE MAC REMICS SER 3029 CL SO ZCP 0.00000000                                                 | CUSIP: 31396AH64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12305 | NS      | $10836.27      | 0.00%             | 2035-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BAMLL 2014-FRR5  ZCP 06/27/23                          | BAMLL RE-REMIC TRUST 2014-FRR5 SER 2014-FRR5 CL AK30 ZCP REGD 144A P/P 0.00000000                | CUSIP: 05525HAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6300000 | NS      | $6115442.76    | 0.04%             | 2045-06-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#900197 V/R 10/01/36                             | FANNIE MAE POOL UMBS P#900197 V/R 4.32500000                                                     | CUSIP: 31410XDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40977 | NS      | $41437.00      | 0.00%             | 2036-10-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.5% 01/31/27                             | UNITED STATES TREASURY NOTE 1.50000000                                                           | CUSIP: 912828Z78<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    822000 | NS      | $742143.98     | 0.00%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2006-A7 2A V/R 01/25/37                          | JP MORGAN MORTGAGE TRUST 2006-A7 SER 2006-A7 CL 2A2 V/R REGD 3.84807400                          | CUSIP: 46629DAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28155 | NS      | $21702.78      | 0.00%             | 2037-01-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 05/24/33                             | CITIGROUP INC REGD V/R 4.91000000                                                                | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   9961000 | NS      | $9327809.11    | 0.06%             | 2033-05-24      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNR 2013-136 QB 3.5% 03/25/42                          | FANNIE MAE REMICS SER 2013-136 CL QB 3.50000000                                                  | CUSIP: 3136AHWC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    599368 | NS      | $555543.55     | 0.00%             | 2042-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BMIR 2018-3A M1B V/R 10/25/28                          | BELLEMEADE RE 2018-3 LTD SER 2018-3A CL M1B V/R REGD 144A P/P 6.23871000                         | CUSIP: 07877TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    280390 | NS      | $280165.40     | 0.00%             | 2028-10-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  4.35% 01/17/27                         | GENERAL MOTORS FINL CO REGD 4.35000000                                                           | CUSIP: 37045XBT2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1035000 | NS      | $983445.13     | 0.01%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS5263 3.5% 06/01/45                            | FANNIE MAE POOL UMBS P#AS5263 3.50000000                                                         | CUSIP: 3138WEZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    705228 | NS      | $655554.49     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AV0606 4% 11/01/43                              | FANNIE MAE POOL UMBS P#AV0606 4.00000000                                                         | CUSIP: 3138XBU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1103771 | NS      | $1057226.47    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 4.9% 10/01/46                              | PHILLIPS 66 REGD 144A P/P 4.90000000                                                             | CUSIP: 718547AN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    412000 | NS      | $364634.61     | 0.00%             | 2046-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#AX7276 3.5% 12/01/29                            | FANNIE MAE POOL UMBS P#AX7276 3.50000000                                                         | CUSIP: 3138Y9CN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1209117 | NS      | $1169000.50    | 0.01%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-43 FL V/R 05/25/37                            | FANNIE MAE REMICS SER 2007-43 CL FL V/R 4.68871000                                               | CUSIP: 31396VVL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21959 | NS      | $21367.20      | 0.00%             | 2037-05-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| GSMS 2020-GC45 2.91% 12/13/29                          | GS MORTGAGE SECURITIES TRUST 2020-GC45 SER 2020-GC45 CL A5 REGD 2.91060000                       | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2550000 | NS      | $2187652.14    | 0.01%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T3 1A3 7% 02/25/44                           | FANNIE MAE GRANTOR TRUST 2004-T3 SER 2004-T3 CL 1A3 7.00000000                                   | CUSIP: 31393YU78<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79408 | NS      | $83041.21      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3937 3% 02/01/50                              | FANNIE MAE POOL UMBS P#MA3937 3.00000000                                                         | CUSIP: 31418DLT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4446694 | NS      | $3934457.12    | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995108 V/R 11/01/37                             | FANNIE MAE POOL UMBS P#995108 V/R 4.02600000                                                     | CUSIP: 31416BNZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19929 | NS      | $20193.05      | 0.00%             | 2037-11-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FN 3.895% 09/01/2031                                   | FN 3.895 01SEP31 REGD 3.89500000                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |  12350000 | NS      | $12108789.06   | 0.08%             | 2031-09-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNR 2004-28 S V/R 04/16/34                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-28 CL S V/R 7.76520000                         | CUSIP: 38374GDC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18704 | NS      | $19549.64      | 0.00%             | 2034-04-16      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA 2.875% 01/15/26                            | AKER BP ASA REGD 144A P/P 2.87500000                                                             | CUSIP: 00973RAG8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   2326000 | NS      | $2148755.45    | 0.01%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ACM 2016-1A A 3.172% 05/15/25                          | ASSURANT COMMERCIAL MORTGAGE TRUST 2016-1 SER 2016-1A CL AS REGD 144A P/P 3.17200000             | CUSIP: 04624UAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9100000 | NS      | $8671558.35    | 0.06%             | 2049-05-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES  3.461% 07/12/49                         | TOTALENERGIES CAP INTL REGD 3.46100000                                                           | CUSIP: 89153VAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   1905000 | NS      | $1423352.03    | 0.01%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| UBSBM 2012-WR 3.663% 06/10/22                          | UBS-BAMLL TRUST 2012-WRM SER 2012-WRM CL A REGD 144A P/P 3.66300000                              | CUSIP: 90269PAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     56630 | NS      | $56549.47      | 0.00%             | 2030-06-10      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| BSARM 2004-2 14A V/R 05/25/34                          | BEAR STEARNS ARM TRUST 2004-2 SER 2004-2 CL 14A V/R REGD 3.20270200                              | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21686 | NS      | $19828.16      | 0.00%             | 2034-05-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GNR 2009-22 SA V/R 04/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-22 CL SA V/R 1.91714000                        | CUSIP: 38374TRY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    128823 | NS      | $6403.50       | 0.00%             | 2039-04-20      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| FHLMC P#782980 V/R 01/01/35                            | FREDDIE MAC NON GOLD POOL P#782980 V/R 2.37500000                                                | CUSIP: 31349UJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17621 | NS      | $17519.28      | 0.00%             | 2035-01-01      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-37T1  V/R 09/25/35                          | ALTERNATIVE LOAN TRUST 2005-37T1 SER 2005-37T1 CL A2 V/R REGD 0.66129000                         | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1423399 | NS      | $78790.28      | 0.00%             | 2035-09-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2619 5% 08/01/52                              | FANNIE MAE POOL UMBS P#FS2619 5.00000000                                                         | CUSIP: 3140XH4D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3432169 | NS      | $3388152.18    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2004-81 JG 5% 11/25/24                             | FANNIE MAE REMICS SER 2004-81 CL JG 5.00000000                                                   | CUSIP: 31394BCE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23226 | NS      | $23023.74      | 0.00%             | 2024-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 1993-247 SU V/R 12/25/23                           | FANNIE MAE REMICS SER 1993-247 CL SU V/R 7.58100000                                              | CUSIP: 31359FP36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       128 | NS      | $127.62        | 0.00%             | 2023-12-25      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| TPMT 2018-1 A1 V/R 05/25/24                            | TOWD POINT MORTGAGE TRUST 2018-1 SER 2018-1 CL A1 V/R REGD 144A P/P 3.00000000                   | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2179362 | NS      | $2101371.51    | 0.01%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-76 2A V/R 10/25/37                              | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-76 CL 2A V/R 2.01574200                   | CUSIP: 31397KYA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    653791 | NS      | $681592.13     | 0.00%             | 2037-10-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHER 4.55% 06/01/53                         | NORFOLK SOUTHERN CORP REGD 4.55000000                                                            | CUSIP: 655844CP1<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   1335000 | NS      | $1160359.87    | 0.01%             | 2053-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHG 24 ZE 6.25% 11/25/23                               | FHLMC-GNMA SER 24 CL ZE 6.25000000                                                               | CUSIP: 3133T2KA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       371 | NS      | $371.09        | 0.00%             | 2023-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHR 2064 TE 7% 06/15/28                                | FREDDIE MAC REMICS SER 2064 CL TE 7.00000000                                                     | CUSIP: 3133TELZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1001 | NS      | $1040.22       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUN 5.2% 09/20/47                         | DISCOVERY COMMUNICATIONS REGD 5.20000000                                                         | CUSIP: 25470DAT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1375000 | NS      | $1021379.19    | 0.01%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS  5.125% 11/15/24                         | PHILIP MORRIS INTL INC REGD 5.12500000                                                           | CUSIP: 718172CT4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   9682000 | NS      | $9694797.86    | 0.06%             | 2024-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GSMS 2013-GC12 A V/R 05/10/23                          | GS MORTGAGE SECURITIES TRUST 2013-GCJ12 SER 2013-GC12 CL A4 V/R REGD 3.13500000                  | CUSIP: 36197XAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1260000 | NS      | $1249218.18    | 0.01%             | 2046-06-10      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| UMBS P#888707 7.5% 10/01/37                            | FANNIE MAE POOL UMBS P#888707 7.50000000                                                         | CUSIP: 31410GKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71310 | NS      | $75638.69      | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSMS 2015-GC2 3.136% 01/10/25                          | GS MORTGAGE SECURITIES TRUST 2015-GC28 SER 2015-GC28 CL A4 REGD 3.13600000                       | CUSIP: 36251FAV8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8288729 | NS      | $7940878.77    | 0.05%             | 2048-02-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS F 3.8% 04/07/25                         | GENERAL MOTORS FINL CO REGD 3.80000000                                                           | CUSIP: 37045XDU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1785000 | NS      | $1723050.41    | 0.01%             | 2025-04-07      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0317 3% 08/20/42                           | GINNIE MAE II POOL P#MA0317 3.00000000                                                           | CUSIP: 36179MK66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1872036 | NS      | $1708908.27    | 0.01%             | 2042-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTR 0.75% 11/01/23                         | AMERICAN ELECTRIC POWER REGD SER M 0.75000000                                                    | CUSIP: 025537AQ4<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   3032000 | NS      | $2918917.53    | 0.02%             | 2023-11-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FHR 3171 MO ZCP 06/15/36                               | FREDDIE MAC REMICS SER 3171 CL MO ZCP 0.00000000                                                 | CUSIP: 31396TUG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39855 | NS      | $35389.15      | 0.00%             | 2036-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6499 2% 12/01/51                              | FREDDIE MAC POOL UMBS P#RA6499 2.00000000                                                        | CUSIP: 3133KNGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3546185 | NS      | $2892315.63    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#695533 8% 06/01/27                              | FANNIE MAE POOL UMBS P#695533 8.00000000                                                         | CUSIP: 31400RV24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2851 | NS      | $2900.94       | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HL 2% 03/15/31                         | HEALTHCARE RLTY HLDGS LP REGD 2.00000000                                                         | CUSIP: 42225UAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1380000 | NS      | $1044706.09    | 0.01%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQU 4.5% 05/15/30                         | SABINE PASS LIQUEFACTION REGD SER WI 4.50000000                                                  | CUSIP: 785592AX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3320000 | NS      | $3077363.41    | 0.02%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#889705 5.5% 06/01/38                            | FANNIE MAE POOL UMBS P#889705 5.50000000                                                         | CUSIP: 31410KNW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55077 | NS      | $57114.71      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E 3.75% 06/01/47                         | SAN DIEGO G & E REGD SER RRR 3.75000000                                                          | CUSIP: 797440BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4417000 | NS      | $3428960.74    | 0.02%             | 2047-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WFCM 2017-RC1 3.631% 12/15/25                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-RC1 SER 2017-RC1 CL A4 REGD 3.63100000                | CUSIP: 95001FAX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | NS      | $9332961.00    | 0.06%             | 2060-01-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| AID-ISRAEL ZCP 11/01/24                                | AID-ISRAEL REGD ZCP SER 1 0.00000000                                                             | CUSIP: 465139VD2<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |   1000000 | NS      | $915329.05     | 0.01%             | 2024-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3225 EO ZCP 10/15/36                               | FREDDIE MAC REMICS SER 3225 CL EO ZCP 0.00000000                                                 | CUSIP: 31397BQR5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21325 | NS      | $17471.19      | 0.00%             | 2036-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNA 2015-M7 A2 2.59% 12/25/24                          | FANNIE MAE-ACES SER 2015-M7 CL A2 2.59000000                                                     | CUSIP: 3136ANLF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1083835 | NS      | $1036274.90    | 0.01%             | 2024-12-25      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN2 2.144% 03/15/30                          | BANK 2020-BNK27 SER 2020-BN27 CL A5 REGD 2.14400000                                              | CUSIP: 06539XAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1538000 | NS      | $1248741.11    | 0.01%             | 2063-04-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| VSTNA 2018-A A 3.56% 09/20/26                          | VSE 2018-A VOI MORTGAGE LLC SER 2018-A CL A REGD 144A P/P 3.56000000                             | CUSIP: 918286AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    742627 | NS      | $720030.79     | 0.00%             | 2036-02-20      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 01/10/25                               | BNP PARIBAS REGD V/R 144A P/P 4.70500000                                                         | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1600000 | NS      | $1584005.66    | 0.01%             | 2025-01-10      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B2 2.263% 02/15/31                          | BENCHMARK 2021-B24 MORTGAGE TRUST SER 2021-B24 CL A4 REGD 2.26380000                             | CUSIP: 08163CBB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | NS      | $16506622.00   | 0.11%             | 2054-03-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| DIST OF COLUMB 4.814% 10/01/14                         | DIST OF COLUMBIA WTR & SWR AUT REGD N/C B/E 4.81400000                                           | CUSIP: 254845JZ4<br>LEI: 549300OT2FIJQJ5PSH71 | Long             | DBT              | MUN               | US        |    875000 | NS      | $757254.66     | 0.00%             | 2114-10-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAY 4.75% 06/01/23                         | SEAGATE HDD CAYMAN REGD 4.75000000                                                               | CUSIP: 81180WAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1500000 | NS      | $1491600.00    | 0.01%             | 2023-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM8846 2.68% 05/01/25                           | FANNIE MAE POOL UMBS P#AM8846 2.68000000                                                         | CUSIP: 3138L9ZL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1713269 | NS      | $1634826.13    | 0.01%             | 2025-05-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK AB 5.375% 09/22/27                         | NORDEA BANK ABP REGD 144A P/P 5.37500000                                                         | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   2035000 | NS      | $2044388.11    | 0.01%             | 2027-09-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL8708 1.4% 11/01/32                            | FANNIE MAE POOL UMBS P#BL8708 1.40000000                                                         | CUSIP: 3140J1VA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8500000 | NS      | $6381696.90    | 0.04%             | 2032-11-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER  6.125% 05/15/38                         | ALABAMA POWER CO REGD 6.12500000                                                                 | CUSIP: 010392EZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    219000 | NS      | $231999.46     | 0.00%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#915645 V/R 02/01/37                             | FANNIE MAE POOL UMBS P#915645 V/R 3.42800000                                                     | CUSIP: 31411VHW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13676 | NS      | $13621.26      | 0.00%             | 2037-02-01      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FHR 2709 PG 5% 11/15/23                                | FREDDIE MAC REMICS SER 2709 CL PG 5.00000000                                                     | CUSIP: 31394LMM1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14428 | NS      | $14354.96      | 0.00%             | 2023-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4587 4% 06/20/47                           | GINNIE MAE II POOL P#MA4587 4.00000000                                                           | CUSIP: 36179TCY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2943007 | NS      | $2825593.03    | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 04/27/28                         | BANK OF AMERICA CORP REGD V/R MTN 4.37600000                                                     | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3825291.80    | 0.02%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHR 2256 MC 7.25% 09/15/30                             | FREDDIE MAC REMICS SER 2256 CL MC 7.25000000                                                     | CUSIP: 3133TPS67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7631 | NS      | $8076.12       | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4322 4% 03/20/47                           | GINNIE MAE II POOL P#MA4322 4.00000000                                                           | CUSIP: 36179SYT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2078108 | NS      | $1994639.07    | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LMAT 2019-PR1 A1 V/R 09/25/59                          | LEGACY MORTGAGE ASSET TRUST 2019-PR1 SER 2019-PR1 CL A1 V/R REGD 144A P/P 6.85800000             | CUSIP: 52475MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10769539 | NS      | $10659590.68   | 0.07%             | 2059-09-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| CSFB 2003-21 1 5.25% 09/25/33                          | CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP SER 2003-21 CL 1A4 REGD 5.25000000           | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28763 | NS      | $26769.44      | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC P#848431 V/R 02/01/36                            | FREDDIE MAC NON GOLD POOL P#848431 V/R 4.18000000                                                | CUSIP: 31300LLL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21497 | NS      | $21765.93      | 0.00%             | 2036-02-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS4577 3.5% 08/01/44                            | FREDDIE MAC POOL UMBS P#ZS4577 3.50000000                                                        | CUSIP: 3132A5CN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2164053 | NS      | $2018458.21    | 0.01%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04817 5% 09/01/38                             | FREDDIE MAC GOLD POOL P#G04817 5.00000000                                                        | CUSIP: 3128M6VJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14241 | NS      | $14533.90      | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3064 SG V/R 11/15/35                               | FREDDIE MAC REMICS SER 3064 CL SG V/R 5.60713300                                                 | CUSIP: 31396ERQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17053 | NS      | $18236.35      | 0.00%             | 2035-11-15      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MER 2.875% 09/01/50                         | HACKENSACK MERIDIAN HLTH REGD SER 2020 2.87500000                                                | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1292810.92    | 0.01%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ONEOK INC 3.1% 03/15/30                                | ONEOK INC REGD 3.10000000                                                                        | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |  13970000 | NS      | $11706987.83   | 0.08%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.875% 11/30/27                           | UNITED STATES TREASURY NOTE 3.87500000                                                           | CUSIP: 91282CFZ9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  93042000 | NS      | $92533176.56   | 0.59%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#888209 5.5% 05/01/36                            | FANNIE MAE POOL UMBS P#888209 5.50000000                                                         | CUSIP: 31410FYE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25483 | NS      | $26372.19      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL9764 4.5% 02/01/46                            | FANNIE MAE POOL UMBS P#AL9764 4.50000000                                                         | CUSIP: 3138ERZ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3305241 | NS      | $3276582.87    | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD6542 2.5% 02/01/52                            | FREDDIE MAC POOL UMBS P#QD6542 2.50000000                                                        | CUSIP: 3133B4HT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3469030 | NS      | $2953737.87    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 09/10/27                         | GOLDMAN SACHS GROUP INC REGD V/R 1.54200000                                                      | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   6340000 | NS      | $5469057.84    | 0.04%             | 2027-09-10      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| FHMS K065 AM 3.326% 05/25/27                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K065 CL AM 3.32600000           | CUSIP: 3137F1G51<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1779000 | NS      | $1689048.96    | 0.01%             | 2027-05-25      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H10 FC V/R 04/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H10 CL FC V/R 4.32157000                       | CUSIP: 38376RAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3649815 | NS      | $3611836.52    | 0.02%             | 2065-04-20      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHR 1798 F 5% 05/15/23                                 | FREDDIE MAC REMICS SER 1798 CL F 5.00000000                                                      | CUSIP: 3133T6MS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       531 | NS      | $529.60        | 0.00%             | 2023-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS TBA 30YR 2% JAN 23                                | UMBS TBA 30YR 2% JAN 23        TO BE ANNOUNCED 2.00000000                                        | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8180000 | NS      | $6654104.93    | 0.04%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLI 6% 12/01/28                         | DUKE ENERGY CAROLINAS REGD SER A 6.00000000                                                      | CUSIP: 264399DK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | NS      | $249170.39     | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INVESCO FINANCE 3.75% 01/15/26                         | INVESCO FINANCE PLC REGD 3.75000000                                                              | CUSIP: 46132FAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4000000 | NS      | $3830142.16    | 0.02%             | 2026-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHR 3014 OD ZCP 08/15/35                               | FREDDIE MAC REMICS SER 3014 CL OD ZCP 0.00000000                                                 | CUSIP: 31395XBJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4040 | NS      | $3297.56       | 0.00%             | 2035-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC 3.15% 02/21/40                               | AMGEN INC REGD 3.15000000                                                                        | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   4747000 | NS      | $3495808.00    | 0.02%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MARM 2004-3 4A2 V/R 04/25/34                           | MASTR ADJUSTABLE RATE MORTGAGES TRUST 2004-3 SER 2004-3 CL 4A2 V/R REGD 2.69035700               | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18349 | NS      | $16174.44      | 0.00%             | 2034-04-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FHR 1642 PJ 6% 11/15/23                                | FREDDIE MAC REMICS SER 1642 CL PJ 6.00000000                                                     | CUSIP: 3133T2DL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1340 | NS      | $1340.08       | 0.00%             | 2023-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CO V/R 05/08/32                         | NORTHERN TRUST CORP REGD V/R 3.37500000                                                          | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |    411000 | NS      | $373298.31     | 0.00%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| COCA-COLA FEMSA 2.75% 01/22/30                         | COCA-COLA FEMSA SAB CV REGD 2.75000000                                                           | CUSIP: 191241AH1<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    619000 | NS      | $533113.75     | 0.00%             | 2030-01-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A95575 4% 12/01/40                             | FREDDIE MAC GOLD POOL P#A95575 4.00000000                                                        | CUSIP: 312944FQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    191145 | NS      | $183772.60     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 2423 TB 6.5% 03/15/32                              | FREDDIE MAC REMICS SER 2423 CL TB 6.50000000                                                     | CUSIP: 31339WBH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24937 | NS      | $25310.86      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08707 4% 05/01/46                             | FREDDIE MAC GOLD POOL P#G08707 4.00000000                                                        | CUSIP: 3128MJYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     95213 | NS      | $91281.27      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4901 4% 12/20/47                           | GINNIE MAE II POOL P#MA4901 4.00000000                                                           | CUSIP: 36179TNS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1361840 | NS      | $1307505.11    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2% 02/15/50                               | UNITED STATES TREASURY BOND 2.00000000                                                           | CUSIP: 912810SL3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  24856000 | NS      | $16415640.37   | 0.11%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J24062 2.5% 06/01/28                           | FREDDIE MAC GOLD POOL P#J24062 2.50000000                                                        | CUSIP: 31307CQP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    310547 | NS      | $295605.21     | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANC 3.875% 07/07/41                         | CELLNEX FINANCE REGD 144A P/P 3.87500000                                                         | CUSIP: 15118JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |   3000000 | NS      | $2052000.00    | 0.01%             | 2041-07-07      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JONAH 2022-1 A2 7.80% 11/10/37                         | JONAH 2022-1 A2  REGD 144A 7.80000000                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   7230000 | NS      | $7157286.44    | 0.05%             | 2037-11-10      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BD0539 5% 07/20/48                           | GINNIE MAE II POOL P#BD0539 5.00000000                                                           | CUSIP: 3617BFS45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1668839 | NS      | $1663955.12    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08372 4.5% 11/01/39                           | FREDDIE MAC GOLD POOL P#G08372 4.50000000                                                        | CUSIP: 3128MJMW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    683317 | NS      | $678156.58     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON  3% 02/24/25                         | BANK OF NY MELLON CORP REGD MTN SER G 3.00000000                                                 | CUSIP: 06406HDA4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   5360000 | NS      | $5165995.07    | 0.03%             | 2025-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HARTFORD FINL SV 4.3% 04/15/43                         | HARTFORD FINL SVCS GRP REGD 4.30000000                                                           | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |   1080000 | NS      | $863551.26     | 0.01%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN2 2.851% 10/17/52                          | BANK 2019-BNK21 SER 2019-BN21 CL A5 REGD 2.85100000                                              | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13192000 | NS      | $11400100.30   | 0.07%             | 2052-10-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#909236 7% 09/01/38                              | FANNIE MAE POOL UMBS P#909236 7.00000000                                                         | CUSIP: 31411JEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35172 | NS      | $37734.37      | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-139 BA 3% 09/20/47                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-139 CL BA 3.00000000                           | CUSIP: 38380HES7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    859042 | NS      | $791857.45     | 0.01%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WFRBS 2014-C2 3.631% 11/15/24                          | WFRBS COMMERCIAL MORTGAGE TRUST 2014-C25 SER 2014-C25 CL A5 REGD 3.63100000                      | CUSIP: 92939LAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3846000 | NS      | $3691149.27    | 0.02%             | 2047-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GSR 2006-1F 2A4 6% 02/25/36                            | GSR MORTGAGE LOAN TRUST 2006-1F SER 2006-1F CL 2A4 REGD 6.00000000                               | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    179779 | NS      | $93230.47      | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4737 5% 08/01/52                              | FANNIE MAE POOL UMBS P#MA4737 5.00000000                                                         | CUSIP: 31418EHP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10333342 | NS      | $10190439.26   | 0.07%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3607 TO ZCP 10/15/39                               | FREDDIE MAC REMICS SER 3607 CL TO ZCP 0.00000000                                                 | CUSIP: 31398LR34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58452 | NS      | $46610.01      | 0.00%             | 2039-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4588 4.5% 07/20/47                         | GINNIE MAE II POOL P#MA4588 4.50000000                                                           | CUSIP: 36179TCZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2293026 | NS      | $2260005.86    | 0.01%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FU 2.5% 01/14/25                         | ATHENE GLOBAL FUNDING REGD 144A P/P 2.50000000                                                   | CUSIP: 04685A2L4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    629000 | NS      | $589059.02     | 0.00%             | 2025-01-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA I 3.875% 04/15/30                         | T-MOBILE USA INC REGD SER WI 3.87500000                                                          | CUSIP: 87264ABF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  49523000 | NS      | $44858663.86   | 0.29%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#794792 V/R 10/01/34                             | FANNIE MAE POOL UMBS P#794792 V/R 3.70400000                                                     | CUSIP: 31405N7D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4432 | NS      | $4453.74       | 0.00%             | 2034-10-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNA 2021-M3 1A1 1% 11/25/33                            | FANNIE MAE-ACES SER 2021-M3 CL 1A1 1.00000000                                                    | CUSIP: 3136BDXP8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2620777 | NS      | $2465455.82    | 0.02%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SAMI 2004-AR5 1A V/R 10/19/34                          | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2004-AR5 SER 2004-AR5 CL 1A1 V/R REGD 4.99914000  | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49250 | NS      | $45830.71      | 0.00%             | 2034-10-19      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| PROG 2022-SFR3  5.2% 04/17/27                          | PROGRESS RESIDENTIAL 2022-SFR3 TRUST SER 2022-SFR3 CL E1 REGD 144A P/P 5.20000000                | CUSIP: 74331UAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9025000 | NS      | $7954879.58    | 0.05%             | 2039-04-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 4.5% 07/01/40                         | PACIFIC GAS & ELECTRIC REGD 4.50000000                                                           | CUSIP: 694308JQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6869000 | NS      | $5368581.18    | 0.03%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#823660 V/R 05/01/35                             | FANNIE MAE POOL UMBS P#823660 V/R 3.14700000                                                     | CUSIP: 31406YB58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3730 | NS      | $3652.05       | 0.00%             | 2035-05-01      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BD0531 5% 06/20/48                           | GINNIE MAE II POOL P#BD0531 5.00000000                                                           | CUSIP: 3617BFSU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    827267 | NS      | $834666.35     | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACR 2021-FL4 AS V/R 12/18/37                           | ACRE COMMERCIAL MORTGAGE 2021-FL4 LTD SER 2021-FL4 CL AS V/R REGD 144A P/P 5.43914000            | CUSIP: 00489TAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3990000 | NS      | $3888386.67    | 0.02%             | 2037-12-18      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHMS W5FX AFX V/R 04/25/28                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER W5FX CL AFX V/R 3.21398400           | CUSIP: 3137FG6Q3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3315000 | NS      | $3087160.05    | 0.02%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6847 2.5% 08/01/35                            | FANNIE MAE POOL UMBS P#CA6847 2.50000000                                                         | CUSIP: 3140QETD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4034666 | NS      | $3702136.13    | 0.02%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#755109 5.5% 11/01/33                            | FANNIE MAE POOL UMBS P#755109 5.50000000                                                         | CUSIP: 31403Q3S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1671 | NS      | $1689.62       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMCAR 2020-2 B 0.97% 08/18/23                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-2 SER 2020-2 CL B REGD 0.97000000                  | CUSIP: 03066EAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1443000 | NS      | $1412704.22    | 0.01%             | 2026-02-18      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.45% 02/01/50                            | COMCAST CORP REGD 3.45000000                                                                     | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1661000 | NS      | $1204630.67    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENE 6.25% 03/15/33                         | DIAMONDBACK ENERGY INC REGD 6.25000000                                                           | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   7822000 | NS      | $7939064.76    | 0.05%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 3.137% 11/15/35                           | BROADCOM INC REGD 144A P/P 3.13700000                                                            | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |  15711000 | NS      | $11551768.83   | 0.07%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT3012 3.5% 04/01/43                            | FANNIE MAE POOL UMBS P#AT3012 3.50000000                                                         | CUSIP: 3138WQK27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    751404 | NS      | $702728.67     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC 3.95% 04/13/52                          | AMAZON.COM INC REGD 3.95000000                                                                   | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3310729.92    | 0.02%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4364 2% 06/01/41                              | FANNIE MAE POOL UMBS P#MA4364 2.00000000                                                         | CUSIP: 31418DZ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7541278 | NS      | $6422347.41    | 0.04%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FORDO 2022-B A 3.74% 09/15/26                          | FORD CREDIT AUTO OWNER TRUST 2022-B SER 2022-B CL A3 REGD 3.74000000                             | CUSIP: 34534LAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4754000 | NS      | $4647523.71    | 0.03%             | 2026-09-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| NVENT FINANCE S 4.55% 04/15/28                         | NVENT FINANCE SARL REGD 4.55000000                                                               | CUSIP: 67078AAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   3625000 | NS      | $3328263.48    | 0.02%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER S V/R 04/12/23                         | BANCO SANTANDER SA REGD V/R 5.03914000                                                           | CUSIP: 05964HAH8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1000000 | NS      | $1000105.37    | 0.01%             | 2023-04-12      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| ANCHR 2021-1 A1 2.6% 10/25/26                          | ANCHOR MORTGAGE TRUST 2021-RTL1 SER 2021-1 CL A1 REGD 144A P/P 2.60000000                        | CUSIP: 03333HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10980474 | NS      | $10949350.28   | 0.07%             | 2026-10-25      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL 3.951% 10/15/50                         | LIBERTY MUTUAL GROUP INC REGD 144A P/P 3.95100000                                                | CUSIP: 53079EBJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6769000 | NS      | $4721907.38    | 0.03%             | 2050-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDE 2.746% 05/28/25                         | BANCO SANTANDER SA REGD 2.74600000                                                               | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1600000 | NS      | $1497424.90    | 0.01%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMO 5.419% 11/15/48                         | DUPONT DE NEMOURS INC REGD 5.41900000                                                            | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   1200000 | NS      | $1142159.41    | 0.01%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS  6.345% 02/15/34                         | GOLDMAN SACHS CAPITAL I REGD 6.34500000                                                          | CUSIP: 38143VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    127000 | NS      | $130570.10     | 0.00%             | 2034-02-15      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP 6.3% 10/15/37                          | MCDONALD'S CORP REGD MTN 6.30000000                                                              | CUSIP: 58013MEC4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    394000 | NS      | $428894.35     | 0.00%             | 2037-10-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| DRIVE 2021-1 C 1.02% 04/15/24                          | DRIVE AUTO RECEIVABLES TRUST 2021-1 SER 2021-1 CL C REGD 1.02000000                              | CUSIP: 262108AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2965000 | NS      | $2898457.99    | 0.02%             | 2027-06-15      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| US TIPS 3.625% 04/15/28                                | UNITED STATES TREASURY INFLATION INDEXED BONDS 3.62500000                                        | CUSIP: 912810FD5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1921769 | NS      | $2094367.60    | 0.01%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB4045 2.5% 10/01/50                            | FREDDIE MAC POOL UMBS P#QB4045 2.50000000                                                        | CUSIP: 3133AAP63<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7139494 | NS      | $6065880.05    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HART 2021-C A4 1.03% 09/15/25                          | HYUNDAI AUTO RECEIVABLES TRUST 2021-C SER 2021-C CL A4 REGD 1.03000000                           | CUSIP: 44935FAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3379000 | NS      | $3058013.25    | 0.02%             | 2027-12-15      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI 1.55% 03/25/26                         | SUMITOMO MITSUI TR BK LT REGD 144A P/P MTN 1.55000000                                            | CUSIP: 86563VAV1<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |   3871000 | NS      | $3446368.06    | 0.02%             | 2026-03-25      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CAB 6.55% 05/01/37                         | TIME WARNER CABLE LLC REGD 6.55000000                                                            | CUSIP: 88732JAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | NS      | $357022.85     | 0.00%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL 6.75% 03/01/41                           | ARCELORMITTAL REGD 6.75000000                                                                    | CUSIP: 03938LAS3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |   3462000 | NS      | $3338405.67    | 0.02%             | 2041-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1130 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH1130 4.00000000                                                         | CUSIP: 3138A2HG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    206866 | NS      | $198660.68     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 1671 QC V/R 02/15/24                               | FREDDIE MAC REMICS SER 1671 CL QC V/R 10.00000000                                                | CUSIP: 3133T36V5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       420 | NS      | $426.29        | 0.00%             | 2024-02-15      | Variable      | 10.00%                | No            |                  2 | On Loan: No      |
| GNMA II P#CK2715 3.5% 02/20/52                         | GINNIE MAE II POOL P#CK2715 3.50000000                                                           | CUSIP: 3617XXAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5111344 | NS      | $4642865.54    | 0.03%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS 2018-C2 4.047% 10/15/28                          | BBCMS MORTGAGE TRUST 2018-C2 SER 2018-C2 CL A4 REGD 4.04700000                                   | CUSIP: 05491UBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | NS      | $18813362.00   | 0.12%             | 2051-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE 3% 12/01/31                         | FRESENIUS MED CARE III REGD 144A P/P 3.00000000                                                  | CUSIP: 35805BAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | NS      | $6011682.48    | 0.04%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BATLN 2016-10A A V/R 01/25/35                          | BATTALION CLO X LTD SER 2016-10A CL A1R2 V/R REGD 144A P/P 5.49457000                            | CUSIP: 07132JBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | NS      | $1946184.00    | 0.01%             | 2035-01-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK N 3.95% 02/27/23                         | DEUTSCHE BANK NY REGD 3.95000000                                                                 | CUSIP: 251526BR9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4982730.60    | 0.03%             | 2023-02-27      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.875% 02/15/51                           | UNITED STATES TREASURY BOND 1.87500000                                                           | CUSIP: 912810SU3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  36494200 | NS      | $23193774.95   | 0.15%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC 2.45% 02/01/32                            | WP CAREY INC REGD 2.45000000                                                                     | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1360000 | NS      | $1062716.63    | 0.01%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FISERV INC 3.2% 07/01/26                               | FISERV INC REGD 3.20000000                                                                       | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    890000 | NS      | $832914.70     | 0.01%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#759424 5.5% 01/01/34                            | FANNIE MAE POOL UMBS P#759424 5.50000000                                                         | CUSIP: 31403VVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5047 | NS      | $5208.65       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2781 2.5% 10/01/46                            | FANNIE MAE POOL UMBS P#MA2781 2.50000000                                                         | CUSIP: 31418CCT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    385923 | NS      | $332724.92     | 0.00%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.25% 05/15/39                            | UNITED STATES TREASURY BOND 4.25000000                                                           | CUSIP: 912810QB7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9000000 | NS      | $9269296.92    | 0.06%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 3.5% JAN 23                              | FNMA 30YR TBA 3.5% JAN 23      TO BE ANNOUNCED 3.50000000                                        | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  37055000 | NS      | $33657157.29   | 0.22%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC 1.5% 01/19/26                             | SK HYNIX INC REGD 144A P/P 1.50000000                                                            | CUSIP: 78392BAB3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   2000000 | NS      | $1733213.82    | 0.01%             | 2026-01-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 02/15/48                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810SA7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    870000 | NS      | $713094.14     | 0.00%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SC0104 3.5% 08/01/35                            | FREDDIE MAC POOL UMBS P#SC0104 3.50000000                                                        | CUSIP: 3132D9DH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4019055 | NS      | $3891909.65    | 0.02%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 4.2% 08/15/34                             | COMCAST CORP REGD 4.20000000                                                                     | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    555000 | NS      | $512379.77     | 0.00%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GSR 2004-6F 3A4 6.5% 05/25/34                          | GSR MORTGAGE LOAN TRUST 2004-6F SER 2004-6F CL 3A4 REGD 6.50000000                               | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22028 | NS      | $21903.91      | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE  5.099% 06/01/52                         | PG&E WILDFIRE RECOVERY REGD SER A-5 5.09900000                                                   | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2420000 | NS      | $2275325.75    | 0.01%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CGCMT 2016-GC3 3.05% 01/10/26                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 SER 2016-GC37 CL A3 REGD 3.05000000                | CUSIP: 17290XAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7530964 | NS      | $7035583.22    | 0.05%             | 2049-04-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FREMF 2014-K41 C V/R 10/25/24                          | FREMF 2014-K41 MORTGAGE TRUST SER 2014-K41 CL C V/R REGD 3.83323000                              | CUSIP: 30287EAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6000000 | NS      | $5708752.80    | 0.04%             | 2047-11-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GNR 2009-14 KI 6.5% 03/20/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-14 CL KI 6.50000000                            | CUSIP: 38374XBQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26770 | NS      | $3662.24       | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 11/02/32                         | CAPITAL ONE FINANCIAL CO REGD V/R 2.61800000                                                     | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2495000 | NS      | $1910477.54    | 0.01%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| JOHN HANCOCK L 7.375% 02/15/24                         | JOHN HANCOCK LIFE INS C0 REGD P/P 7.37500000                                                     | CUSIP: 41020VAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    731000 | NS      | $744859.10     | 0.00%             | 2024-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR 2.811% 11/17/28                          | PROGRESS RESIDENTIAL 2021-SFR9 TRUST SER 2021-SFR9 CL E1 REGD 144A P/P 2.81100000                | CUSIP: 74333QAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5400000 | NS      | $4193222.04    | 0.03%             | 2040-11-17      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMI 4.665% 03/06/38                         | TELEFONICA EMISIONES SAU REGD 4.66500000                                                         | CUSIP: 87938WAV5<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |   1175000 | NS      | $928236.05     | 0.01%             | 2038-03-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 10/21/27                         | GOLDMAN SACHS GROUP INC REGD V/R 1.94800000                                                      | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2541000 | NS      | $2221812.16    | 0.01%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIAN 2.4% 10/01/26                         | ENTERGY LOUISIANA LLC REGD 2.40000000                                                            | CUSIP: 29364WAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | NS      | $590814.45     | 0.00%             | 2026-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE1863 2.5% 05/01/52                            | FREDDIE MAC POOL UMBS P#QE1863 2.50000000                                                        | CUSIP: 3133BBB81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    993208 | NS      | $841819.13     | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2007-76 SB V/R 11/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-76 CL SB V/R 2.14714000                        | CUSIP: 38375LR69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    141813 | NS      | $2971.14       | 0.00%             | 2037-11-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 11/10/26                         | NATWEST GROUP PLC REGD V/R 7.47200000                                                            | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   6411000 | NS      | $6671286.92    | 0.04%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| BMARK 2022-B3 3.041% 02/15/29                          | BENCHMARK 2022-B32 MORTGAGE TRUST SER 2022-B32 CL A3 REGD 3.04160000                             | CUSIP: 08163NBG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23000000 | NS      | $20116966.10   | 0.13%             | 2055-01-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY TR 2.25% 07/12/31                         | QATAR ENERGY TRADING LLC REGD 144A P/P 2.25000000                                                | CUSIP: 74730DAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | QA        |   3240000 | NS      | $2680976.88    | 0.02%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR3314 2.5% 03/01/51                            | FANNIE MAE POOL UMBS P#BR3314 2.50000000                                                         | CUSIP: 3140L1VG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2583984 | NS      | $2195200.45    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H16 FL V/R 07/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H16 CL FL V/R 4.28157000                       | CUSIP: 38376RDR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2278152 | NS      | $2252523.41    | 0.01%             | 2065-07-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 6.25% 04/15/49                         | ENERGY TRANSFER LP REGD 6.25000000                                                               | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3505000 | NS      | $3259209.87    | 0.02%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.8% 12/01/57                                 | AT&T INC REGD 3.80000000                                                                         | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    987000 | NS      | $680964.17     | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#888016 5.5% 05/01/36                            | FANNIE MAE POOL UMBS P#888016 5.50000000                                                         | CUSIP: 31410FSD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40448 | NS      | $41843.07      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 1970 PG 7.25% 07/15/27                             | FREDDIE MAC REMICS SER 1970 CL PG 7.25000000                                                     | CUSIP: 3133TAK43<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       288 | NS      | $297.06        | 0.00%             | 2027-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE IN 7.75% 10/14/52                         | ENEL FINANCE INTL NV REGD 144A P/P 7.75000000                                                    | CUSIP: 29278GBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1054000 | NS      | $1125973.50    | 0.01%             | 2052-10-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H14 FD V/R 06/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H14 CL FD V/R 4.31157000                       | CUSIP: 38375B3N0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    773581 | NS      | $767144.85     | 0.00%             | 2063-06-20      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNR 2006-46 UC 5.5% 12/25/35                           | FANNIE MAE REMICS SER 2006-46 CL UC 5.50000000                                                   | CUSIP: 31395D5M7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10421 | NS      | $10403.91      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AY8243 3.5% 05/01/30                            | FANNIE MAE POOL UMBS P#AY8243 3.50000000                                                         | CUSIP: 3138YNER4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    255924 | NS      | $247431.89     | 0.00%             | 2030-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-8 JZ 5.5% 03/25/36                            | FANNIE MAE REMICS SER 2006-8 CL JZ 5.50000000                                                    | CUSIP: 31394VW97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    123465 | NS      | $124805.79     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/39                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834DV7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    255000 | NS      | $128668.22     | 0.00%             | 2039-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VZMT 2022-6 A V/R 07/21/25                             | VERIZON MASTER TRUST SER 2022-6 CL A V/R REGD 3.67000000                                         | CUSIP: 92348KAZ6<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-CBDO         | CORP              | US        |   6485000 | NS      | $6279663.50    | 0.04%             | 2029-01-22      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.3% 03/01/35                                | BOEING CO REGD 3.30000000                                                                        | CUSIP: 097023BK0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1410000 | NS      | $1039033.85    | 0.01%             | 2035-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C00376 8% 11/01/24                             | FREDDIE MAC GOLD POOL P#C00376 8.00000000                                                        | CUSIP: 31292GMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        81 | NS      | $80.89         | 0.00%             | 2024-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P51361 6.5% 12/01/36                           | FREDDIE MAC GOLD POOL P#P51361 6.50000000                                                        | CUSIP: 3128C6QN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     61733 | NS      | $64210.54      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONIC 4.5% 03/01/23                         | ARROW ELECTRONICS INC REGD 4.50000000                                                            | CUSIP: 042735BC3<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    183000 | NS      | $182612.74     | 0.00%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| G2SF 30YR TBA 3.00% JAN 23                             | G2SF 30YR TBA 3.00% JAN 23     TO BE ANNOUNCED 3.00000000                                        | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7680000 | NS      | $6836595.92    | 0.04%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#54844 V/R 09/01/27                              | FANNIE MAE POOL UMBS P#54844 V/R 3.01900000                                                      | CUSIP: 3136195D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1468 | NS      | $1437.29       | 0.00%             | 2027-09-01      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09020 3.5% 11/01/42                           | FREDDIE MAC GOLD POOL P#C09020 3.50000000                                                        | CUSIP: 31292SAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    462045 | NS      | $432895.49     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 02/24/28                         | JPMORGAN CHASE & CO REGD V/R SER VAR 2.94700000                                                  | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2600000 | NS      | $2351953.08    | 0.02%             | 2028-02-24      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN23 2.92% 12/15/52                          | BANK 2019-BNK23 SER 2019-BN23 CL A3 REGD 2.92000000                                              | CUSIP: 06541RBB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8057938 | NS      | $6992099.23    | 0.04%             | 2052-12-15      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| GNR 2021-177 SB V/R 10/20/51                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-177 CL SB V/R 0.00000000                       | CUSIP: 38383CFR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12406559 | NS      | $196348.68     | 0.00%             | 2051-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ8104 3% 05/01/43                              | FANNIE MAE POOL UMBS P#AQ8104 3.00000000                                                         | CUSIP: 3138MQAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18516 | NS      | $16848.66      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 05/01/32                             | CITIGROUP INC REGD V/R 2.56100000                                                                | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  19270000 | NS      | $15212982.26   | 0.10%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-FRR1 B V/R 02/28/25                          | CASCADE FUNDING MORTGAGE TRUST 2021-FRR1 SER 2021-FRR1 CL BK45 V/R 144A P/P 2.09832100           | CUSIP: 12529YAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4450000 | NS      | $3895406.74    | 0.02%             | 2025-02-28      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND G V/R 09/30/27                         | BANK OF IRELAND GROUP REGD V/R 144A P/P 2.02900000                                               | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   6132000 | NS      | $5174230.66    | 0.03%             | 2027-09-30      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-HYB6 A V/R 11/20/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-HYB6 SER 2004-HYB6 CL A3 V/R REGD 3.86638900                | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22531 | NS      | $20722.45      | 0.00%             | 2034-11-20      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| HAROT 2021-4 A 0.88% 02/21/25                          | HONDA AUTO RECEIVABLES 2021-4 OWNER TRUST SER 2021-4 CL A3 REGD 0.88000000                       | CUSIP: 43815GAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4355000 | NS      | $4132871.05    | 0.03%             | 2026-01-21      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| GLDKR 2014-A A 3.22% 07/15/20                          | GOLD KEY RESORTS 2014-A LLC SER 2014-A CL A REGD 144A P/P 3.22000000                             | CUSIP: 38061LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32826 | NS      | $32259.41      | 0.00%             | 2031-03-17      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES I 4.95% 06/01/43                         | CF INDUSTRIES INC REGD 4.95000000                                                                | CUSIP: 12527GAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | NS      | $1539946.46    | 0.01%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.25% 03/31/28                            | UNITED STATES TREASURY NOTE 1.25000000                                                           | CUSIP: 91282CBS9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  56535000 | NS      | $49136864.95   | 0.32%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| WFCM 2015-C30 3.664% 07/15/25                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30 SER 2015-C30 CL A4 REGD 3.66400000                | CUSIP: 94989NBE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    729000 | NS      | $692853.26     | 0.00%             | 2058-09-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINAN 3.95% 12/01/27                         | SYNCHRONY FINANCIAL REGD 3.95000000                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1337773.89    | 0.01%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A95825 4% 12/01/40                             | FREDDIE MAC GOLD POOL P#A95825 4.00000000                                                        | CUSIP: 312944PJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    473321 | NS      | $455062.50     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TEXAS HEALTH R 2.328% 11/15/50                         | TEXAS HEALTH RESOURCES REGD 2.32800000                                                           | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    970000 | NS      | $553960.77     | 0.00%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| AVANGRID INC 3.15% 12/01/24                            | AVANGRID INC REGD 3.15000000                                                                     | CUSIP: 05351WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    610000 | NS      | $583020.02     | 0.00%             | 2024-12-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#920340 V/R 02/01/36                             | FANNIE MAE POOL UMBS P#920340 V/R 4.25000000                                                     | CUSIP: 31412BPZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3855 | NS      | $3781.59       | 0.00%             | 2036-02-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3153 4% 10/01/37                              | FANNIE MAE POOL UMBS P#MA3153 4.00000000                                                         | CUSIP: 31418CQF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    718564 | NS      | $691876.44     | 0.00%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1560 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH1560 4.00000000                                                         | CUSIP: 3138A2WW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    710077 | NS      | $681929.87     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 3511 SA V/R 02/15/39                               | FREDDIE MAC REMICS SER 3511 CL SA V/R 1.68214000                                                 | CUSIP: 31397YVF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45548 | NS      | $2370.90       | 0.00%             | 2039-02-15      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH  5.1% 01/15/44                         | ELEVANCE HEALTH INC REGD 5.10000000                                                              | CUSIP: 94973VBF3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1690000 | NS      | $1592704.38    | 0.01%             | 2044-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHR 1518 G V/R 05/15/23                                | FREDDIE MAC REMICS SER 1518 CL G V/R 4.52300000                                                  | CUSIP: 312915YY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       235 | NS      | $233.72        | 0.00%             | 2023-05-15      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNS 374 5 5.5% 08/25/36                                | FANNIE MAE INTEREST STRIP SER 374 CL 5 5.50000000                                                | CUSIP: 3136FCZ82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15228 | NS      | $2881.44       | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 3.25% 02/16/26                          | CFIN 2022-RTL1 ISSUER LLC SER 2022-RTL1 CL AA REGD 144A P/P 3.25000000                           | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11000000 | NS      | $10466500.00   | 0.07%             | 2026-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT4051 3.5% 05/01/43                            | FANNIE MAE POOL UMBS P#AT4051 3.50000000                                                         | CUSIP: 3138WRQD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    835185 | NS      | $779851.45     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB0220 3% 06/01/50                              | FREDDIE MAC POOL UMBS P#QB0220 3.00000000                                                        | CUSIP: 3133A6G54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    632516 | NS      | $558157.60     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7410 3% 12/01/42                              | FANNIE MAE POOL UMBS P#AB7410 3.00000000                                                         | CUSIP: 31417EGU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    410956 | NS      | $373924.57     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CO 4.6% 02/06/24                         | REALTY INCOME CORP REGD 4.60000000                                                               | CUSIP: 756109BD5<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   7100000 | NS      | $7052413.10    | 0.05%             | 2024-02-06      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UMBS P#737825 6% 09/01/33                              | FANNIE MAE POOL UMBS P#737825 6.00000000                                                         | CUSIP: 31402TVS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6161 | NS      | $6298.48       | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2003-52 AP ZCP 06/16/33                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-52 CL AP ZCP 0.00000000                        | CUSIP: 38373QR86<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20813 | NS      | $18662.20      | 0.00%             | 2033-06-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH4429 4% 02/01/41                              | FANNIE MAE POOL UMBS P#AH4429 4.00000000                                                         | CUSIP: 3138A54P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    825998 | NS      | $793244.74     | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 2141 IO 7% 04/15/29                                | FREDDIE MAC REMICS SER 2141 CL IO 7.00000000                                                     | CUSIP: 3133TKGP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       427 | NS      | $32.63         | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.5% 02/15/30                             | UNITED STATES TREASURY NOTE 1.50000000                                                           | CUSIP: 912828Z94<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1855000 | NS      | $1580807.81    | 0.01%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNR 2013-100 WB 3% 10/25/33                            | FANNIE MAE REMICS SER 2013-100 CL WB 3.00000000                                                  | CUSIP: 3136AGWP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    791440 | NS      | $741901.53     | 0.00%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-16 HZ 5.5% 03/25/36                           | FANNIE MAE REMICS SER 2006-16 CL HZ 5.50000000                                                   | CUSIP: 31394V6A3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20874 | NS      | $20871.47      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMAC 3.025% 07/09/40                         | TAKEDA PHARMACEUTICAL REGD 3.02500000                                                            | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   3675000 | NS      | $2696923.85    | 0.02%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0579 3% 12/01/61                              | FANNIE MAE POOL UMBS P#BF0579 3.00000000                                                         | CUSIP: 3140FXUD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11172485 | NS      | $9739197.89    | 0.06%             | 2061-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO 4.55% 11/30/25                         | DOW CHEMICAL CO/THE REGD 4.55000000                                                              | CUSIP: 260543CN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    437000 | NS      | $434056.44     | 0.00%             | 2025-11-30      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ABU DHABI CRUDE  4.6% 11/02/47                         | ABU DHABI CRUDE OIL REGD 144A P/P 4.60000000                                                     | CUSIP: 00401MAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |   7085000 | NS      | $6500487.50    | 0.04%             | 2047-11-02      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO 2.85% 09/15/51                          | PECO ENERGY CO REGD 2.85000000                                                                   | CUSIP: 693304BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2878000 | NS      | $1894327.03    | 0.01%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| MUFG BANK LTD 3.75% 03/10/24                           | MUFG BANK LTD REGD P/P 3.75000000                                                                | CUSIP: 064255AW2<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |   3215000 | NS      | $3150631.71    | 0.02%             | 2024-03-10      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM5 A1 V/R 05/25/62                          | OBX 2022-NQM5 TRUST SER 2022-NQM5 CL A1 V/R REGD 144A P/P 4.31000000                             | CUSIP: 67115FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9922062 | NS      | $9358041.04    | 0.06%             | 2062-05-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G30974 3.5% 01/01/34                           | FREDDIE MAC GOLD POOL P#G30974 3.50000000                                                        | CUSIP: 3132J4JU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3134424 | NS      | $3038656.51    | 0.02%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH ED 3.65% 06/15/46                         | COMMONWEALTH EDISON CO REGD 3.65000000                                                           | CUSIP: 202795JJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    364000 | NS      | $276468.36     | 0.00%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP 4.95% 10/17/48                              | FEDEX CORP REGD 4.95000000                                                                       | CUSIP: 31428XBS4<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2607768.03    | 0.02%             | 2048-10-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q24028 4% 01/01/44                             | FREDDIE MAC GOLD POOL P#Q24028 4.00000000                                                        | CUSIP: 3132M4D93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66071 | NS      | $63357.12      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLE 4.7% 05/01/25                         | MARATHON PETROLEUM CORP REGD 4.70000000                                                          | CUSIP: 56585ABH4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   5043000 | NS      | $4965890.61    | 0.03%             | 2025-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91960 3.5% 11/01/37                           | FREDDIE MAC GOLD POOL P#C91960 3.50000000                                                        | CUSIP: 3128P8E98<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    960402 | NS      | $911969.49     | 0.01%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017 3.55% 01/15/30                         | AIR CANADA 2017-1A PTT REGD 144A P/P 3.55000000                                                  | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   2348226 | NS      | $1886552.67    | 0.01%             | 2030-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CO 2.995% 08/16/39                         | EXXON MOBIL CORPORATION REGD 2.99500000                                                          | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   3535000 | NS      | $2701761.97    | 0.02%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHAMS 2006-FA6 5.75% 11/25/21                          | FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 20 SER 2006-FA6 CL 3A1 REGD 5.75000000       | CUSIP: 32052FBD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       666 | NS      | $497.00        | 0.00%             | 2024-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q04592 4% 11/01/41                             | FREDDIE MAC GOLD POOL P#Q04592 4.00000000                                                        | CUSIP: 3132GKXV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4945 | NS      | $4754.35       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5524 V/R 08/20/71                          | GINNIE MAE II POOL P#CE5524 V/R 6.39300000                                                       | CUSIP: 3617VUD53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9924881 | NS      | $10356135.51   | 0.07%             | 2071-08-20      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| CGCMT 2018-B2 4.009% 02/10/28                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-B2 SER 2018-B2 CL A4 REGD 4.00900000                    | CUSIP: 17327FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | NS      | $936381.00     | 0.01%             | 2051-03-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| STACR 2021-DNA3  V/R 10/25/33                          | FREDDIE MAC STACR REMIC TRUST 2021-DNA3 SER 2021-DNA3 CL M2 V/R REGD 144A P/P 6.02768000         | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10610000 | NS      | $10402830.20   | 0.07%             | 2033-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1376 4% 10/20/43                           | GINNIE MAE II POOL P#MA1376 4.00000000                                                           | CUSIP: 36179NQ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1568752 | NS      | $1512631.17    | 0.01%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#745148 5% 01/01/36                              | FANNIE MAE POOL UMBS P#745148 5.00000000                                                         | CUSIP: 31403CZM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20536 | NS      | $20971.55      | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785863 V/R 12/20/71                          | GINNIE MAE II POOL P#785863 V/R 3.09100000                                                       | CUSIP: 3622ABML3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9621041 | NS      | $8572030.13    | 0.05%             | 2071-12-20      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| UMBS P#RC1914 2% 06/01/36                              | FREDDIE MAC POOL UMBS P#RC1914 2.00000000                                                        | CUSIP: 3133L8DT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2184760 | NS      | $1948598.14    | 0.01%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.875% 11/30/29                           | UNITED STATES TREASURY NOTE 3.87500000                                                           | CUSIP: 91282CFY2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  13022000 | NS      | $12934508.44   | 0.08%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TPMT 2017-2 A1 V/R 04/25/57                            | TOWD POINT MORTGAGE TRUST 2017-2 SER 2017-2 CL A1 V/R REGD 144A P/P 2.75000000                   | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    687163 | NS      | $678285.70     | 0.00%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS 3.25% 06/15/26                         | SOUTHERN CO GAS CAPITAL REGD 3.25000000                                                          | CUSIP: 001192AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | NS      | $209446.11     | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDING 1.653% 07/14/26                         | NOMURA HOLDINGS INC REGD 1.65300000                                                              | CUSIP: 65535HAW9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   5000000 | NS      | $4351471.10    | 0.03%             | 2026-07-14      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4208 2% 12/01/50                              | FANNIE MAE POOL UMBS P#MA4208 2.00000000                                                         | CUSIP: 31418DVA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10545623 | NS      | $8622622.31    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2011-58 WA V/R 07/25/51                            | FANNIE MAE REMICS SER 2011-58 CL WA V/R 5.50222400                                               | CUSIP: 31397UZD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19095 | NS      | $19054.23      | 0.00%             | 2051-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WOSAT 2021-A C 1.09% 04/15/25                          | WORLD OMNI SELECT AUTO TRUST 2021-A SER 2021-A CL C REGD 1.09000000                              | CUSIP: 98163HAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2350000 | NS      | $2139295.48    | 0.01%             | 2027-11-15      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANA 6% 11/01/27                         | ROYAL BANK OF CANADA REGD 6.00000000                                                             | CUSIP: 78016FZU1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   5562000 | NS      | $5798054.39    | 0.04%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WFCM 2015-NXS 3.498% 04/15/25                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2 SER 2015-NXS2 CL A4 REGD 3.49800000              | CUSIP: 94989MAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15000000 | NS      | $14314041.00   | 0.09%             | 2058-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H10 TA V/R 04/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H10 CL TA V/R 4.44157000                       | CUSIP: 38375UFT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2093174 | NS      | $2074812.32    | 0.01%             | 2064-04-20      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 01/30/27                              | UBS GROUP AG REGD V/R 1.36400000                                                                 | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   6550000 | NS      | $5736169.64    | 0.04%             | 2027-01-30      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| FNR 2005-110 GL 5.5% 12/25/35                          | FANNIE MAE REMICS SER 2005-110 CL GL 5.50000000                                                  | CUSIP: 31394US60<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    243531 | NS      | $247204.41     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BR3916 3% 09/20/50                           | GINNIE MAE II POOL P#BR3916 3.00000000                                                           | CUSIP: 3617M2K57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7076995 | NS      | $6575065.18    | 0.04%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC 6.45% 09/15/37                         | ASTRAZENECA PLC REGD 6.45000000                                                                  | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    500000 | NS      | $563633.41     | 0.00%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| GECMS 1999-HE 6.265% 04/25/29                          | GE CAPITAL MORTGAGE SERVICES INC 1999-HE1 TRUST SER 1999-HE1 CL A7 REGD 6.26500000               | CUSIP: 36157RD85<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         2 | NS      | $2.34          | 0.00%             | 2029-04-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2706 3.5% 08/01/46                            | FANNIE MAE POOL UMBS P#MA2706 3.50000000                                                         | CUSIP: 31418CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1937630 | NS      | $1799527.94    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALABAMA ECON S 4.263% 09/15/32                         | ALABAMA ECON SETTLEMENT AUTH B REGD N/C B/E 4.26300000                                           | CUSIP: 01026CAD3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    610000 | NS      | $567077.41     | 0.00%             | 2032-09-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| FNR 1993-136 ZB V/R 07/25/23                           | FANNIE MAE REMICS SER 1993-136 CL ZB V/R 6.00000000                                              | CUSIP: 31359BSN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1059 | NS      | $1057.59       | 0.00%             | 2023-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30YR 3% JAN 23                                | FNMA TBA 30YR 3% JAN 23        TO BE ANNOUNCED 3.00000000                                        | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -20000000 | NS      | $-17547385.20  | -0.11%            | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.625% 01/31/26                           | UNITED STATES TREASURY NOTE 2.62500000                                                           | CUSIP: 9128286A3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  25000000 | NS      | $23886718.75   | 0.15%             | 2026-01-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G20027 10% 10/01/30                            | FREDDIE MAC GOLD POOL P#G20027 10.00000000                                                       | CUSIP: 31283LA48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1798 | NS      | $1840.55       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| WELLS FARGO & CO 4.1% 06/03/26                         | WELLS FARGO & COMPANY REGD MTN 4.10000000                                                        | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3580000 | NS      | $3466341.30    | 0.02%             | 2026-06-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC 2% 05/15/30                                 | ZOETIS INC REGD 2.00000000                                                                       | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   1590000 | NS      | $1290339.01    | 0.01%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM O 5.375% 04/01/38                         | CHARTER COMM OPT LLC/CAP REGD 5.37500000                                                         | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    835000 | NS      | $695181.04     | 0.00%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA 5.875% 09/18/23                           | ECOPETROL SA REGD 5.87500000                                                                     | CUSIP: 279158AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | CO        |    395000 | NS      | $392447.00     | 0.00%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#BW9975 3% 08/01/52                              | FANNIE MAE POOL UMBS P#BW9975 3.00000000                                                         | CUSIP: 3140N3CM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    406929 | NS      | $358769.71     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BSABS 2004-AC2 2A 5% 05/25/34                          | BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-AC2 SER 2004-AC2 CL 2A REGD 5.00000000         | CUSIP: 073879AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12991 | NS      | $11182.93      | 0.00%             | 2034-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNR 2011-H11 FA V/R 03/20/61                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-H11 CL FA V/R 4.34157000                       | CUSIP: 38375BLN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    914658 | NS      | $907846.45     | 0.01%             | 2061-03-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION 4.504% 03/10/46                         | BROOKLYN UNION GAS CO REGD 144A P/P 4.50400000                                                   | CUSIP: 114259AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1594010.80    | 0.01%             | 2046-03-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4237 2% 01/01/51                              | FANNIE MAE POOL UMBS P#MA4237 2.00000000                                                         | CUSIP: 31418DV74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18689163 | NS      | $15276797.98   | 0.10%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M12 A2 V/R 06/25/27                           | FANNIE MAE-ACES SER 2017-M12 CL A2 V/R 3.06200000                                                | CUSIP: 3136AX7E9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3810787 | NS      | $3573974.63    | 0.02%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9876 2.5% 12/01/51                            | FANNIE MAE POOL UMBS P#FM9876 2.50000000                                                         | CUSIP: 3140XD6N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12932957 | NS      | $11060048.64   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROG 2022-SFR 3.945% 04/17/27                          | PROGRESS RESIDENTIAL 2022-SFR2 TRUST SER 2022-SFR2 CL D REGD 3.94500000                          | CUSIP: 74332VAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | NS      | $2607334.50    | 0.02%             | 2027-04-17      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G67710 3.5% 03/01/48                           | FREDDIE MAC GOLD POOL P#G67710 3.50000000                                                        | CUSIP: 3132XCR72<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2126508 | NS      | $1966341.37    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0085 V/R 11/01/37                             | FANNIE MAE POOL UMBS P#AD0085 V/R 3.49500000                                                     | CUSIP: 31418MCX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39701 | NS      | $39644.44      | 0.00%             | 2037-11-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHMS K068 A2 3.244% 08/25/27                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K068 CL A2 3.24400000           | CUSIP: 3137FBBX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13296000 | NS      | $12624611.84   | 0.08%             | 2027-08-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP 3.5% 02/01/25                         | VENTAS REALTY LP REGD 3.50000000                                                                 | CUSIP: 92277GAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    251000 | NS      | $241060.69     | 0.00%             | 2025-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BMIR 2019-3A M1B V/R 07/25/29                          | BELLEMEADE RE 2019-3 LTD SER 2019-3A CL M1B V/R REGD 144A P/P 5.98871000                         | CUSIP: 07877GAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    469021 | NS      | $468789.61     | 0.00%             | 2029-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNR 1997-32 PG 6.5% 04/25/27                           | FANNIE MAE REMICS SER 1997-32 CL PG 6.50000000                                                   | CUSIP: 31359PMW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5578 | NS      | $5667.83       | 0.00%             | 2027-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BSARM 2006-1 A1 V/R 02/25/36                           | BEAR STEARNS ARM TRUST 2006-1 SER 2006-1 CL A1 V/R REGD 6.80000000                               | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55575 | NS      | $53066.77      | 0.00%             | 2036-02-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| GSMS 2016-GS4 3.178% 09/10/26                          | GS MORTGAGE SECURITIES TRUST 2016-GS4 SER 2016-GS4 CL A3 REGD 3.17800000                         | CUSIP: 36251XAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11386541 | NS      | $10493780.33   | 0.07%             | 2049-11-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH C 3.75% 11/01/46                         | RAYTHEON TECH CORP REGD 3.75000000                                                               | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1130000 | NS      | $872144.10     | 0.01%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3597 3.5% 04/20/46                         | GINNIE MAE II POOL P#MA3597 3.50000000                                                           | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12393863 | NS      | $11558937.35   | 0.07%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2022-93 GS V/R 05/20/52                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-93 CL GS V/R 0.00000000                        | CUSIP: 38383R3S4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4347502 | NS      | $64167.83      | 0.00%             | 2052-05-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HARTFORD FINL SV 3.6% 08/19/49                         | HARTFORD FINL SVCS GRP REGD 3.60000000                                                           | CUSIP: 416515BF0<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |   1000000 | NS      | $718123.80     | 0.00%             | 2049-08-19      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0739 3.5% 02/01/52                            | FANNIE MAE POOL UMBS P#FS0739 3.50000000                                                         | CUSIP: 3140XFZD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9784614 | NS      | $8940355.22    | 0.06%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TAOT 2021-D A4 1.02% 10/15/25                          | TOYOTA AUTO RECEIVABLES 2021-D OWNER TRUST SER 2021-D CL A4 REGD 1.02000000                      | CUSIP: 89238JAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3168000 | NS      | $2822912.61    | 0.02%             | 2027-03-15      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| FHR 3614 QB 4% 12/15/24                                | FREDDIE MAC REMICS SER 3614 CL QB 4.00000000                                                     | CUSIP: 31398LKA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29330 | NS      | $28987.51      | 0.00%             | 2024-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDING 2.679% 07/16/30                         | NOMURA HOLDINGS INC REGD 2.67900000                                                              | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1550000 | NS      | $1239486.11    | 0.01%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH8029 4.5% 04/01/41                            | FANNIE MAE POOL UMBS P#AH8029 4.50000000                                                         | CUSIP: 3138A94P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    273521 | NS      | $271149.57     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-34 ED 6% 05/25/33                             | FANNIE MAE REMICS SER 2003-34 CL ED 6.00000000                                                   | CUSIP: 31393CDP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78771 | NS      | $80713.97      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2004-46 PO ZCP 06/20/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-46 CL PO ZCP 0.00000000                        | CUSIP: 38374G5Y4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32313 | NS      | $29345.85      | 0.00%             | 2034-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2014-USA 4.373% 09/15/25                          | CSMC 2014-USA OA LLC SER 2014-USA CL D REGD 144A P/P 4.37330000                                  | CUSIP: 12649AAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | NS      | $2206466.10    | 0.01%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| ATLANTA GA IND 5.557% 03/01/26                         | ATLANTA GA INDEP SCH SYS COPS REGD N/C B/E 5.55700000                                            | CUSIP: 04778CAF2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    535000 | NS      | $544402.89     | 0.00%             | 2026-03-01      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4833 4% 10/20/40                             | GINNIE MAE II POOL P#4833 4.00000000                                                             | CUSIP: 36202FLN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    859884 | NS      | $830838.91     | 0.01%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2009-43 SA V/R 06/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-43 CL SA V/R 1.59714000                        | CUSIP: 38374UF97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75277 | NS      | $2644.48       | 0.00%             | 2039-06-20      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSIO 4.25% 09/15/48                         | AEP TRANSMISSION CO LLC REGD 4.25000000                                                          | CUSIP: 00115AAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4790000 | NS      | $3991620.09    | 0.03%             | 2048-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| G2SF 30 YR TBA 4% JAN 23                               | G2SF 30 YR TBA 4% JAN 23       TO BE ANNOUNCED 4.00000000                                        | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6740000 | NS      | $6376696.75    | 0.04%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FLEX LTD 3.75% 02/01/26                                | FLEX LTD REGD 3.75000000                                                                         | CUSIP: 33938XAC9<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | US        |  14000000 | NS      | $13220362.12   | 0.08%             | 2026-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.375% 11/15/49                           | UNITED STATES TREASURY BOND 2.37500000                                                           | CUSIP: 912810SK5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  32332000 | NS      | $23367447.98   | 0.15%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SDART 2022-2 B 3.44% 08/15/25                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-2 SER 2022-2 CL B REGD 3.44000000                    | CUSIP: 80286MAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6127000 | NS      | $5919834.49    | 0.04%             | 2027-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/21/32                         | BANK OF AMERICA CORP REGD V/R 2.29900000                                                         | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  26051000 | NS      | $20062052.77   | 0.13%             | 2032-07-21      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.875% 11/15/51                           | UNITED STATES TREASURY BOND 1.87500000                                                           | CUSIP: 912810TB4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  57312000 | NS      | $36299092.79   | 0.23%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7319 4% 12/01/42                              | FANNIE MAE POOL UMBS P#AB7319 4.00000000                                                         | CUSIP: 31417EDZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    169146 | NS      | $162227.03     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-77 PC 6.5% 08/25/36                           | FANNIE MAE REMICS SER 2006-77 CL PC 6.50000000                                                   | CUSIP: 31396KGX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     47712 | NS      | $49144.99      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PHEAA 2021-1A A V/R 05/25/70                           | PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY SER 2021-1A CL A V/R 4.91871000                  | CUSIP: 71723MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7308089 | NS      | $7112676.59    | 0.05%             | 2070-05-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSH V/R 08/04/28                         | HUNTINGTON BANCSHARES REGD V/R 4.44300000                                                        | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   4667000 | NS      | $4445421.01    | 0.03%             | 2028-08-04      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/35                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128334Z0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1824000 | NS      | $1104318.16    | 0.01%             | 2035-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PRET 2021-NPL1 A V/R 09/27/60                          | PRETIUM MORTGAGE CREDIT PARTNERS I 202 SER 2021-NPL1 CL A1 V/R REGD 144A P/P 2.23950000          | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7627386 | NS      | $6946912.21    | 0.04%             | 2060-09-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| UMBS P#257510 7% 12/01/38                              | FANNIE MAE POOL UMBS P#257510 7.00000000                                                         | CUSIP: 31371PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89567 | NS      | $96978.15      | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  6.25% 10/02/43                         | GENERAL MOTORS CO REGD SER WI 6.25000000                                                         | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   3100000 | NS      | $2866038.26    | 0.02%             | 2043-10-02      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4438 2.5% 10/01/51                            | FANNIE MAE POOL UMBS P#MA4438 2.50000000                                                         | CUSIP: 31418D4Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1051761 | NS      | $891964.62     | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 3218 AO ZCP 09/15/36                               | FREDDIE MAC REMICS SER 3218 CL AO ZCP 0.00000000                                                 | CUSIP: 31397BHE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8750 | NS      | $6658.93       | 0.00%             | 2036-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 4.45% 04/15/42                         | PACIFIC GAS & ELECTRIC REGD 4.45000000                                                           | CUSIP: 694308GZ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1905000 | NS      | $1416901.22    | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4181 1.5% 11/01/50                            | FANNIE MAE POOL UMBS P#MA4181 1.50000000                                                         | CUSIP: 31418DUF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11877787 | NS      | $9176837.37    | 0.06%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-3 A4 5.75% 04/25/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-3 SER 2004-3 CL A4 REGD 5.75000000                          | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9174 | NS      | $8749.56       | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNR 2005-75 SV V/R 09/25/35                            | FANNIE MAE REMICS SER 2005-75 CL SV V/R 6.64516000                                               | CUSIP: 31394FAV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3425 | NS      | $3305.35       | 0.00%             | 2035-09-25      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 06/30/27                               | BNP PARIBAS REGD V/R 144A P/P 1.67500000                                                         | CUSIP: 09659W2Q6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2660000 | NS      | $2314884.44    | 0.01%             | 2027-06-30      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| INDIANA MICHIGA 3.25% 05/01/51                         | INDIANA MICHIGAN POWER REGD 3.25000000                                                           | CUSIP: 454889AU0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1570000 | NS      | $1067962.39    | 0.01%             | 2051-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC 3.875% 08/22/37                         | AMAZON.COM INC REGD 3.87500000                                                                   | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1700000 | NS      | $1506063.66    | 0.01%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0031 2.5% 10/01/51                            | FANNIE MAE POOL UMBS P#FS0031 2.50000000                                                         | CUSIP: 3140XFA92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2805871 | NS      | $2375292.07    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELI 3.4% 02/15/31                         | BOARDWALK PIPELINES LP REGD 3.40000000                                                           | CUSIP: 096630AH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1145000 | NS      | $957680.12     | 0.01%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNR 1996-14 SE V/R 08/25/23                            | FANNIE MAE REMICS SER 1996-14 CL SE V/R 7.00000000                                               | CUSIP: 31359KAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1335 | NS      | $17.59         | 0.00%             | 2023-08-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04332 5% 03/01/38                             | FREDDIE MAC GOLD POOL P#G04332 5.00000000                                                        | CUSIP: 3128M6ED6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29716 | NS      | $30357.36      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1564 V/R 04/01/37                            | FREDDIE MAC NON GOLD POOL P#1J1564 V/R 2.67100000                                                | CUSIP: 3128NHWZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24512 | NS      | $24046.60      | 0.00%             | 2037-04-01      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| BMARK 2020-B1 2.289% 02/15/30                          | BENCHMARK 2020-B17 MORTGAGE TRUST SER 2020-B17 CL A5 REGD 2.28900000                             | CUSIP: 08162MAX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3637000 | NS      | $3024337.53    | 0.02%             | 2053-03-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| UMBS P#AV5470 4% 12/01/43                              | FANNIE MAE POOL UMBS P#AV5470 4.00000000                                                         | CUSIP: 3138XHCG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    688474 | NS      | $661267.60     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 1995-19 Z 6.5% 11/25/23                            | FANNIE MAE REMICS SER 1995-19 CL Z 6.50000000                                                    | CUSIP: 31359LZB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1164 | NS      | $1161.81       | 0.00%             | 2023-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL  2.673% 06/07/31                         | ATHENE GLOBAL FUNDING REGD 144A P/P 2.67300000                                                   | CUSIP: 04685A2Y6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   3828000 | NS      | $2954070.36    | 0.02%             | 2031-06-07      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS  3.2% 08/15/29                         | GLOBAL PAYMENTS INC REGD 3.20000000                                                              | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   4843000 | NS      | $4116798.93    | 0.03%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0784 4% 02/20/43                           | GINNIE MAE II POOL P#MA0784 4.00000000                                                           | CUSIP: 36179M2R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    582163 | NS      | $562475.36     | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 3260 CS V/R 01/15/37                               | FREDDIE MAC REMICS SER 3260 CL CS V/R 1.82214000                                                 | CUSIP: 31397ELL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18023 | NS      | $1542.62       | 0.00%             | 2037-01-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| G2SF 30 YR TBA 5.5% JAN 23                             | G2SF 30 YR TBA 5.5% JAN 23     TO BE ANNOUNCED 5.50000000                                        | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8945000 | NS      | $8995016.86    | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2004-A3 4A V/R 07/25/34                          | JP MORGAN MORTGAGE TRUST 2004-A3 SER 2004-A3 CL 4A1 V/R REGD 3.63318200                          | CUSIP: 466247DA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1522 | NS      | $1469.29       | 0.00%             | 2034-07-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FHR 3122 OH ZCP 03/15/36                               | FREDDIE MAC REMICS SER 3122 CL OH ZCP 0.00000000                                                 | CUSIP: 31396JLG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18502 | NS      | $15809.73      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN7943 3.1% 01/01/28                            | FANNIE MAE POOL UMBS P#AN7943 3.10000000                                                         | CUSIP: 3138LLZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6531665 | NS      | $6129611.24    | 0.04%             | 2028-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| OPTN 2021-B A 1.47% 05/01/24                           | OPORTUN ISSUANCE TRUST 2021-B SER 2021-B CL A REGD 144A P/P 1.47000000                           | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5610000 | NS      | $4899918.74    | 0.03%             | 2031-05-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| UMBS P#BW7294 3.5% 08/01/52                            | FANNIE MAE POOL UMBS P#BW7294 3.50000000                                                         | CUSIP: 3140N0C86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    499999 | NS      | $454443.78     | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2022-68 SP V/R 04/20/52                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-68 CL SP V/R 0.02429000                        | CUSIP: 38383PB42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5922526 | NS      | $107256.94     | 0.00%             | 2052-04-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ODART 2021-1A  1.26% 05/14/25                          | ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2021-1 SER 2021-1A CL B REGD 144A P/P 1.26000000           | CUSIP: 682687AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10300000 | NS      | $8964151.80    | 0.06%             | 2028-07-14      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINAN 5.625% 03/15/42                         | ERAC USA FINANCE LLC REGD P/P 5.62500000                                                         | CUSIP: 26884TAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    357000 | NS      | $337510.97     | 0.00%             | 2042-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MBART 2022-1 A 5.21% 05/15/26                          | MERCEDES-BENZ AUTO RECEIVABLES TRUST 2022-1 SER 2022-1 CL A3 REGD 5.21000000                     | CUSIP: 58768PAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5202000 | NS      | $5246829.80    | 0.03%             | 2027-08-16      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC 4.45% 09/29/27                           | CITIGROUP INC REGD 4.45000000                                                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8213000 | NS      | $7830342.86    | 0.05%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SEMT 2004-11 A1 V/R 12/20/34                           | SEQUOIA MORTGAGE TRUST 2004-11 SER 2004-11 CL A1 V/R REGD 4.95286000                             | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54790 | NS      | $48824.88      | 0.00%             | 2034-12-20      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNGT 2001-T3 A1 7.5% 11/25/40                          | FANNIE MAE GRANTOR TRUST 2001-T3 SER 2001-T3 CL A1 7.50000000                                    | CUSIP: 31358S7A3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63278 | NS      | $64239.66      | 0.00%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA7075 3% 02/01/50                              | FREDDIE MAC POOL UMBS P#QA7075 0.00000000                                                        | CUSIP: 3133A12G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7570999 | NS      | $6720154.98    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 06-118 A2 V/R 12/25/36                             | FANNIE MAE SERIES 2006-118 CLASS A2 3.64413200                                                   | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    127458 | NS      | $125118.31     | 0.00%             | 2036-12-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| UMBS P#991908 7% 11/01/38                              | FANNIE MAE POOL UMBS P#991908 7.00000000                                                         | CUSIP: 31415W3R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26424 | NS      | $27609.25      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#257203 5% 05/01/28                              | FANNIE MAE POOL UMBS P#257203 5.00000000                                                         | CUSIP: 31371NU45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7276 | NS      | $7313.65       | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR11 A V/R 10/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR11 SER 2003-AR11 CL A6 V/R REGD 4.23223700 | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96314 | NS      | $88030.07      | 0.00%             | 2033-10-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| VOYA 2015-1A A1R V/R 01/18/29                          | VOYA CLO 2015-1 LTD SER 2015-1A CL A1R V/R REGD 144A P/P 5.09371000                              | CUSIP: 92914NAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3964107 | NS      | $3923557.73    | 0.03%             | 2029-01-18      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT2014 3% 04/01/43                              | FANNIE MAE POOL UMBS P#AT2014 3.00000000                                                         | CUSIP: 3138WPGY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    510716 | NS      | $464687.58     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2017-4 MT 3.5% 06/25/57                           | SEASONED CREDIT RISK TRANSFER TRUST 2017-4 SER 2017-4 CL MT 3.50000000                           | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2538288 | NS      | $2297676.17    | 0.01%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAFC 2005-6 2A7 5.5% 10/25/35                          | BANC OF AMERICA FUNDING 2005-6 TRUST SER 2005-6 CL 2A7 REGD 5.50000000                           | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17418 | NS      | $14370.87      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 3989 JW 3.5% 01/15/42                              | FREDDIE MAC REMICS SER 3989 CL JW 3.50000000                                                     | CUSIP: 3137AKHT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1405523 | NS      | $1311731.19    | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HERO 2017-3A A 3.95% 09/20/39                          | HERO FUNDING 2017-3 SER 2017-3A CL A2 REGD 144A P/P 3.95000000                                   | CUSIP: 42771AAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1369370 | NS      | $1264649.90    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNR 2003-73 HC 5.5% 08/25/33                           | FANNIE MAE REMICS SER 2003-73 CL HC 5.50000000                                                   | CUSIP: 31393DB91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     47546 | NS      | $48285.91      | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCI 3.35% 04/16/31                         | SAMMONS FINANCIAL GROUP REGD 144A P/P 3.35000000                                                 | CUSIP: 79588TAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | NS      | $5327985.67    | 0.03%             | 2031-04-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA2457 3% 04/01/50                              | FREDDIE MAC POOL UMBS P#RA2457 3.00000000                                                        | CUSIP: 3133KHWS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    888480 | NS      | $791929.76     | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#784119 3% 02/20/46                           | GINNIE MAE II POOL P#784119 3.00000000                                                           | CUSIP: 3622A2SG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    338162 | NS      | $307313.94     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4157 1.5% 10/01/50                            | FANNIE MAE POOL UMBS P#MA4157 1.50000000                                                         | CUSIP: 31418DTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1988769 | NS      | $1536539.56    | 0.01%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNR 2011-22 WA V/R 02/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-22 CL WA V/R 5.88926000                        | CUSIP: 38377QRC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26422 | NS      | $27096.82      | 0.00%             | 2037-02-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHR 1963 Z 7.5% 01/15/27                               | FREDDIE MAC REMICS SER 1963 CL Z 7.50000000                                                      | CUSIP: 3133TAA28<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2582 | NS      | $2660.50       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8226 3.5% 07/01/52                            | FREDDIE MAC POOL UMBS P#SD8226 3.50000000                                                        | CUSIP: 3132DWD75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8970720 | NS      | $8150933.08    | 0.05%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR &  1.832% 10/15/27                         | INTL FLAVOR & FRAGRANCES REGD 144A P/P 1.83200000                                                | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   2105000 | NS      | $1766659.81    | 0.01%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENE 3.25% 12/01/26                         | DIAMONDBACK ENERGY INC REGD 3.25000000                                                           | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   9210000 | NS      | $8566194.66    | 0.05%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNER 5.85% 11/15/43                         | BUCKEYE PARTNERS LP REGD 5.85000000                                                              | CUSIP: 118230AM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    591000 | NS      | $440341.37     | 0.00%             | 2043-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNCI 15YR TBA 2.5% JAN 23                              | FNCI 15YR TBA 2.5% JAN 23      TO BE ANNOUNCED 2.50000000                                        | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1005000 | NS      | $919452.31     | 0.01%             | 2038-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1086 2% 04/01/51                              | FANNIE MAE POOL UMBS P#FS1086 2.00000000                                                         | CUSIP: 3140XGF46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5873662 | NS      | $4798851.07    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABL 7.3% 07/01/38                         | TIME WARNER CABLE LLC REGD 7.30000000                                                            | CUSIP: 88732JAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1418000 | NS      | $1406616.47    | 0.01%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FIDELITY INV MMKT GOVT-INST                            | FIDELITY GOVERNMENT PORTFOLIO CL INSTITUTIONAL 0.00000000                                        | CUSIP: 31607A703<br>LEI: N/A                  | Long             | EC               | RF                | US        | 365658079 | NS      | $365658078.52  | 2.35%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW ENGLAND POWE 3.8% 12/05/47                         | NEW ENGLAND POWER CO REGD 144A P/P 3.80000000                                                    | CUSIP: 644188BF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5108000 | NS      | $3877681.61    | 0.02%             | 2047-12-05      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0624 3% 12/20/42                           | GINNIE MAE II POOL P#MA0624 3.00000000                                                           | CUSIP: 36179MVR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    537839 | NS      | $490966.00     | 0.00%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LE 3.95% 03/10/25                         | PENSKE TRUCK LEASING/PTL REGD 144A P/P 3.95000000                                                | CUSIP: 709599AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | NS      | $6742746.08    | 0.04%             | 2025-03-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PL 4.8% 04/05/26                         | NATWEST GROUP PLC REGD 4.80000000                                                                | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   3017000 | NS      | $2950417.59    | 0.02%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC 4.3% 02/15/30                                 | AT&T INC REGD SER * 4.30000000                                                                   | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  15390000 | NS      | $14491174.44   | 0.09%             | 2030-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UNIV OF PITTSB 3.555% 09/15/19                         | UNIV OF PITTSBURGH PA OF THE C REGD B/E 3.55500000                                               | CUSIP: 91335VKQ8<br>LEI: 5493002C83QSGL8ETT42 | Long             | DBT              | MUN               | US        |   2045000 | NS      | $1250122.82    | 0.01%             | 2119-09-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.875% 05/15/52                           | UNITED STATES TREASURY BOND 2.87500000                                                           | CUSIP: 912810TG3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  24906000 | NS      | $19955932.50   | 0.13%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0176 2.5% 01/01/52                            | FANNIE MAE POOL UMBS P#FS0176 2.50000000                                                         | CUSIP: 3140XFFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13205253 | NS      | $11205841.97   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO 3.55% 10/01/26                          | PHILLIPS 66 CO REGD 144A P/P 3.55000000                                                          | CUSIP: 718547AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | NS      | $178204.70     | 0.00%             | 2026-10-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY 5% 11/24/25                             | MORGAN STANLEY REGD MTN 5.00000000                                                               | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2990957.19    | 0.02%             | 2025-11-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR 2005-5F 8A3 V/R 06/25/35                           | GSR MORTGAGE LOAN TRUST 2005-5F SER 2005-5F CL 8A3 V/R REGD 4.88871000                           | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10595 | NS      | $9818.60       | 0.00%             | 2035-06-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA 5.375% 06/26/26                           | ECOPETROL SA REGD 5.37500000                                                                     | CUSIP: 279158AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | CO        |    537000 | NS      | $506471.55     | 0.00%             | 2026-06-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNR 1994-62 PK 7% 04/25/24                             | FANNIE MAE REMICS SER 1994-62 CL PK 7.00000000                                                   | CUSIP: 31359HVH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12204 | NS      | $12188.64      | 0.00%             | 2024-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#986648 6% 09/01/37                              | FANNIE MAE POOL UMBS P#986648 6.00000000                                                         | CUSIP: 31415RBR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39765 | NS      | $41397.80      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-1 BI V/R 02/25/38                             | FANNIE MAE REMICS SER 2008-1 CL BI V/R 1.52129000                                                | CUSIP: 31396YCX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     86483 | NS      | $6314.65       | 0.00%             | 2038-02-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM7117 3.14% 12/01/26                           | FANNIE MAE POOL UMBS P#AM7117 3.14000000                                                         | CUSIP: 3138L74B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1684345 | NS      | $1599029.71    | 0.01%             | 2026-12-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNR 2006-56 FC V/R 07/25/36                            | FANNIE MAE REMICS SER 2006-56 CL FC V/R 4.67871000                                               | CUSIP: 31395NXA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    151399 | NS      | $149013.02     | 0.00%             | 2036-07-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNR 2009-70 CO ZCP 01/25/37                            | FANNIE MAE REMICS SER 2009-70 CL CO ZCP 0.00000000                                               | CUSIP: 31396QYP8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45189 | NS      | $38063.85      | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 3.187% 11/15/36                           | BROADCOM INC REGD 144A P/P 3.18700000                                                            | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |  17915000 | NS      | $12868126.47   | 0.08%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FGLMC P#L10291 6.5% 11/01/36                           | FREDDIE MAC GOLD POOL P#L10291 6.50000000                                                        | CUSIP: 3128DHKC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     88596 | NS      | $91429.79      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ9316 2.5% 01/01/43                            | FANNIE MAE POOL UMBS P#AQ9316 2.50000000                                                         | CUSIP: 3138MRK67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1278002 | NS      | $1101776.08    | 0.01%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY IND 3.75% 05/15/46                         | DUKE ENERGY INDIANA LLC REGD 3.75000000                                                          | CUSIP: 26443TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | NS      | $461275.67     | 0.00%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6866 3% 09/20/50                           | GINNIE MAE II POOL P#MA6866 3.00000000                                                           | CUSIP: 36179VTX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    360544 | NS      | $323582.54     | 0.00%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B2 2.584% 03/15/31                          | BENCHMARK 2021-B24 MORTGAGE TRUST SER 2021-B24 CL A5 REGD 2.58430000                             | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | NS      | $2490508.20    | 0.02%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FHR 2744 PE 5.5% 02/15/34                              | FREDDIE MAC REMICS SER 2744 CL PE 5.50000000                                                     | CUSIP: 31394PR88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       646 | NS      | $639.24        | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXI 6.875% 08/04/26                         | PETROLEOS MEXICANOS REGD MTN 6.87500000                                                          | CUSIP: 71654QCB6<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   2390000 | NS      | $2257275.41    | 0.01%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#851432 V/R 10/01/35                             | FANNIE MAE POOL UMBS P#851432 V/R 3.66900000                                                     | CUSIP: 31408G4R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30344 | NS      | $30134.70      | 0.00%             | 2035-10-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| AH4R 2014-SFR 4.596% 12/17/24                          | AMERICAN HOMES 4 RENT 2014-SFR3 TRUST SER 2014-SFR3 CL C REGD 144A P/P 4.59600000                | CUSIP: 02665XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | NS      | $583423.26     | 0.00%             | 2036-12-17      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNR 2009-17 QS V/R 03/25/39                            | FANNIE MAE REMICS SER 2009-17 CL QS V/R 2.26129000                                               | CUSIP: 31397NGH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18296 | NS      | $1162.91       | 0.00%             | 2039-03-25      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE  3.55% 06/15/46                         | PUBLIC SERVICE COLORADO REGD 3.55000000                                                          | CUSIP: 744448CM1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    353000 | NS      | $259023.80     | 0.00%             | 2046-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GNMA P#363030 7% 09/15/23                              | GINNIE MAE I POOL P#363030 7.00000000                                                            | CUSIP: 36203YHF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       189 | NS      | $189.07        | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2125 JZ 6% 02/15/29                                | FREDDIE MAC REMICS SER 2125 CL JZ 6.00000000                                                     | CUSIP: 3133TJHS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7325 | NS      | $7343.84       | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2446 4% 12/20/44                           | GINNIE MAE II POOL P#MA2446 4.00000000                                                           | CUSIP: 36179QWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    646027 | NS      | $621415.25     | 0.00%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS 3.95% 10/01/46                         | SOUTHERN CO GAS CAPITAL REGD 3.95000000                                                          | CUSIP: 8426EPAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    282000 | NS      | $211328.96     | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1519 3% 04/01/52                              | FANNIE MAE POOL UMBS P#FS1519 3.00000000                                                         | CUSIP: 3140XGVM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9307319 | NS      | $8255772.80    | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7988 3% 04/20/52                           | GINNIE MAE II POOL P#MA7988 3.00000000                                                           | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1942247 | NS      | $1731089.51    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016 3.65% 01/07/26                         | UNITED AIR 2016-1 B PTT REGD 3.65000000                                                          | CUSIP: 90933HAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1531542 | NS      | $1385712.40    | 0.01%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2  3.6% 09/22/27                         | AMER AIRLN 15-2 AA PTT REGD 3.60000000                                                           | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    491386 | NS      | $440759.30     | 0.00%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BOEING CO 2.196% 02/04/26                              | BOEING CO REGD 2.19600000                                                                        | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  19535000 | NS      | $17748770.98   | 0.11%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNR 2004-17 H 5.5% 04/25/34                            | FANNIE MAE REMICS SER 2004-17 CL H 5.50000000                                                    | CUSIP: 31393XZV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    116901 | NS      | $117563.75     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RRT 2014-1 A ZCP 04/25/24                              | SERIES RR 2014-1 TRUST SER 2014-1 CL A ZCP REGD 144A P/P 0.00000000                              | CUSIP: 81753RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1603000 | NS      | $1465993.35    | 0.01%             | 2047-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04913 5% 03/01/38                             | FREDDIE MAC GOLD POOL P#G04913 5.00000000                                                        | CUSIP: 3128M6YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    104472 | NS      | $106810.95     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2002-1 G 7% 07/25/23                               | FANNIE MAE REMICS SER 2002-1 CL G 7.00000000                                                     | CUSIP: 31392BWG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       818 | NS      | $816.18        | 0.00%             | 2023-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BV7952 V/R 06/20/70                          | GINNIE MAE II POOL P#BV7952 V/R 3.03900000                                                       | CUSIP: 3617NMZR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4281767 | NS      | $3850816.17    | 0.02%             | 2070-06-20      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| GNR 2005-68 KI V/R 09/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-68 CL KI V/R 1.94714000                        | CUSIP: 38374L3B5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    259981 | NS      | $21477.74      | 0.00%             | 2035-09-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA P#252211 6% 12/1/28_                              | FEDERAL NATIONAL MORTGAGE ASSN  POOL #252211_ 6.00000000                                         | CUSIP: 31371HDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1341 | NS      | $1360.92       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0699 3% 01/01/52                              | FANNIE MAE POOL UMBS P#FS0699 3.00000000                                                         | CUSIP: 3140XFX55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    603866 | NS      | $533570.30     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-CB3 2 6.5% 10/25/34                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-CB3 TRUST SER 2004-CB3 CL 2A REGD 6.50000000 | CUSIP: 92922FXM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    951015 | NS      | $904803.04     | 0.01%             | 2034-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-108 SA V/R 12/25/37                           | FANNIE MAE REMICS SER 2007-108 CL SA V/R 1.97129000                                              | CUSIP: 31396XR55<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3221 | NS      | $202.33        | 0.00%             | 2037-12-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| UMBS P#702901 6% 05/01/33                              | FANNIE MAE POOL UMBS P#702901 6.00000000                                                         | CUSIP: 31401A3J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10039 | NS      | $10395.95      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-132 OA ZCP 08/25/33                           | FANNIE MAE REMICS SER 2003-132 CL OA ZCP 0.00000000                                              | CUSIP: 31393UVB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       843 | NS      | $776.49        | 0.00%             | 2033-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#591882 6.5% 07/15/32                            | GINNIE MAE I POOL P#591882 6.50000000                                                            | CUSIP: 36201SRB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1809 | NS      | $1859.18       | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT9193 3% 07/01/43                              | FANNIE MAE POOL UMBS P#AT9193 3.00000000                                                         | CUSIP: 3138WXGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    810948 | NS      | $737850.87     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE 3.125% 01/23/25                         | JPMORGAN CHASE & CO REGD 3.12500000                                                              | CUSIP: 46625HKC3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3860463.48    | 0.02%             | 2025-01-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNR 2007-53 ES V/R 09/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-53 CL ES V/R 2.19714000                        | CUSIP: 38375LFW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63605 | NS      | $2460.22       | 0.00%             | 2037-09-20      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H09 TA V/R 04/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H09 CL TA V/R 4.44157000                       | CUSIP: 38375UFZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1407157 | NS      | $1400452.69    | 0.01%             | 2064-04-20      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.625% 02/15/44                           | UNITED STATES TREASURY BOND 3.62500000                                                           | CUSIP: 912810RE0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  10150000 | NS      | $9309849.58    | 0.06%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#832801 V/R 09/01/35                             | FANNIE MAE POOL UMBS P#832801 V/R 3.88700000                                                     | CUSIP: 31407KGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8190 | NS      | $8082.67       | 0.00%             | 2035-09-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| UNIV OF VIRGIN 4.179% 09/01/17                         | UNIV OF VIRGINIA VA UNIV REVEN REGD B/E 4.17900000                                               | CUSIP: 915217WX7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1540000 | NS      | $1174511.18    | 0.01%             | 2117-09-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H03 FA V/R 12/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H03 CL FA V/R 4.34157000                       | CUSIP: 38375UTM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1234294 | NS      | $1226019.61    | 0.01%             | 2064-12-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G06193 5.5% 05/01/40                           | FREDDIE MAC GOLD POOL P#G06193 5.50000000                                                        | CUSIP: 3128M8GA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    857719 | NS      | $890370.46     | 0.01%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFCC 2022-A A 6.19% 10/15/30                           | CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST SER 2022-A CL A REGD 144A P/P 6.19000000        | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10045000 | NS      | $9614039.37    | 0.06%             | 2030-10-15      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST  7.102% 01/01/41                         | NEW JERSEY ST TURNPIKE AUTH TU REGD N/C B/E 7.10200000                                           | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   5870000 | NS      | $7078139.92    | 0.05%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| BACCT 2020-A1  0.34% 12/15/23                          | BA CREDIT CARD TRUST SER 2020-A1 CL A1 REGD 0.34000000                                           | CUSIP: 05522RDC9<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-CBDO         | CORP              | US        |   3665000 | NS      | $3506619.96    | 0.02%             | 2026-05-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS7111 4.98% 11/01/32                           | FANNIE MAE POOL UMBS P#BS7111 4.98000000                                                         | CUSIP: 3140LH3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7522000 | NS      | $7802201.95    | 0.05%             | 2032-11-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA 7.75% 05/14/38                         | BANK OF AMERICA CORP REGD 7.75000000                                                             | CUSIP: 59023VAA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    137000 | NS      | $159253.23     | 0.00%             | 2038-05-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FHS 270 F1 V/R 08/15/42                                | FREDDIE MAC STRIPS SER 270 CL F1 V/R 4.81786000                                                  | CUSIP: 3128HXXL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    443754 | NS      | $442572.11     | 0.00%             | 2042-08-15      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| ONEOK INC 4.95% 07/13/47                               | ONEOK INC REGD 4.95000000                                                                        | CUSIP: 682680AT0<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1850000 | NS      | $1490034.31    | 0.01%             | 2047-07-13      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G02210 7% 12/01/28                             | FREDDIE MAC GOLD POOL P#G02210 7.00000000                                                        | CUSIP: 3128LXN30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12258 | NS      | $12500.67      | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W2 2A2 7% 02/25/44                            | FANNIE MAE TRUST 2004-W2 SER 2004-W2 CL 2A2 7.00000000                                           | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23472 | NS      | $24491.72      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3245 4% 11/20/45                           | GINNIE MAE II POOL P#MA3245 4.00000000                                                           | CUSIP: 36179RTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1483441 | NS      | $1429694.12    | 0.01%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CR2 3.326% 09/10/24                          | COMM 2014-CCRE20 MORTGAGE TRUST SER 2014-CR20 CL A3 REGD 3.32600000                              | CUSIP: 12592LBH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9915334 | NS      | $9451063.07    | 0.06%             | 2047-11-10      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A23139 5% 06/01/34                             | FREDDIE MAC GOLD POOL P#A23139 5.00000000                                                        | CUSIP: 31297APY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31530 | NS      | $31709.36      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PERKINELMER IN 3.625% 03/15/51                         | PERKINELMER INC REGD 3.62500000                                                                  | CUSIP: 714046AJ8<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   3400000 | NS      | $2355946.56    | 0.02%             | 2051-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHR 2033 J 5.6% 06/15/23                               | FREDDIE MAC REMICS SER 2033 CL J 5.60000000                                                      | CUSIP: 3133TCWA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       949 | NS      | $947.69        | 0.00%             | 2023-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 07/24/28                             | CITIGROUP INC REGD V/R 3.66800000                                                                | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7895000 | NS      | $7250684.08    | 0.05%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSIO 3.15% 09/15/49                         | AEP TRANSMISSION CO LLC REGD 3.15000000                                                          | CUSIP: 00115AAL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    580000 | NS      | $401285.99     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6633 3.5% 10/01/42                            | FANNIE MAE POOL UMBS P#AB6633 3.50000000                                                         | CUSIP: 31417DLP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    485329 | NS      | $454291.33     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A1 7A V/R 02/25/37                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 SER 2007-A1 CL 7A1 V/R REGD 3.78828600               | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2733 | NS      | $2671.30       | 0.00%             | 2037-02-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| GNR 2009-31 TS V/R 03/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-31 CL TS V/R 1.94714000                        | CUSIP: 38374TXN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48469 | NS      | $695.96        | 0.00%             | 2039-03-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| BERKLEY (WR) CO 4.75% 08/01/44                         | BERKLEY (WR) CORPORATION REGD 4.75000000                                                         | CUSIP: 084423AT9<br>LEI: SQOAGCLKBDWNVYV1OV80 | Long             | DBT              | CORP              | US        |   3445000 | NS      | $2993933.54    | 0.02%             | 2044-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6411 4% 01/20/50                           | GINNIE MAE II POOL P#MA6411 4.00000000                                                           | CUSIP: 36179VDQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2709668 | NS      | $2589224.62    | 0.02%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM O 5.375% 05/01/47                         | CHARTER COMM OPT LLC/CAP REGD SER WI 5.37500000                                                  | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4610000 | NS      | $3616280.16    | 0.02%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHR 2474 NR 6.5% 07/15/32                              | FREDDIE MAC REMICS SER 2474 CL NR 6.50000000                                                     | CUSIP: 31392R3C3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18347 | NS      | $18850.20      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 4.45% 06/15/29                          | NRG ENERGY INC REGD 144A P/P 4.45000000                                                          | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1155000 | NS      | $1021422.27    | 0.01%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH 5.75% 05/01/40                         | BURLINGTN NORTH SANTA FE REGD 5.75000000                                                         | CUSIP: 12189LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    373000 | NS      | $390232.97     | 0.00%             | 2040-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASS MUTUAL LIFE 4.9% 04/01/77                         | MASS MUTUAL LIFE INS CO REGD 144A P/P 4.90000000                                                 | CUSIP: 575767AL2<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4083473.00    | 0.03%             | 2077-04-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNR 2006-110 PO ZCP 11/25/36                           | FANNIE MAE REMICS SER 2006-110  CL PO ZCP 0.00000000                                             | CUSIP: 31396LVP2<br>LEI: N/A                  | Long             | RE               | CORP              | US        |     27142 | NS      | $22371.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DCENT 2021-A2  1.03% 09/15/26                          | DISCOVER CARD EXECUTION NOTE TRUST SER 2021-A2 CL A2 REGD 1.03000000                             | CUSIP: 254683CQ6<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-CBDO         | CORP              | US        |   4668000 | NS      | $4084207.32    | 0.03%             | 2028-09-15      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  3.6% 02/01/23                         | ENERGY TRANSFER LP REGD 3.60000000                                                               | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1245000 | NS      | $1242606.92    | 0.01%             | 2023-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL S 6.55% 11/29/27                         | ARCELORMITTAL SA REGD 6.55000000                                                                 | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |   8018000 | NS      | $8055725.73    | 0.05%             | 2027-11-29      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OP 5.6% 04/01/44                         | DCP MIDSTREAM OPERATING REGD 5.60000000                                                          | CUSIP: 23311VAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2292000 | NS      | $2137002.65    | 0.01%             | 2044-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CARMX 2021-4 C 1.38% 10/15/25                          | CARMAX AUTO OWNER TRUST 2021-4 SER 2021-4 CL C REGD 1.38000000                                   | CUSIP: 14317JAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2850000 | NS      | $2507047.53    | 0.02%             | 2027-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM O 6.484% 10/23/45                         | CHARTER COMM OPT LLC/CAP REGD SER WI 6.48400000                                                  | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1275000 | NS      | $1149761.94    | 0.01%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANC 3.25% 04/30/30                         | CITIZENS FINANCIAL GROUP REGD 3.25000000                                                         | CUSIP: 174610AT2<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4340376.60    | 0.03%             | 2030-04-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC 4.375% 05/15/47                           | NISOURCE INC REGD 4.37500000                                                                     | CUSIP: 65473QBF9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   3618000 | NS      | $3025125.94    | 0.02%             | 2047-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP 4.8% 07/15/46                               | CIGNA CORP REGD SER * 4.80000000                                                                 | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    218000 | NS      | $194483.04     | 0.00%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNR 2009-63 P 5% 03/25/37                              | FANNIE MAE REMICS SER 2009-63 CL P 5.00000000                                                    | CUSIP: 31396QWV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1722 | NS      | $1689.79       | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROG 2.9% 08/15/51                         | DUKE ENERGY PROGRESS LLC REGD 2.90000000                                                         | CUSIP: 26442UAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1645000 | NS      | $1077142.20    | 0.01%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CJ6767 V/R 11/20/71                          | GINNIE MAE II POOL P#CJ6767 V/R 6.01900000                                                       | CUSIP: 3617XPQU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3481749 | NS      | $3565170.31    | 0.02%             | 2071-11-20      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTI 8% 03/01/32                         | NATIONAL RURAL UTIL COOP REGD MTN SER MTNC 8.00000000                                            | CUSIP: 637432CT0<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    791000 | NS      | $933882.04     | 0.01%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| VZMT 2022-1 A V/R 07/20/23                             | VERIZON MASTER TRUST SER 2022-1 CL A V/R REGD 1.04000000                                         | CUSIP: 92348KAL7<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-CBDO         | CORP              | US        |  11241000 | NS      | $10994200.47   | 0.07%             | 2027-01-20      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD8522 4% 08/01/40                              | FANNIE MAE POOL UMBS P#AD8522 4.00000000                                                         | CUSIP: 31418WPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60140 | NS      | $57756.65      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09015 3% 10/01/42                             | FREDDIE MAC GOLD POOL P#C09015 3.00000000                                                        | CUSIP: 31292SAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1892817 | NS      | $1724261.78    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4069 3.5% 11/20/46                         | GINNIE MAE II POOL P#MA4069 3.50000000                                                           | CUSIP: 36179SQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    627584 | NS      | $584098.98     | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08563 4% 01/01/44                             | FREDDIE MAC GOLD POOL P#G08563 4.00000000                                                        | CUSIP: 3128MJTV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    172000 | NS      | $164933.38     | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.0% JAN 23                              | FNMA 30YR TBA 4.0% JAN 23      TO BE ANNOUNCED 4.00000000                                        | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5580000 | NS      | $5232142.47    | 0.03%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#799912 V/R 11/01/34                             | FANNIE MAE POOL UMBS P#799912 V/R 3.98000000                                                     | CUSIP: 31405UVD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2962 | NS      | $2914.33       | 0.00%             | 2034-11-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| BOBA 2020-1A AR V/R 01/20/32                           | BALBOA BAY LOAN FUNDING 2020-1 LTD SER 2020-1A CL AR V/R REGD 144A P/P 5.36257000                | CUSIP: 05766BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16750000 | NS      | $16457226.75   | 0.11%             | 2032-01-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E 3.95% 11/15/41                         | SAN DIEGO G & E REGD 3.95000000                                                                  | CUSIP: 797440BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | NS      | $240979.50     | 0.00%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN 5.625% 04/01/30                         | ANGLO AMERICAN CAPITAL REGD 144A P/P 5.62500000                                                  | CUSIP: 034863AW0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4300000 | NS      | $4268764.80    | 0.03%             | 2030-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNR 2003-35 EA ZCP 05/25/33                            | FANNIE MAE REMICS SER 2003-35 CL EA ZCP 0.00000000                                               | CUSIP: 31393BP33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3058 | NS      | $2515.26       | 0.00%             | 2033-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 09/29/25                         | GOLDMAN SACHS GROUP INC REGD V/R 3.27200000                                                      | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5590000 | NS      | $5386682.30    | 0.03%             | 2025-09-29      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| ELMW2 2019-2A AR V/R 04/20/34                          | ELMWOOD CLO II LTD SER 2019-2A CL AR V/R REGD 144A P/P 5.39257000                                | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20000000 | NS      | $19514460.00   | 0.13%             | 2034-04-20      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J35072 2.5% 08/01/31                           | FREDDIE MAC GOLD POOL P#J35072 2.50000000                                                        | CUSIP: 31307RT54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    716251 | NS      | $670466.68     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMARK 2020-B21 A V/R 11/15/30                          | BENCHMARK 2020-B21 MORTGAGE TRUST SER 2020-B21 CL A5 V/R REGD 1.97750000                         | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7674000 | NS      | $6120636.59    | 0.04%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| LFT 2019-2A A 2.78% 04/20/24                           | LENDMARK FUNDING TRUST 2019-2 SER 2019-2A CL A REGD 144A P/P 2.78000000                          | CUSIP: 52604AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9785434 | NS      | $9496458.70    | 0.06%             | 2028-04-20      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNR 1997-20 IO V/R 03/25/27                            | FANNIE MAE REMICS SER 1997-20 CL IO V/R 1.84000000                                               | CUSIP: 31359N4H1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       663 | NS      | $5.09          | 0.00%             | 2027-03-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| WFCM 2021-C61 2.658% 07/15/31                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 SER 2021-C61 CL A4 REGD 2.65800000                | CUSIP: 95003QAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    464000 | NS      | $377619.95     | 0.00%             | 2054-11-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7795 4% 08/01/46                              | FANNIE MAE POOL UMBS P#AS7795 4.00000000                                                         | CUSIP: 3138WHUV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1403624 | NS      | $1342417.87    | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHMS K067 A2 3.194% 07/25/27                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K067 CL A2 3.19400000           | CUSIP: 3137FAWS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9215128 | NS      | $8734513.92    | 0.06%             | 2027-07-25      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| AMSR 2022-SFR3 E1 4% 10/17/27                          | AMSR 2022-SFR3 TRUST SER 2022-SFR3 CL E1 REGD 144A P/P 4.00000000                                | CUSIP: 66981YAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | NS      | $8240002.00    | 0.05%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SRFC 2021-1A B 1.34% 11/20/37                          | SIERRA TIMESHARE 2021-1 RECEIVABLES FUNDING LLC SER 2021-1A CL B REGD 144A P/P 1.34000000        | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3056898 | NS      | $2795794.87    | 0.02%             | 2037-11-20      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4263 3% 10/01/34                              | FANNIE MAE POOL UMBS P#CA4263 3.00000000                                                         | CUSIP: 3140QBWZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2292609 | NS      | $2151720.21    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 3274 B 6% 02/15/37                                 | FREDDIE MAC REMICS SER 3274 CL B 6.00000000                                                      | CUSIP: 31397F5S7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29367 | NS      | $29195.70      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SASC 2004-6XS A5 V/R 03/25/34                          | STRUCTURED ASSET SECURITIES CORP MORTGAGE PASS SER 2004-6XS CL A5B V/R REGD 6.05000000           | CUSIP: 86359BMB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13703 | NS      | $13457.75      | 0.00%             | 2034-03-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK2806 V/R 04/20/72                          | GINNIE MAE II POOL P#CK2806 V/R 6.23600000                                                       | CUSIP: 3617XXDK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9796024 | NS      | $10189218.55   | 0.07%             | 2072-04-20      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 4.625% 04/29/24                         | GLENCORE FUNDING LLC REGD P/P 4.62500000                                                         | CUSIP: 378272AH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1480317.02    | 0.01%             | 2024-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#WN3223 3.7% 06/01/34                            | FREDDIE MAC POOL UMBS P#WN3223 3.70000000                                                        | CUSIP: 3132XHSM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11150000 | NS      | $10322397.72   | 0.07%             | 2034-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHAMS 2005-FA8  5.5% 11/25/35                          | FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 20 SER 2005-FA8 CL 1A19 REGD 5.50000000      | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52289 | NS      | $27462.30      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0007 V/R 12/01/35                            | FREDDIE MAC NON GOLD POOL P#1Q0007 V/R 4.01500000                                                | CUSIP: 3128S4AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8572 | NS      | $8513.88       | 0.00%             | 2035-12-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-K92 B V/R 05/25/29                          | FREMF 2019-K92 MORTGAGE TRUST SER 2019-K92 CL B V/R REGD 144A P/P 4.34089900                     | CUSIP: 302973AG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6595000 | NS      | $5950636.18    | 0.04%             | 2052-05-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH3933 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH3933 4.00000000                                                         | CUSIP: 3138A5LP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89373 | NS      | $85829.44      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-85 SL V/R 09/25/37                            | FANNIE MAE REMICS SER 2007-85 CL SL V/R 5.17822500                                               | CUSIP: 31396XQU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5521 | NS      | $5344.72       | 0.00%             | 2037-09-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.75% 02/15/24                         | PACIFIC GAS & ELECTRIC REGD 3.75000000                                                           | CUSIP: 694308HG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3148000 | NS      | $3082911.42    | 0.02%             | 2024-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WFCM 2015-C29 A3 V/R 04/15/25                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C29 SER 2015-C29 CL A3 V/R REGD 3.36800000            | CUSIP: 94989KAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6649271 | NS      | $6335733.88    | 0.04%             | 2048-06-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| UMBS P#888605 V/R 07/01/35                             | FANNIE MAE POOL UMBS P#888605 V/R 2.58600000                                                     | CUSIP: 31410GGN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2709 | NS      | $2643.37       | 0.00%             | 2035-07-01      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEF 5% 03/15/27                         | SABINE PASS LIQUEFACTION REGD SER WI 5.00000000                                                  | CUSIP: 785592AS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | NS      | $1666890.72    | 0.01%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-AR3 A2 V/R 06/25/34                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR3 SER 2004-AR3 CL A2 V/R REGD 3.10375200   | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50137 | NS      | $45961.28      | 0.00%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91417 3.5% 01/01/32                           | FREDDIE MAC GOLD POOL P#C91417 3.50000000                                                        | CUSIP: 3128P7SE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    220694 | NS      | $213953.12     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ0669 3.5% 03/01/33                            | FANNIE MAE POOL UMBS P#BJ0669 3.50000000                                                         | CUSIP: 3140H1W71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1281429 | NS      | $1231704.14    | 0.01%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 3632 BS V/R 02/15/40                               | FREDDIE MAC REMICS SER 3632 CL BS V/R 3.10713300                                                 | CUSIP: 31398WRF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    155332 | NS      | $147642.16     | 0.00%             | 2040-02-15      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FHR 2434 ZA 6.5% 04/15/32                              | FREDDIE MAC REMICS SER 2434 CL ZA 6.50000000                                                     | CUSIP: 3133TVUN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     38160 | NS      | $38815.29      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8104 1.5% 11/01/50                            | FREDDIE MAC POOL UMBS P#SD8104 1.50000000                                                        | CUSIP: 3132DWAD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7770865 | NS      | $6003634.93    | 0.04%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC 3.7% 01/12/26                            | CITIGROUP INC REGD 3.70000000                                                                    | CUSIP: 172967KG5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   9150000 | NS      | $8801579.80    | 0.06%             | 2026-01-12      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| VITERRA FINANCE 5.25% 04/21/32                         | VITERRA FINANCE BV REGD 144A P/P 5.25000000                                                      | CUSIP: 92852LAD1<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |   5295000 | NS      | $4651027.77    | 0.03%             | 2032-04-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/N 4.3% 06/18/29                         | NXP BV/NXP FDG/NXP USA REGD 4.30000000                                                           | CUSIP: 62954HAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   7077000 | NS      | $6597880.16    | 0.04%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-64CB 5.5% 12/25/35                          | ALTERNATIVE LOAN TRUST 2005-64CB SER 2005-64CB CL 1A9 REGD 5.50000000                            | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48266 | NS      | $42162.81      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / E 5.3% 10/01/29                         | DELL INT LLC / EMC CORP REGD 5.30000000                                                          | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | NS      | $1075802.26    | 0.01%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY 3.875% 01/27/26                         | MORGAN STANLEY REGD MTN SER GMTN 3.87500000                                                      | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1725000 | NS      | $1669834.00    | 0.01%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNR 2001-81 LO ZCP 01/25/32                            | FANNIE MAE REMICS SER 2001-81 CL LO ZCP 0.00000000                                               | CUSIP: 31392BNB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       738 | NS      | $667.30        | 0.00%             | 2032-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINA 3.4% 05/09/27                         | CRH AMERICA FINANCE INC REGD 144A P/P 3.40000000                                                 | CUSIP: 12636YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | NS      | $185368.38     | 0.00%             | 2027-05-09      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP 2.525% 06/01/50                         | MICROSOFT CORP REGD 2.52500000                                                                   | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   9330000 | NS      | $6139596.89    | 0.04%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF  2.761% 04/01/45                         | UNIVERSITY OF CHICAGO REGD SER 20B 2.76100000                                                    | CUSIP: 91412NBD1<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |   1575000 | NS      | $1177419.55    | 0.01%             | 2045-04-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP L V/R 03/27/24                         | MACQUARIE GROUP LTD REGD V/R 144A P/P MTN 4.15000000                                             | CUSIP: 55608JAL2<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   2000000 | NS      | $1992669.78    | 0.01%             | 2024-03-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#894239 V/R 10/01/36                             | FANNIE MAE POOL UMBS P#894239 V/R 4.17700000                                                     | CUSIP: 31410QPY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13901 | NS      | $13680.99      | 0.00%             | 2036-10-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTR 2.332% 08/21/30                         | NATIONAL AUSTRALIA BANK REGD 144A P/P MTN 2.33200000                                             | CUSIP: 632525AU5<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   7300000 | NS      | $5557336.99    | 0.04%             | 2030-08-21      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN6850 3.22% 09/01/32                           | FANNIE MAE POOL UMBS P#AN6850 3.22000000                                                         | CUSIP: 3138LKTG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | NS      | $5284389.84    | 0.03%             | 2032-09-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4539 1.5% 02/01/42                            | FANNIE MAE POOL UMBS P#MA4539 1.50000000                                                         | CUSIP: 31418EBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1440630 | NS      | $1164264.75    | 0.01%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| RALI 2007-QS1 1A1 6% 01/25/37                          | RALI SERIES 2007-QS1 TRUST SER 2007-QS1 CL 1A1 REGD 6.00000000                                   | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8861 | NS      | $6708.86       | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-55 S V/R 07/25/28                             | FANNIE MAE REMICS SER 2008-55 CL S V/R 3.21129000                                                | CUSIP: 31397L4W6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     84956 | NS      | $4312.22       | 0.00%             | 2028-07-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL 5.5% 12/15/24                         | AVIATION CAPITAL GROUP REGD 144A P/P 5.50000000                                                  | CUSIP: 05369AAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1745000 | NS      | $1713999.06    | 0.01%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7471 2% 07/20/51                           | GINNIE MAE II POOL P#MA7471 2.00000000                                                           | CUSIP: 36179WJQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2734629 | NS      | $2292060.06    | 0.01%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-1 SD V/R 02/25/37                             | FANNIE MAE REMICS SER 2007-1 CL SD V/R 12.66773400                                               | CUSIP: 31396PHH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8374 | NS      | $13427.87      | 0.00%             | 2037-02-25      | Variable      | 12.67%                | No            |                  2 | On Loan: No      |
| FREMF 2015-K49 C V/R 07/25/25                          | FREMF 2015-K49 MORTGAGE TRUST SER 2015-K49 CL C V/R REGD 144A P/P 3.72446200                     | CUSIP: 30287TAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | NS      | $3738587.60    | 0.02%             | 2048-10-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5% JAN 23                                | FNMA 30YR TBA 5% JAN 23        TO BE ANNOUNCED 5.00000000                                        | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17460000 | NS      | $17201965.82   | 0.11%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#890222 6% 10/01/28                              | FANNIE MAE POOL UMBS P#890222 6.00000000                                                         | CUSIP: 31410LAX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24314 | NS      | $24680.15      | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2085 1.5% 11/01/51                            | FANNIE MAE POOL UMBS P#FS2085 1.50000000                                                         | CUSIP: 3140XHJ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7453665 | NS      | $5752870.07    | 0.04%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WRKCO INC 3.75% 03/15/25                               | WRKCO INC REGD SER WI 3.75000000                                                                 | CUSIP: 96145DAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1300000 | NS      | $1257267.74    | 0.01%             | 2025-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 01/21/43                          | SOCIETE GENERALE REGD V/R 144A P/P 4.02700000                                                    | CUSIP: 83368RBK7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2851000 | NS      | $1929096.76    | 0.01%             | 2043-01-21      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA P#607645 6.5% 02/15/33                            | GINNIE MAE I POOL P#607645 6.50000000                                                            | CUSIP: 36202SBN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6738 | NS      | $6928.70       | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#313687 7% 09/01/27                              | FANNIE MAE POOL UMBS P#313687 7.00000000                                                         | CUSIP: 31374GNC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       225 | NS      | $228.62        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BOAA 2005-11 1C 5.5% 12/25/35                          | BANC OF AMERICA ALTERNATIVE LOAN TRUST 2005-11 SER 2005-11 CL 1CB4 REGD 5.50000000               | CUSIP: 05948KU72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4889 | NS      | $4294.15       | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0185 3% 12/01/49                              | FREDDIE MAC POOL UMBS P#SD0185 3.00000000                                                        | CUSIP: 3132DMF26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    484413 | NS      | $429957.66     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4511 4% 06/20/47                           | GINNIE MAE II POOL P#MA4511 4.00000000                                                           | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1303054 | NS      | $1251003.87    | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMA 3.85% 04/15/45                         | NORTHROP GRUMMAN CORP REGD 3.85000000                                                            | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    195000 | NS      | $155525.74     | 0.00%             | 2045-04-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNR 2017-51 CP 3% 02/25/47                             | FANNIE MAE REMICS SER 2017-51 CL CP 3.00000000                                                   | CUSIP: 3136AW3K1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1144902 | NS      | $1036862.07    | 0.01%             | 2047-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD3796 5% 04/01/40                              | FANNIE MAE POOL UMBS P#AD3796 5.00000000                                                         | CUSIP: 31418RGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    120237 | NS      | $121429.63     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 2344 ZD 6.5% 08/15/31                              | FREDDIE MAC REMICS SER 2344 CL ZD 6.50000000                                                     | CUSIP: 313399C47<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78372 | NS      | $80726.65      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 1998-66 C 6% 12/25/28                              | FANNIE MAE REMICS SER 1998-66 CL C 6.00000000                                                    | CUSIP: 31359U3Z6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       405 | NS      | $406.89        | 0.00%             | 2028-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOFI 2018-B A2 3.34% 11/25/26                          | SOFI PROFESSIONAL LOAN PROGRAM 2018-B TRUST SER 2018-B CL A2FX REGD 144A P/P 3.34000000          | CUSIP: 83404RAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1538261 | NS      | $1489876.30    | 0.01%             | 2047-08-25      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.875% 02/15/41                           | UNITED STATES TREASURY BOND 1.87500000                                                           | CUSIP: 912810SW9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  37782000 | NS      | $26704199.72   | 0.17%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUND 1.75% 06/30/26                         | F&G GLOBAL FUNDING REGD 144A P/P 1.75000000                                                      | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   1905000 | NS      | $1696146.18    | 0.01%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#555285 6% 03/01/33                              | FANNIE MAE POOL UMBS P#555285 6.00000000                                                         | CUSIP: 31385W2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2233 | NS      | $2309.64       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FFIN 2019-1A A 3.86% 11/15/34                          | FOUNDATION FINANCE TRUST 2019-1 SER 2019-1A CL A REGD 144A P/P 3.86000000                        | CUSIP: 35041JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    774461 | NS      | $758391.37     | 0.00%             | 2034-11-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA0293 4.5% 01/01/30                            | FANNIE MAE POOL UMBS P#MA0293 4.50000000                                                         | CUSIP: 31417YKF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    111316 | NS      | $110458.46     | 0.00%             | 2030-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSMPS 2005-RP3 1 V/R 09/25/35                          | GSMPS MORTGAGE LOAN TRUST 2005-RP3 SER 2005-RP3 CL 1AS V/R REGD 144A P/P 0.53398500              | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    314097 | NS      | $3622.67       | 0.00%             | 2035-09-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| WFALT 2007-PA3 5.75% 07/25/37                          | WELLS FARGO ALTERNATIVE LOAN 2007-PA3 TRUST SER 2007-PA3 CL 1A2 REGD 5.75000000                  | CUSIP: 94985GAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11856 | NS      | $9420.84       | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHR 3461 Z 6% 06/15/38                                 | FREDDIE MAC REMICS SER 3461 CL Z 6.00000000                                                      | CUSIP: 31397TXU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    183398 | NS      | $186601.79     | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FCRT 2021-2 D 1.92% 05/15/26                           | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2021-2 SER 2021-2 CL D REGD 144A P/P 1.92000000   | CUSIP: 35105UAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    850000 | NS      | $769700.67     | 0.00%             | 2027-09-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| FHR 1658 GZ 7% 01/15/24                                | FREDDIE MAC REMICS SER 1658 CL GZ 7.00000000                                                     | CUSIP: 3133T3TD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       562 | NS      | $562.85        | 0.00%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-29 SG V/R 04/25/37                            | FANNIE MAE REMICS SER 2007-29 CL SG V/R 8.03755300                                               | CUSIP: 31396VQJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21385 | NS      | $22952.57      | 0.00%             | 2037-04-25      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| VWALT 2022-A A 3.44% 10/20/24                          | VOLKSWAGEN AUTO LEASE TRUST 2022-A SER 2022-A CL A3 REGD 3.44000000                              | CUSIP: 92868AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4541000 | NS      | $4443390.30    | 0.03%             | 2025-07-21      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH 4.439% 10/06/48                         | ANHEUSER-BUSCH INBEV WOR REGD SER WI 4.43900000                                                  | CUSIP: 03523TBT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | NS      | $503875.91     | 0.00%             | 2048-10-06      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| EXELON CORP 4.95% 06/15/35                             | EXELON CORP REGD SER * 4.95000000                                                                | CUSIP: 30161NAQ4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1431898.04    | 0.01%             | 2035-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIAN 2.9% 03/15/51                         | ENTERGY LOUISIANA LLC REGD 2.90000000                                                            | CUSIP: 29364WBD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1570000 | NS      | $1004434.24    | 0.01%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 06/19/41                         | BANK OF AMERICA CORP REGD V/R MTN 2.67600000                                                     | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7418000 | NS      | $4990094.91    | 0.03%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3035 4% 08/20/45                           | GINNIE MAE II POOL P#MA3035 4.00000000                                                           | CUSIP: 36179RLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4733589 | NS      | $4560651.74    | 0.03%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CWL 2005-10 AF6 4.915%12/25/35                         | CWL 2005-10 AF6 4.915%12/25/35 4.91500000                                                        | CUSIP: 126670AF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4359 | NS      | $4238.66       | 0.00%             | 2036-02-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHR 3704 CT 7% 12/15/36                                | FREDDIE MAC REMICS SER 3704 CL CT 7.00000000                                                     | CUSIP: 3137A0XM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    624328 | NS      | $664041.95     | 0.00%             | 2036-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 09/22/28                         | HSBC HOLDINGS PLC REGD V/R 2.01300000                                                            | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3585000 | NS      | $2996362.86    | 0.02%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FHR 3795 EI 5% 10/15/39                                | FREDDIE MAC REMICS SER 3795 CL EI 5.00000000                                                     | CUSIP: 3137A5MR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13183 | NS      | $151.06        | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2013-4 AJ 3.5% 02/25/43                            | FANNIE MAE REMICS SER 2013-4 CL AJ 3.50000000                                                    | CUSIP: 3136ACGA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    159763 | NS      | $148074.18     | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MFRA 2021-RPL1 A V/R 07/25/60                          | MFA 2021-RPL1 TRUST SER 2021-RPL1 CL A1 V/R REGD 144A P/P 1.13130000                             | CUSIP: 55283QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9850856 | NS      | $8624606.08    | 0.06%             | 2060-07-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA 3.45% 06/01/27                         | MARTIN MARIETTA MATERIAL REGD SER 10YR 3.45000000                                                | CUSIP: 573284AQ9<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    811000 | NS      | $752727.89     | 0.00%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMBB 2014-C1 3.669% 04/15/21                          | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19 SER 2014-C19 CL A3 REGD 3.66940000           | CUSIP: 46641WAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    316978 | NS      | $316245.02     | 0.00%             | 2047-04-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| OMFIT 2022-2A  4.89% 01/15/26                          | ONEMAIN FINANCIAL ISSUANCE TRUST 2022-2 SER 2022-2A CL A REGD 144A P/P 4.89000000                | CUSIP: 68268VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8510000 | NS      | $8307256.06    | 0.05%             | 2034-10-14      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 4.6% 06/15/43                         | PACIFIC GAS & ELECTRIC REGD 4.60000000                                                           | CUSIP: 694308HD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2024000 | NS      | $1528792.74    | 0.01%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA3660 3% 10/01/49                              | FREDDIE MAC POOL UMBS P#QA3660 3.00000000                                                        | CUSIP: 31339UB58<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1407252 | NS      | $1247216.79    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8207 3.5% 04/01/52                            | FREDDIE MAC POOL UMBS P#SD8207 3.50000000                                                        | CUSIP: 3132DWDL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19112246 | NS      | $17379869.59   | 0.11%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY  6.625% 06/15/37                         | VALERO ENERGY CORP REGD 6.62500000                                                               | CUSIP: 91913YAL4<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $5320679.90    | 0.03%             | 2037-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FHR 2780 SY V/R 11/15/33                               | FREDDIE MAC REMICS SER 2780 CL SY V/R 7.00070800                                                 | CUSIP: 31394XSF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5147 | NS      | $5490.56       | 0.00%             | 2033-11-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1419 V/R 12/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1419 V/R 3.82500000                                                | CUSIP: 3128NHSG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58505 | NS      | $58310.10      | 0.00%             | 2036-12-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GNR 2022-78 SB V/R 04/20/52                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-78 CL SB V/R 0.00000000                        | CUSIP: 38383P5X5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13045722 | NS      | $234432.92     | 0.00%             | 2052-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2010-103 WA V/R 08/20/34                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-103 CL WA V/R 5.68324000                       | CUSIP: 38377DSY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37197 | NS      | $38018.20      | 0.00%             | 2034-08-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP IN 5.95% 02/14/49                         | ALTRIA GROUP INC REGD 5.95000000                                                                 | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   2201000 | NS      | $1957197.54    | 0.01%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM0021 4% 03/01/49                              | FANNIE MAE POOL UMBS P#FM0021 4.00000000                                                         | CUSIP: 3140X3AX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3443190 | NS      | $3283102.76    | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP L V/R 01/14/33                         | MACQUARIE GROUP LTD REGD V/R 144A P/P MTN 2.87100000                                             | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   4000000 | NS      | $3068730.80    | 0.02%             | 2033-01-14      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS 5.95% 08/15/52                         | GLOBAL PAYMENTS INC REGD 5.95000000                                                              | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   4556000 | NS      | $4119357.24    | 0.03%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHR 3326 JO ZCP 06/15/37                               | FREDDIE MAC REMICS SER 3326 CL JO ZCP 0.00000000                                                 | CUSIP: 31397JJN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1991 | NS      | $1624.54       | 0.00%             | 2037-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#934591 7% 10/01/38                              | FANNIE MAE POOL UMBS P#934591 7.00000000                                                         | CUSIP: 31412TXU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38951 | NS      | $41598.63      | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019- 2.7% 05/01/32                         | UNITED AIR 2019-2 AA PTT REGD SER AA 2.70000000                                                  | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2568659 | NS      | $2072588.67    | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHR 3966 NA 4% 12/15/41                                | FREDDIE MAC REMICS SER 3966 CL NA 4.00000000                                                     | CUSIP: 3137AJXA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    135874 | NS      | $131104.90     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 4.25% 08/01/23                         | PACIFIC GAS & ELECTRIC REGD 4.25000000                                                           | CUSIP: 694308JB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2482000 | NS      | $2469347.09    | 0.02%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHR 2423 MC 7% 03/15/32                                | FREDDIE MAC REMICS SER 2423 CL MC 7.00000000                                                     | CUSIP: 31339WBV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12173 | NS      | $12787.04      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  6.5% 02/01/42                         | ENERGY TRANSFER LP REGD 6.50000000                                                               | CUSIP: 29273RAR0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2965133.46    | 0.02%             | 2042-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 3654 DC 5% 04/15/30                                | FREDDIE MAC REMICS SER 3654 CL DC 5.00000000                                                     | CUSIP: 31398WV50<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    553428 | NS      | $548362.90     | 0.00%             | 2030-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CGCMT 2014-GC 3.575% 04/10/24                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC21 SER 2014-GC21 CL A4 REGD 3.57500000                | CUSIP: 17322MAV8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2091039 | NS      | $2039380.12    | 0.01%             | 2047-05-10      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| AT&T INC 2.25% 02/01/32                                | AT&T INC REGD 2.25000000                                                                         | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3510000 | NS      | $2751213.78    | 0.02%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHR 3102 HS V/R 01/15/36                               | FREDDIE MAC REMICS SER 3102 CL HS V/R 8.73451300                                                 | CUSIP: 31396H5V7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3229 | NS      | $3208.77       | 0.00%             | 2036-01-15      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANC 4.5% 07/23/25                         | SYNCHRONY FINANCIAL REGD 4.50000000                                                              | CUSIP: 87165BAG8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3834234.88    | 0.02%             | 2025-07-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA7234 3% 02/01/50                              | FREDDIE MAC POOL UMBS P#QA7234 3.00000000                                                        | CUSIP: 3133A2BB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10690672 | NS      | $9453829.52    | 0.06%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4048 3% 06/01/50                              | FANNIE MAE POOL UMBS P#MA4048 3.00000000                                                         | CUSIP: 31418DQA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2164289 | NS      | $1911315.45    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 1993-141 Z 7% 08/25/23                             | FANNIE MAE REMICS SER 1993-141 CL Z 7.00000000                                                   | CUSIP: 31359B4M6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2369 | NS      | $2366.06       | 0.00%             | 2023-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ORLANDO HEALTH 4.089% 10/01/48                         | ORLANDO HEALTH OBL GRP REGD 4.08900000                                                           | CUSIP: 686514AF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2605000 | NS      | $2049897.14    | 0.01%             | 2048-10-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| XROAD 2021-A D 2.52% 06/20/24                          | CROSSROADS ASSET TRUST 2021-A SER 2021-A CL D REGD 144A P/P 2.52000000                           | CUSIP: 22767CAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | NS      | $1411441.95    | 0.01%             | 2026-01-20      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA 0.875% 08/05/30                                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION 0.87500000                                                 | CUSIP: 3135G05Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3585000 | NS      | $2845741.02    | 0.02%             | 2030-08-05      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS  4.125% 06/15/39                         | BRISTOL-MYERS SQUIBB CO REGD 4.12500000                                                          | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1512000 | NS      | $1345326.95    | 0.01%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0895 2% 02/01/52                              | FREDDIE MAC POOL UMBS P#SD0895 0.00000000                                                        | CUSIP: 3132DM7G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18312149 | NS      | $14999097.85   | 0.10%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#735228 5.5% 02/01/35                            | FANNIE MAE POOL UMBS P#735228 5.50000000                                                         | CUSIP: 31402QYZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27762 | NS      | $28679.98      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2020-24 SP V/R 04/25/50                            | FANNIE MAE REMICS SER 2020-24 CL SP V/R 1.66129000                                               | CUSIP: 3136B9GC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4751299 | NS      | $535015.23     | 0.00%             | 2050-04-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL COR 5.65% 03/16/52                         | BAT CAPITAL CORP REGD 5.65000000                                                                 | CUSIP: 05526DBV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1224000 | NS      | $1008954.49    | 0.01%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08770 3.5% 07/01/47                           | FREDDIE MAC GOLD POOL P#G08770 3.50000000                                                        | CUSIP: 3128MJ2C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17392427 | NS      | $16205210.60   | 0.10%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 2.887% 11/01/51                           | COMCAST CORP REGD SER WI 2.88700000                                                              | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   8642000 | NS      | $5550280.86    | 0.04%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| CHAIT 2022-A1  3.97% 09/15/25                          | CHASE ISSUANCE TRUST SER 2022-A1 CL A REGD 3.97000000                                            | CUSIP: 161571HS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5442000 | NS      | $5323849.83    | 0.03%             | 2027-09-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| NBCUNIVERSAL ME 4.45% 01/15/43                         | NBCUNIVERSAL MEDIA LLC REGD 4.45000000                                                           | CUSIP: 63946BAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | NS      | $8791.68       | 0.00%             | 2043-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LEAR CORP 2.6% 01/15/32                                | LEAR CORP REGD 2.60000000                                                                        | CUSIP: 521865BC8<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |   1225000 | NS      | $921643.45     | 0.01%             | 2032-01-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE3832 3% 06/01/52                              | FREDDIE MAC POOL UMBS P#QE3832 3.00000000                                                        | CUSIP: 3133BDHH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    547008 | NS      | $480049.95     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.65% 06/01/51                                | AT&T INC REGD 3.65000000                                                                         | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1565000 | NS      | $1102248.62    | 0.01%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HCA INC 4.5% 02/15/27                                  | HCA INC REGD 4.50000000                                                                          | CUSIP: 404119BU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | NS      | $6746439.49    | 0.04%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND G V/R 09/16/26                         | BANK OF IRELAND GROUP REGD V/R 144A P/P 6.25300000                                               | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   3159000 | NS      | $3133675.18    | 0.02%             | 2026-09-16      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| AESOP 2021-2A  1.66% 02/20/27                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2021-2A CL A REGD 144A P/P 1.66000000               | CUSIP: 05377RER1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14400000 | NS      | $12460151.52   | 0.08%             | 2028-02-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| FHR 1608 L 6.5% 09/15/23                               | FREDDIE MAC REMICS SER 1608 CL L 6.50000000                                                      | CUSIP: 3133T1W81<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3537 | NS      | $3548.36       | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA8761 2.5% 01/01/36                            | FANNIE MAE POOL UMBS P#CA8761 2.50000000                                                         | CUSIP: 3140QGWX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13956950 | NS      | $12805972.68   | 0.08%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 3256 PO ZCP 12/15/36                               | FREDDIE MAC REMICS SER 3256 CL  PO ZCP 0.00000000                                                | CUSIP: 31397EBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11722 | NS      | $9359.68       | 0.00%             | 2036-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHMS K107 A2 1.639% 01/25/30                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K107 CL A2 1.63900000           | CUSIP: 3137FRZA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1890000 | NS      | $1568359.23    | 0.01%             | 2030-01-25      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4654 3.5% 07/01/52                            | FANNIE MAE POOL UMBS P#MA4654 3.50000000                                                         | CUSIP: 31418EE48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16634017 | NS      | $15118886.21   | 0.10%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6038 3% 07/20/49                           | GINNIE MAE II POOL P#MA6038 3.00000000                                                           | CUSIP: 36179UV74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1645033 | NS      | $1479415.43    | 0.01%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91891 3% 09/01/36                             | FREDDIE MAC GOLD POOL P#C91891 3.00000000                                                        | CUSIP: 3128P8C41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1371919 | NS      | $1274148.48    | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-2 2A 5.5% 05/25/35                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2005-2 CL 2A11 REGD 5.50000000                             | CUSIP: 17307GRM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52241 | NS      | $50001.95      | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR2626 2.5% 02/01/43                            | FANNIE MAE POOL UMBS P#AR2626 2.50000000                                                         | CUSIP: 3138NY4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    581329 | NS      | $501170.84     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMCC 2017-JP 3.456% 12/15/26                          | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP5 SER 2017-JP5 CL A4 REGD 3.45690000           | CUSIP: 46647TAR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7772823 | NS      | $7516156.05    | 0.05%             | 2050-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FHR 2423 MT 7% 03/15/32                                | FREDDIE MAC REMICS SER 2423 CL MT 7.00000000                                                     | CUSIP: 31339WCD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15221 | NS      | $16052.78      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1279 2.5% 08/01/51                            | FANNIE MAE POOL UMBS P#CB1279 2.50000000                                                         | CUSIP: 3140QLM52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1090433 | NS      | $929293.28     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H20 FA V/R 08/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H20 CL FA V/R 4.31157000                       | CUSIP: 38376RFG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    367776 | NS      | $363784.78     | 0.00%             | 2065-08-20      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0027 2.5% 11/01/51                            | FANNIE MAE POOL UMBS P#FS0027 2.50000000                                                         | CUSIP: 3140XFA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10716759 | NS      | $9189713.88    | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERG 2.9% 03/01/27                         | EVERSOURCE ENERGY REGD 2.90000000                                                                | CUSIP: 30040WAQ1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   6012000 | NS      | $5535234.93    | 0.04%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNR 2006-22 AO ZCP 04/25/36                            | FANNIE MAE REMICS SER 2006-22 CL AO ZCP 0.00000000                                               | CUSIP: 31395BA52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29455 | NS      | $24678.78      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-47 MT 7% 07/25/39                             | FANNIE MAE REMICS SER 2009-47 CL MT 7.00000000                                                   | CUSIP: 31396QHD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1047 | NS      | $1080.49       | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2005-A4 1A V/R 07/25/35                          | JP MORGAN MORTGAGE TRUST 2005-A4 SER 2005-A4 CL 1A1 V/R REGD 3.70840300                          | CUSIP: 466247RN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17449 | NS      | $17364.18      | 0.00%             | 2035-07-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| WFCM 2015-C31 3.695% 10/15/25                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31 SER 2015-C31 CL A4 REGD 3.69500000                | CUSIP: 94989WAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3280000 | NS      | $3115924.89    | 0.02%             | 2048-11-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR9 1A V/R 09/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR9 SER 2003-AR9 CL 1A6 V/R REGD 4.12427600  | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    168617 | NS      | $154704.91     | 0.00%             | 2033-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| TEXAS EASTERN TR 3.5% 01/15/28                         | TEXAS EASTERN TRANSMISSI REGD 144A P/P 3.50000000                                                | CUSIP: 882384AD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | NS      | $409048.81     | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WI K153 A2 3.82% 01/25/33                              | FREDDIE MAC MULTIFAMILY WI CERTIFICATES SERIES WI-K153 SER K153 CL A2 REGD 3.82000000            | CUSIP: 3137H9CE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10300000 | NS      | $9681849.62    | 0.06%             | 2033-01-25      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB0110 5% 02/01/35                              | FANNIE MAE POOL UMBS P#AB0110 5.00000000                                                         | CUSIP: 31416VDQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1241380 | NS      | $1267692.61    | 0.01%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AETNA INC 4.75% 03/15/44                               | AETNA INC REGD 4.75000000                                                                        | CUSIP: 00817YAP3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | NS      | $1585048.57    | 0.01%             | 2044-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHR 2033 SN V/R 03/15/24                               | FREDDIE MAC REMICS SER 2033 CL SN V/R 24.47490000                                                | CUSIP: 3133TCX78<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       337 | NS      | $15.60         | 0.00%             | 2024-03-15      | Variable      | 24.47%                | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL 7.697% 10/15/97                         | LIBERTY MUTUAL INSURANCE REGD P/P 7.69700000                                                     | CUSIP: 53079QAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | NS      | $108004.56     | 0.00%             | 2097-10-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| GNR 2018-34 DL 3.5% 09/20/46                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-34 CL DL 3.50000000                            | CUSIP: 38380VMJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1266381 | NS      | $1222678.95    | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 1570 F V/R 08/15/23                                | FREDDIE MAC REMICS SER 1570 CL F V/R 3.04900000                                                  | CUSIP: 3133T0PQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        14 | NS      | $14.26         | 0.00%             | 2023-08-15      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| FNR 2002-77 S V/R 12/25/32                             | FANNIE MAE REMICS SER 2002-77 CL S V/R 6.43736200                                                | CUSIP: 31392F6E2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4276 | NS      | $4356.86       | 0.00%             | 2032-12-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OP 5.75% 04/01/48                         | CHARTER COMM OPT LLC/CAP REGD 5.75000000                                                         | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1603000 | NS      | $1312360.29    | 0.01%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CO 4.5% 06/01/42                         | RAYTHEON TECH CORP REGD 4.50000000                                                               | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1823000 | NS      | $1639457.08    | 0.01%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 3531 SM V/R 05/15/39                               | FREDDIE MAC REMICS SER 3531 CL SM V/R 1.78214000                                                 | CUSIP: 31398CVX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7976 | NS      | $340.65        | 0.00%             | 2039-05-15      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC 3.625% 05/15/25                             | LEIDOS INC REGD SER WI 3.62500000                                                                | CUSIP: 52532XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | NS      | $3360933.80    | 0.02%             | 2025-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GCAR 2021-2A D 1.42% 06/15/25                          | GLS AUTO RECEIVABLES ISSUER TRUST 2021-2 SER 2021-2A CL D REGD 144A P/P 1.42000000               | CUSIP: 36261XAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2250000 | NS      | $2041238.93    | 0.01%             | 2027-04-15      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PE 5.625% 11/18/50                         | REPUBLIC OF PERU REGD 5.62500000                                                                 | CUSIP: 715638BM3<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |    190000 | NS      | $187610.84     | 0.00%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP 3.25% 10/01/29                          | AIR LEASE CORP REGD 3.25000000                                                                   | CUSIP: 00914AAE2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3950000 | NS      | $3363329.05    | 0.02%             | 2029-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 5% 01/17/24                           | SOCIETE GENERALE REGD 144A P/P 5.00000000                                                        | CUSIP: 83367TBG3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    860000 | NS      | $850850.69     | 0.01%             | 2024-01-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF IND 4.15% 09/20/27                         | REPUBLIC OF INDONESIA REGD 4.15000000                                                            | CUSIP: 455780DM5<br>LEI: N/A                  | Long             | DBT              | USGA              | ID        |   2505000 | NS      | $2455521.67    | 0.02%             | 2027-09-20      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| SCRT 2019-1 MT 3.5% 07/25/58                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-1 SER 2019-1 CL MT 3.50000000                    | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6860262 | NS      | $6192319.89    | 0.04%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT  3.55% 01/15/24                         | PRIVATE EXPORT FUNDING REGD SER KK 3.55000000                                                    | CUSIP: 742651DT6<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   2489000 | NS      | $2455484.99    | 0.02%             | 2024-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL COR 4.54% 08/15/47                         | BAT CAPITAL CORP REGD SER WI 4.54000000                                                          | CUSIP: 05526DBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3153000 | NS      | $2227828.93    | 0.01%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| JPMCC 2005-CB11  V/R 08/12/37                          | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURI SER 2005-CB11 CL X1 V/R REGD 144A P/P 0.14286400      | CUSIP: 46625YJP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    779016 | NS      | $4.60          | 0.00%             | 2037-08-12      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| FHR 2359 ZB 8.5% 06/15/31                              | FREDDIE MAC REMICS SER 2359 CL ZB 8.50000000                                                     | CUSIP: 3133TV5T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12569 | NS      | $13626.51      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.9% 03/01/38                             | COMCAST CORP REGD 3.90000000                                                                     | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    455000 | NS      | $392103.02     | 0.00%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNR G93-5 Z 6.5% 02/25/23                              | FANNIE MAE REMICS SER G93-5 CL Z 6.50000000                                                      | CUSIP: 31358TPN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         4 | NS      | $4.15          | 0.00%             | 2023-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LSEGA FINANCING PL 2% 04/06/28                         | LSEGA FINANCING PLC REGD 144A P/P MTN 2.00000000                                                 | CUSIP: 50220PAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4565000 | NS      | $3889972.77    | 0.02%             | 2028-04-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08269 5.5% 05/01/38                           | FREDDIE MAC GOLD POOL P#G08269 5.50000000                                                        | CUSIP: 3128MJJP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25490 | NS      | $26462.12      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2010-125 SA V/R 11/25/40                           | FANNIE MAE REMICS SER 2010-125 CL SA V/R 0.05129000                                              | CUSIP: 31398SES8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    187491 | NS      | $6025.45       | 0.00%             | 2040-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT0538 3.5% 03/01/48                            | FREDDIE MAC POOL UMBS P#ZT0538 3.50000000                                                        | CUSIP: 3132ACS35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4324169 | NS      | $3993830.48    | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLT 2021-NPL6 A V/R 03/25/24                          | VOLT XCVII LLC SER 2021-NPL6 CL A1 V/R REGD 144A P/P 2.23950000                                  | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10714708 | NS      | $9424848.80    | 0.06%             | 2051-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5354 3.5% 03/01/50                            | FANNIE MAE POOL UMBS P#CA5354 3.50000000                                                         | CUSIP: 3140QC5Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9009408 | NS      | $8282603.05    | 0.05%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTN 2022-2 A 5.94% 10/09/29                           | OPORTUN ISSUANCE TRUST 2022-2 SER 2022-2 CL A REGD 144A P/P 5.94000000                           | CUSIP: 68377HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6346460 | NS      | $6294165.11    | 0.04%             | 2029-10-09      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| DROT 2019-1A B 3.53% 02/20/32                          | DIAMOND RESORTS OWNER TRUST 2019-1 SER 2019-1A CL B REGD 144A P/P 3.53000000                     | CUSIP: 252722AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1940601 | NS      | $1892938.42    | 0.01%             | 2032-02-20      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER  4.7% 06/15/44                         | PLAINS ALL AMER PIPELINE REGD 4.70000000                                                         | CUSIP: 72650RBE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5954000 | NS      | $4515724.14    | 0.03%             | 2044-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNAT 5.75% 06/15/27                         | EDISON INTERNATIONAL REGD 5.75000000                                                             | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   8923000 | NS      | $8950610.62    | 0.06%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  4.4% 03/15/27                         | ENERGY TRANSFER LP REGD 4.40000000                                                               | CUSIP: 292480AK6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    900000 | NS      | $854932.47     | 0.01%             | 2027-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA 4% 05/17/51                         | BIMBO BAKERIES USA INC REGD 144A P/P 4.00000000                                                  | CUSIP: 09031WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3755000 | NS      | $2824421.00    | 0.02%             | 2051-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-57 1A3 7.5% 07/25/43                            | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-57 CL 1A3 7.50000000                      | CUSIP: 31394JDA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37478 | NS      | $40264.39      | 0.00%             | 2043-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 2000-20 SA V/R 07/25/30                            | FANNIE MAE REMICS SER 2000-20 CL SA V/R 4.71129000                                               | CUSIP: 31359X4V8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3131 | NS      | $85.06         | 0.00%             | 2030-07-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-22T1  V/R 06/25/35                          | ALTERNATIVE LOAN TRUST 2005-22T1 SER 2005-22T1 CL A2 V/R REGD 0.68129000                         | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    433134 | NS      | $29414.40      | 0.00%             | 2035-06-25      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| FHS 267 30 3% 08/15/42                                 | FREDDIE MAC STRIPS SER 267 CL 30 3.00000000                                                      | CUSIP: 3128HXRT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    595752 | NS      | $540410.36     | 0.00%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 07/25/33                         | JPMORGAN CHASE & CO REGD V/R 4.91200000                                                          | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  10096000 | NS      | $9612672.27    | 0.06%             | 2033-07-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4279 2% 09/01/50                              | FANNIE MAE POOL UMBS P#FM4279 2.00000000                                                         | CUSIP: 3140X7XH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6142808 | NS      | $5019351.47    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2005-3 SK V/R 01/20/35                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-3 CL SK V/R 2.39714000                         | CUSIP: 38374KRV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    128430 | NS      | $9955.74       | 0.00%             | 2035-01-20      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| CSFB 2003-23 1P ZCP 10/25/33                           | CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP SER 2003-23 CL 1P ZCP REGD 0.00000000        | CUSIP: 22541QXK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23671 | NS      | $16691.38      | 0.00%             | 2033-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR G93-17 SI V/R 04/25/23                             | FANNIE MAE REMICS SER G93-17 CL SI V/R 6.00000000                                                | CUSIP: 31358UWA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        29 | NS      | $28.56         | 0.00%             | 2023-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1437 3.5% 05/01/43                            | FANNIE MAE POOL UMBS P#MA1437 3.50000000                                                         | CUSIP: 31418AS33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    798538 | NS      | $745800.20     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2009-6 GS V/R 02/25/39                             | FANNIE MAE REMICS SER 2009-6 CL GS V/R 2.16129000                                                | CUSIP: 31397M5Z6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54967 | NS      | $5204.71       | 0.00%             | 2039-02-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5659 2.5% 05/01/50                            | FANNIE MAE POOL UMBS P#CA5659 2.50000000                                                         | CUSIP: 3140QDJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9402202 | NS      | $7977478.94    | 0.05%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FKH 2020-SFR2 2.668% 11/17/25                          | FIRSTKEY HOMES 2020-SFR2 TRUST SER 2020-SFR2 CL E REGD 144A P/P 2.66800000                       | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7948000 | NS      | $7004415.03    | 0.04%             | 2037-10-19      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| UMBS P#250103 8.5% 07/01/24                            | FANNIE MAE POOL UMBS P#250103 8.50000000                                                         | CUSIP: 31371EX83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       165 | NS      | $166.69        | 0.00%             | 2024-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W2 2A9 5.9% 07/25/42                          | FANNIE MAE TRUST 2003-W2 SER 2003-W2 CL 2A9 5.90000000                                           | CUSIP: 31392JAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35205 | NS      | $35442.98      | 0.00%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| COLO 2021-1A A 2.06% 02/25/26                          | DATABANK ISSUER SER 2021-1A CL A2 REGD 144A P/P 2.06000000                                       | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6150000 | NS      | $5326820.04    | 0.03%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| FNR 2012-134 ZC 2.5% 12/25/42                          | FANNIE MAE REMICS SER 2012-134 CL ZC 2.50000000                                                  | CUSIP: 3136AAWE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6776576 | NS      | $5130629.39    | 0.03%             | 2042-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF  4.063% 04/01/52                         | UNIVERSITY OF MIAMI REGD SER 2022 4.06300000                                                     | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |   1280000 | NS      | $1043066.24    | 0.01%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J35307 3% 09/01/31                             | FREDDIE MAC GOLD POOL P#J35307 3.00000000                                                        | CUSIP: 31307R3Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    503395 | NS      | $480817.68     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0463 4% 10/20/42                           | GINNIE MAE II POOL P#MA0463 4.00000000                                                           | CUSIP: 36179MQQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2684406 | NS      | $2593289.32    | 0.02%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PE 2.783% 01/23/31                         | REPUBLIC OF PERU REGD 2.78300000                                                                 | CUSIP: 715638DF6<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |   2220000 | NS      | $1836449.93    | 0.01%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| AH4R 2014-SFR 6.231% 10/17/24                          | AMERICAN HOMES 4 RENT 2014-SFR2 TRUST SER 2014-SFR2 CL E REGD 144A P/P 6.23100000                | CUSIP: 02665UAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | NS      | $973922.80     | 0.01%             | 2036-10-17      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATI 3.35% 09/15/26                         | COX COMMUNICATIONS INC REGD 144A P/P 3.35000000                                                  | CUSIP: 224044CG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    369000 | NS      | $345000.22     | 0.00%             | 2026-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0249 5.5% 04/01/37                            | FANNIE MAE POOL UMBS P#AD0249 5.50000000                                                         | CUSIP: 31418MH39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68258 | NS      | $70253.35      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 2638 DS V/R 07/15/23                               | FREDDIE MAC REMICS SER 2638 CL DS V/R 4.28214000                                                 | CUSIP: 31393WXE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       395 | NS      | $389.02        | 0.00%             | 2023-07-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS4299 2.16% 01/01/34                           | FANNIE MAE POOL UMBS P#BS4299 2.16000000                                                         | CUSIP: 3140LEX51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6070000 | NS      | $4786658.63    | 0.03%             | 2034-01-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR  6.85% 12/16/39                         | TEACHERS INSUR & ANNUITY REGD P/P 6.85000000                                                     | CUSIP: 878091BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    218000 | NS      | $239943.60     | 0.00%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3442 3.5% 08/01/48                            | FANNIE MAE POOL UMBS P#MA3442 3.50000000                                                         | CUSIP: 31418CZG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6397161 | NS      | $5909131.10    | 0.04%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPE 3.5% 07/15/29                         | HEALTHPEAK PROPERTIES REGD 3.50000000                                                            | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |   1742000 | NS      | $1550252.40    | 0.01%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-14 TI 5% 03/25/33                             | FANNIE MAE REMICS SER 2003-14 CL TI 5.00000000                                                   | CUSIP: 31392JFP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6993 | NS      | $249.27        | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HGVT 2017-AA A 2.66% 12/26/28                          | HILTON GRAND VACATIONS TRUST 2017-A SER 2017-AA CL A REGD 144A P/P 2.66000000                    | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    362067 | NS      | $356376.52     | 0.00%             | 2028-12-26      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 04/24/28                         | BANK OF AMERICA CORP REGD V/R MTN 3.70500000                                                     | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4500000 | NS      | $4164270.53    | 0.03%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| G2SF  30 YR TBA 4.5% JAN 23                            | G2SF  30 YR TBA 4.5% JAN 23    TO BE ANNOUNCED 4.50000000                                        | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15705000 | NS      | $15232476.44   | 0.10%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4195 3% 01/20/47                           | GINNIE MAE II POOL P#MA4195 3.00000000                                                           | CUSIP: 36179SUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1343173 | NS      | $1208300.45    | 0.01%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROU 6.207% 11/22/24                         | MACQUARIE GROUP LTD REGD 144A P/P MTN 6.20700000                                                 | CUSIP: 55608JBL1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   3339000 | NS      | $3360699.19    | 0.02%             | 2024-11-22      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV V/R 04/01/27                              | ING GROEP NV REGD V/R SER VAR 1.72600000                                                         | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    705000 | NS      | $622147.55     | 0.00%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8244 4% 09/01/52                              | FREDDIE MAC POOL UMBS P#SD8244 4.00000000                                                        | CUSIP: 3132DWER0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1964859 | NS      | $1843110.36    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA V/R 06/19/32                             | UNICREDIT SPA REGD V/R 5.86100000                                                                | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1400000 | NS      | $1234041.31    | 0.01%             | 2032-06-19      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 2.6% 11/21/24                               | ABBVIE INC REGD SER WI 2.60000000                                                                | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   5387000 | NS      | $5153523.86    | 0.03%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNR 2009-86 IP 5.5% 10/25/39                           | FANNIE MAE REMICS SER 2009-86 CL IP 5.50000000                                                   | CUSIP: 31398FTC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     93397 | NS      | $17782.17      | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CBSLT 2017-BGS 2.68% 03/25/27                          | COMMONBOND STUDENT LOAN TRUST 2017-B-GS SER 2017-BGS CL A1 REGD 144A P/P 2.68000000              | CUSIP: 20268KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2484207 | NS      | $2285748.47    | 0.01%             | 2042-09-25      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| MULTICARE HEAL 2.803% 08/15/50                         | MULTICARE HEALTH SYSTEM REGD 2.80300000                                                          | CUSIP: 62548LAA0<br>LEI: 549300OSCVFLGLKTTI33 | Long             | DBT              | CORP              | US        |   3003000 | NS      | $1773335.28    | 0.01%             | 2050-08-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA3078 3% 07/01/50                              | FREDDIE MAC POOL UMBS P#RA3078 0.00000000                                                        | CUSIP: 3133KJM33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4968621 | NS      | $4410289.41    | 0.03%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC 2.5% 01/15/31                         | MDC HOLDINGS INC REGD 2.50000000                                                                 | CUSIP: 552676AU2<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |   1595000 | NS      | $1150283.39    | 0.01%             | 2031-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-128 PO ZCP 01/25/37                           | FANNIE MAE REMICS SER 2006-128 CL PO ZCP 0.00000000                                              | CUSIP: 31396PEM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16329 | NS      | $13344.52      | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AH4R 2015-SFR 5.639% 04/17/25                          | AMERICAN HOMES 4 RENT 2015-SFR1 TRUST SER 2015-SFR1 CL E REGD 144A P/P 5.63900000                | CUSIP: 02666AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3900000 | NS      | $3790423.65    | 0.02%             | 2052-04-17      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN  2.375% 03/15/31                         | BROWN & BROWN INC REGD 2.37500000                                                                | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   4150000 | NS      | $3157459.81    | 0.02%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4158 2% 10/01/50                              | FANNIE MAE POOL UMBS P#MA4158 2.00000000                                                         | CUSIP: 31418DTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24503706 | NS      | $20088152.46   | 0.13%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS 5.25% 05/15/24                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 5.25000000                                                | CUSIP: 05401AAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2790000 | NS      | $2734423.37    | 0.02%             | 2024-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#745445 V/R 01/01/36                             | FANNIE MAE POOL UMBS P#745445 V/R 3.68200000                                                     | CUSIP: 31403DES4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10508 | NS      | $10714.15      | 0.00%             | 2036-01-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| MASCO CORP 6.5% 08/15/32                               | MASCO CORP REGD 6.50000000                                                                       | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |   1240000 | NS      | $1269349.30    | 0.01%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND  4.45% 10/01/25                         | AERCAP IRELAND CAP/GLOBA REGD 4.45000000                                                         | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3500000 | NS      | $3364327.02    | 0.02%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| EMBRAER OVERSE 5.696% 09/16/23                         | EMBRAER OVERSEAS LTD REGD P/P 5.69600000                                                         | CUSIP: 29081YAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   4000000 | NS      | $3990000.00    | 0.03%             | 2023-09-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2960 3% 07/20/45                           | GINNIE MAE II POOL P#MA2960 3.00000000                                                           | CUSIP: 36179RJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    853578 | NS      | $777882.16     | 0.00%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2410 QX V/R 02/15/32                               | FREDDIE MAC REMICS SER 2410 CL QX V/R 4.33214000                                                 | CUSIP: 31339NHV1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6566 | NS      | $516.72        | 0.00%             | 2032-02-15      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| AIRBUS SE 3.15% 04/10/27                               | AIRBUS SE REGD 144A P/P 3.15000000                                                               | CUSIP: 009279AA8<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | FR        |    736000 | NS      | $683672.42     | 0.00%             | 2027-04-10      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NAA 2003-A1 A2 6% 05/25/33                             | NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST SERIES 2 SER 2003-A1 CL A2 REGD 6.00000000   | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7450 | NS      | $7087.59       | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL D 2.5% 08/11/30                         | BANCO NACIONAL DE PANAMA REGD 144A P/P 2.50000000                                                | CUSIP: 059626AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |   2750000 | NS      | $2204125.00    | 0.01%             | 2030-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROG 3.7% 10/15/46                         | DUKE ENERGY PROGRESS LLC REGD 3.70000000                                                         | CUSIP: 26442UAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    506000 | NS      | $383014.81     | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  5.5% 06/01/27                         | ENERGY TRANSFER LP REGD SER * 5.50000000                                                         | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    277000 | NS      | $275033.05     | 0.00%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA3809 3% 07/01/49                              | FANNIE MAE POOL UMBS P#CA3809 3.00000000                                                         | CUSIP: 3140QBGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2250289 | NS      | $1995347.64    | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSA 2.65% 06/15/51                         | ENTERGY ARKANSAS LLC REGD 2.65000000                                                             | CUSIP: 29366MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    960000 | NS      | $578836.11     | 0.00%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEAL 2.532% 11/15/29                         | ASCENSION HEALTH REGD SER B 2.53200000                                                           | CUSIP: 04352EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1740000 | NS      | $1491367.31    | 0.01%             | 2029-11-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BON SECOURS ME 3.205% 06/01/50                         | BON SECOURS MERCY REGD SER 20-2 3.20500000                                                       | CUSIP: 09778PAC9<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |   1730000 | NS      | $1152807.11    | 0.01%             | 2050-06-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| UNIV OF VIRGIN 2.584% 11/01/51                         | UNIV OF VIRGINIA VA UNIV REVEN REGD B/E 2.58400000                                               | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3150000 | NS      | $2052906.98    | 0.01%             | 2051-11-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FNR 2006-90 AO ZCP 09/25/36                            | FANNIE MAE REMICS SER 2006-90 CL AO ZCP 0.00000000                                               | CUSIP: 31396KU42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13810 | NS      | $11950.00      | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G20028 7.5% 12/01/36                           | FREDDIE MAC GOLD POOL P#G20028 7.50000000                                                        | CUSIP: 31283LA55<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    112780 | NS      | $115930.49     | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BAFC 2006-1 XPO ZCP 01/25/36                           | BANC OF AMERICA FUNDING 2006-1 TRUST SER 2006-1 CL XPO ZCP REGD 0.00000000                       | CUSIP: 05949TBK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3564 | NS      | $1974.92       | 0.00%             | 2036-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC 5.875% 02/01/29                                | HCA INC REGD 5.87500000                                                                          | CUSIP: 404119BW8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3987502.36    | 0.03%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC 2.3% 06/22/27                              | VIATRIS INC REGD SER WI 2.30000000                                                               | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   3525000 | NS      | $3011936.14    | 0.02%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 02/13/32                            | MORGAN STANLEY REGD V/R MTN 1.79400000                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2440000 | NS      | $1833807.23    | 0.01%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC 2.9% 03/01/32                           | S&P GLOBAL INC REGD 144A P/P 2.90000000                                                          | CUSIP: 78409VBC7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   2118000 | NS      | $1806556.89    | 0.01%             | 2032-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| F/C US 2YR NOTE (CBT) MAR23                            | FUTURE CONTRACT ON           US 2YR NOTE (CBT) MAR23 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       214 | NC      | $43886718.96   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| REALTY INCOME CO 1.8% 03/15/33                         | REALTY INCOME CORP REGD 1.80000000                                                               | CUSIP: 756109BA1<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1320000 | NS      | $946804.78     | 0.01%             | 2033-03-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B2 2.577% 04/15/31                          | BENCHMARK 2021-B25 MORTGAGE TRUST SER 2021-B25 CL A5 REGD 2.57700000                             | CUSIP: 08163DAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    544000 | NS      | $451472.78     | 0.00%             | 2054-04-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| CARMX 2022-1 D 2.47% 06/15/27                          | CARMAX AUTO OWNER TRUST 2022-1 SER 2022-1 CL D REGD 2.47000000                                   | CUSIP: 14317CAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | NS      | $1740544.40    | 0.01%             | 2028-07-17      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| FHR 4048 FB V/R 10/15/41                               | FREDDIE MAC REMICS SER 4048 CL FB V/R 4.71786000                                                 | CUSIP: 3137AQUB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    218908 | NS      | $216340.06     | 0.00%             | 2041-10-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| STACR 2022-DNA2  V/R 02/25/42                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA2 SER 2022-DNA2 CL M1A V/R REGD 144A P/P 5.22768000        | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4585933 | NS      | $4509994.75    | 0.03%             | 2042-02-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6409 3% 01/20/50                           | GINNIE MAE II POOL P#MA6409 3.00000000                                                           | CUSIP: 36179VDN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7232534 | NS      | $6501999.02    | 0.04%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CO 4.15% 01/15/43                         | ATMOS ENERGY CORP REGD 4.15000000                                                                | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    830000 | NS      | $698168.00     | 0.00%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL  5.45% 10/30/25                         | NATIONAL RURAL UTIL COOP REGD 5.45000000                                                         | CUSIP: 63743HFF4<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |   1859000 | NS      | $1881201.26    | 0.01%             | 2025-10-30      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3664 4% 05/20/46                           | GINNIE MAE II POOL P#MA3664 4.00000000                                                           | CUSIP: 36179SB97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1667692 | NS      | $1604315.77    | 0.01%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STATE BANK IND 4.375% 01/24/24                         | STATE BANK INDIA/LONDON REGD 144A P/P 4.37500000                                                 | CUSIP: 85628UAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   6475000 | NS      | $6392195.63    | 0.04%             | 2024-01-24      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHS 233 12 5% 09/15/35                                 | FREDDIE MAC STRIPS SER 233 CL 12 5.00000000                                                      | CUSIP: 31282YDX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49272 | NS      | $6665.60       | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APAR 1.7% 02/15/31                         | MID-AMERICA APARTMENTS REGD 1.70000000                                                           | CUSIP: 59523UAS6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1330000 | NS      | $1036952.51    | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| WFCM 2020-C57 1.864% 03/15/30                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57 SER 2020-C57 CL A3 REGD 1.86400000                | CUSIP: 95002XBC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19500000 | NS      | $15586825.80   | 0.10%             | 2053-08-15      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| MASTR 2003-12 30 ZCP 12/25/33                          | MASTR ASSET SECURITIZATION TRUST 2003-12 SER 2003-12 CL 30PO ZCP REGD 0.00000000                 | CUSIP: 55265K4C0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1018 | NS      | $782.96        | 0.00%             | 2033-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 2019 Z 6.5% 12/15/27                               | FREDDIE MAC REMICS SER 2019 CL Z 6.50000000                                                      | CUSIP: 3133TCC63<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3811 | NS      | $3878.18       | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08577 4% 03/01/44                             | FREDDIE MAC GOLD POOL P#G08577 4.00000000                                                        | CUSIP: 3128MJUB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    898370 | NS      | $861465.92     | 0.01%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL 4.569% 02/01/29                         | LIBERTY MUTUAL GROUP INC REGD 144A P/P 4.56900000                                                | CUSIP: 53079EBG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2301000 | NS      | $2150787.82    | 0.01%             | 2029-02-01      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| SAMI 2003-CL1 1F V/R 07/25/32                          | STRUCTURED ASSET MORTGAGE INVESTMENTS TRUST 2003-CL1 SER 2003-CL1 CL 1F1 V/R REGD 4.78871000     | CUSIP: 86358HSS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75997 | NS      | $75344.54      | 0.00%             | 2032-07-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE R 4.375% 08/04/25                         | COOPERATIEVE RABOBANK UA REGD 4.37500000                                                         | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    570000 | NS      | $556349.88     | 0.00%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MFCC 2021-1A A 1.54% 12/20/22                          | MERCURY FINANCIAL CREDIT CARD MASTER TRUST SER 2021-1A CL A REGD 144A P/P 1.54000000             | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5365000 | NS      | $5118505.61    | 0.03%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATI 4.05% 07/01/30                         | BRIXMOR OPERATING PART REGD 4.05000000                                                           | CUSIP: 11120VAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2286000 | NS      | $1999804.16    | 0.01%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNR 2012-141 WC V/R 01/20/42                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-141 CL WC V/R 3.73004000                       | CUSIP: 38378GPG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    155946 | NS      | $149067.92     | 0.00%             | 2042-01-20      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP  5.875% 03/31/25                         | CHENIERE CORP CHRISTI HD REGD SER WI 5.87500000                                                  | CUSIP: 16412XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5900000 | NS      | $5935836.25    | 0.04%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALT 2.864% 01/01/52                         | PIEDMONT HEALTHCARE INC REGD 2.86400000                                                          | CUSIP: 72014TAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2195000 | NS      | $1368920.03    | 0.01%             | 2052-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| CGCMT 2020-GC 2.717% 02/15/30                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-GC46 SER 2020-GC46 CL A5 REGD 2.71700000                | CUSIP: 17328RAZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13520000 | NS      | $11412361.79   | 0.07%             | 2053-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| SDART 2022-5 C 4.74% 02/15/26                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 SER 2022-5 CL C REGD 4.74000000                    | CUSIP: 80287HAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3435000 | NS      | $3320438.97    | 0.02%             | 2028-10-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO 7.6% 08/15/96                           | HALLIBURTON CO REGD P/P 7.60000000                                                               | CUSIP: 406216AS0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    258000 | NS      | $241412.71     | 0.00%             | 2096-08-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B28 A V/R 08/15/31                          | BENCHMARK 2021-B28 MORTGAGE TRUST SER 2021-B28 CL A5 V/R REGD 2.22370000                         | CUSIP: 08163GAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2052000 | NS      | $1638401.75    | 0.01%             | 2054-08-15      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| FHR 2653 PZ 5% 07/15/33                                | FREDDIE MAC REMICS SER 2653 CL PZ 5.00000000                                                     | CUSIP: 31393WQ51<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    190370 | NS      | $188521.76     | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DRIVE 2020-2 C 2.28% 09/15/23                          | DRIVE AUTO RECEIVABLES TRUST 2020-2 SER 2020-2 CL C REGD 2.28000000                              | CUSIP: 26208VAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    973627 | NS      | $967756.65     | 0.01%             | 2026-08-17      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| GNR 2007-28 BO ZCP 05/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-28 CL BO ZCP 0.00000000                        | CUSIP: 38375J8N8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6036 | NS      | $5114.61       | 0.00%             | 2037-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITIO 5.25% 06/15/46                         | UTAH ACQUISITION SUB REGD SER WI 5.25000000                                                      | CUSIP: 62854AAP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | NS      | $207933.49     | 0.00%             | 2046-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTR 3.25% 12/01/26                         | NY STATE ELECTRIC & GAS REGD 144A P/P 3.25000000                                                 | CUSIP: 649840CQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    804000 | NS      | $755666.86     | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA IN 3.875% 05/18/25                         | CRH AMERICA INC REGD P/P 3.87500000                                                              | CUSIP: 12626PAM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    354000 | NS      | $341482.00     | 0.00%             | 2025-05-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4209 1.5% 12/01/50                            | FANNIE MAE POOL UMBS P#MA4209 1.50000000                                                         | CUSIP: 31418DVB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21812619 | NS      | $16852483.20   | 0.11%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                      | FANNIE MAE RMICS 14.92666 20230425 13.31666700                                                   | CUSIP: 31359TL71<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        55 | NS      | $0.78          | 0.00%             | 2023-04-25      | Variable      | 13.32%                | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CO 2.95% 05/14/30                         | ITC HOLDINGS CORP REGD 144A P/P 2.95000000                                                       | CUSIP: 465685AQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    890000 | NS      | $750755.95     | 0.00%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP8762 2.5% 07/01/50                            | FANNIE MAE POOL UMBS P#BP8762 2.50000000                                                         | CUSIP: 3140KGWY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2405458 | NS      | $2056785.66    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#946362 V/R 09/01/37                             | FANNIE MAE POOL UMBS P#946362 V/R 4.01200000                                                     | CUSIP: 31413HZ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3753 | NS      | $3705.66       | 0.00%             | 2037-09-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNR 1995-2 Z 8.5% 01/25/25                             | FANNIE MAE REMICS SER 1995-2 CL Z 8.50000000                                                     | CUSIP: 31359LMW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       409 | NS      | $415.48        | 0.00%             | 2025-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNR 2007-57 PO ZCP 03/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-57 CL PO ZCP 0.00000000                        | CUSIP: 38375LUK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31520 | NS      | $29924.27      | 0.00%             | 2037-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.625% 07/31/26                           | UNITED STATES TREASURY NOTE 0.62500000                                                           | CUSIP: 91282CCP4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5121000 | NS      | $4525083.62    | 0.03%             | 2026-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4563 2.5% 03/01/52                            | FANNIE MAE POOL UMBS P#MA4563 2.50000000                                                         | CUSIP: 31418EB90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27195568 | NS      | $23048514.38   | 0.15%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MRAIT 2021-EBO7  V/R 02/16/22                          | MRA ISSUANCE TRUST SER  2021-EBO7 CL A1X V/R REGD 144A P/P 2.85188000                            | CUSIP: 55349H106<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16400000 | NS      | $14628488.40   | 0.09%             | 2023-02-15      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| VMWARE INC 1.4% 08/15/26                               | VMWARE INC REGD 1.40000000                                                                       | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   8282000 | NS      | $7219970.57    | 0.05%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| CGCMT 2014-GC 3.356% 07/10/24                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC23 SER 2014-GC23 CL A3 REGD 3.35600000                | CUSIP: 17322VAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6803057 | NS      | $6559546.84    | 0.04%             | 2047-07-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| FORDO 2020-B A 0.79% 01/16/24                          | FORD CREDIT AUTO OWNER TRUST 2020-B SER 2020-B CL A4 REGD 0.79000000                             | CUSIP: 34533GAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3711000 | NS      | $3566089.53    | 0.02%             | 2025-11-15      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7397 3% 12/01/42                              | FANNIE MAE POOL UMBS P#AB7397 3.00000000                                                         | CUSIP: 31417EGF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    660988 | NS      | $602894.19     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK2805 V/R 04/20/72                          | GINNIE MAE II POOL P#CK2805 V/R 6.21600000                                                       | CUSIP: 3617XXDJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13153365 | NS      | $13668386.04   | 0.09%             | 2072-04-20      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALT 4.375% 12/01/47                         | ELEVANCE HEALTH INC REGD 4.37500000                                                              | CUSIP: 036752AD5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   4500000 | NS      | $3844292.94    | 0.02%             | 2047-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHR 2571 SY V/R 12/15/32                               | FREDDIE MAC REMICS SER 2571 CL SY V/R 8.23713600                                                 | CUSIP: 31393LB28<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12747 | NS      | $12692.41      | 0.00%             | 2032-12-15      | Variable      | 8.24%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 06/14/27                         | NATWEST GROUP PLC REGD V/R 1.64200000                                                            | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   8225000 | NS      | $7118420.26    | 0.05%             | 2027-06-14      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| PRET 2021-RN4 A1 V/R 10/25/51                          | PRET 2021-RN4 LLC SER 2021-RN4 CL A1 V/R REGD 144A P/P 2.48710000                                | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15274424 | NS      | $13355988.61   | 0.09%             | 2051-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-R1 2AP ZCP 03/25/35                          | REPERFORMING LOAN REMIC TRUST 2005-R1 SER 2005-R1 CL 2APO ZCP REGD 144A P/P 0.00000000           | CUSIP: 12669GXG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3831 | NS      | $2048.42       | 0.00%             | 2035-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL P 4.3% 01/15/26                         | JERSEY CENTRAL PWR & LT REGD 144A P/P 4.30000000                                                 | CUSIP: 476556DC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    740000 | NS      | $714734.00     | 0.00%             | 2026-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNR 2004-50 VZ 5.5% 07/25/34                           | FANNIE MAE REMICS SER 2004-50 CL VZ 5.50000000                                                   | CUSIP: 31394AJV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    192654 | NS      | $194312.84     | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES  5.375% 03/15/44                         | CF INDUSTRIES INC REGD 5.37500000                                                                | CUSIP: 12527GAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2040000 | NS      | $1832775.13    | 0.01%             | 2044-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CAR 3.2% 12/01/31                         | SABRA HEALTH CARE LP REGD 3.20000000                                                             | CUSIP: 78574MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2195000 | NS      | $1633226.96    | 0.01%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT3922 3% 08/01/43                              | FANNIE MAE POOL UMBS P#AT3922 3.00000000                                                         | CUSIP: 3138WRLC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    872028 | NS      | $793522.56     | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN9424 3.66% 03/01/27                           | FANNIE MAE POOL UMBS P#AN9424 3.66000000                                                         | CUSIP: 3138LNPJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2218015 | NS      | $2135157.90    | 0.01%             | 2027-03-01      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| NRZT 2017-2A A3 V/R 03/25/57                           | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-2 SER 2017-2A CL A3 V/R REGD 144A P/P 4.00000000        | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1503628 | NS      | $1408766.58    | 0.01%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#357363 5.5% 03/01/33                            | FANNIE MAE POOL UMBS P#357363 5.50000000                                                         | CUSIP: 31376J5Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35521 | NS      | $36525.54      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 09/12/26                         | HSBC HOLDINGS PLC REGD V/R 4.29200000                                                            | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   8009000 | NS      | $7661064.69    | 0.05%             | 2026-09-12      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNR 2008-53 CI V/R 07/25/38                            | FANNIE MAE REMICS SER 2008-53 CL CI V/R 2.81129000                                               | CUSIP: 31397LC23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23865 | NS      | $2099.40       | 0.00%             | 2038-07-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| FHR 3164 MG 6% 06/15/36                                | FREDDIE MAC REMICS SER 3164 CL MG 6.00000000                                                     | CUSIP: 31396TDX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7768 | NS      | $7409.63       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-H09 DF V/R 03/20/67                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H09 CL DF V/R 4.40157000                       | CUSIP: 38375UZD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3234137 | NS      | $3200740.22    | 0.02%             | 2067-03-20      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 01/13/27                               | BNP PARIBAS REGD V/R 144A P/P 1.32300000                                                         | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   8178000 | NS      | $7147783.41    | 0.05%             | 2027-01-13      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS L 3.75% 07/08/30                         | VALE OVERSEAS LIMITED REGD 3.75000000                                                            | CUSIP: 91911TAQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |   2255000 | NS      | $1972970.76    | 0.01%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNR 2004-36 SA V/R 05/25/34                            | FANNIE MAE REMICS SER 2004-36 CL SA V/R 7.45604800                                               | CUSIP: 31393X5V5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46886 | NS      | $48377.37      | 0.00%             | 2034-05-25      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| UMBS P#725773 5.5% 09/01/34                            | FANNIE MAE POOL UMBS P#725773 5.50000000                                                         | CUSIP: 31402DJS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8296 | NS      | $8559.62       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1480 2.5% 11/01/51                            | FANNIE MAE POOL UMBS P#FS1480 2.50000000                                                         | CUSIP: 3140XGUE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1420723 | NS      | $1209802.27    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-39 IO V/R 05/25/33                            | FANNIE MAE REMICS SER 2003-39 CL IO V/R 6.00000000                                               | CUSIP: 31393A5Z6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4279 | NS      | $638.35        | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| PNMSR 2022-GT1 A V/R 05/25/27                          | PNMAC GMSR ISSUER TRUST 2022-GT1 SER 2022-GT1 CL A V/R REGD 144A P/P 8.17768000                  | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9425000 | NS      | $8908196.15    | 0.06%             | 2027-05-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 10/21/32                         | GOLDMAN SACHS GROUP INC REGD V/R 2.65000000                                                      | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5819000 | NS      | $4594504.28    | 0.03%             | 2032-10-21      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA P#670030 3% 07/15/45                              | GINNIE MAE I POOL P#670030 3.00000000                                                            | CUSIP: 36295GLK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    607021 | NS      | $542289.31     | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL2606 4% 03/01/42                              | FANNIE MAE POOL UMBS P#AL2606 4.00000000                                                         | CUSIP: 3138EJ3Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25997 | NS      | $24002.31      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TAOT 2020-D A4 0.47% 06/15/24                          | TOYOTA AUTO RECEIVABLES 2020-D OWNER TRUST SER 2020-D CL A4 REGD 0.47000000                      | CUSIP: 89236XAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4856000 | NS      | $4573344.87    | 0.03%             | 2026-01-15      | Fixed         | 0.47%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8237 4% 08/01/52                              | FREDDIE MAC POOL UMBS P#SD8237 4.00000000                                                        | CUSIP: 3132DWEJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19188807 | NS      | $17999831.91   | 0.12%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.5% JAN 23                              | FNMA 30YR TBA 4.5% JAN 23      TO BE ANNOUNCED 4.50000000                                        | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -5500000 | NS      | $-5292409.60   | -0.03%            | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 1829 ZB 6.5% 03/15/26                              | FREDDIE MAC REMICS SER 1829 CL ZB 6.50000000                                                     | CUSIP: 3133T6J36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       244 | NS      | $244.94        | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC  3.35% 06/15/24                         | ARIZONA PUBLIC SERVICE REGD 3.35000000                                                           | CUSIP: 040555CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    676000 | NS      | $654262.67     | 0.00%             | 2024-06-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.875% 08/15/45                           | UNITED STATES TREASURY BOND 2.87500000                                                           | CUSIP: 912810RN0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   8405000 | NS      | $6767338.28    | 0.04%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#BU1050 2% 10/01/51                              | FANNIE MAE POOL UMBS P#BU1050 2.00000000                                                         | CUSIP: 3140M2EY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10062895 | NS      | $8318861.55    | 0.05%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J0399 V/R 04/01/37                            | FREDDIE MAC NON GOLD POOL P#1J0399 V/R 2.16000000                                                | CUSIP: 3128LUNQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1508 | NS      | $1478.36       | 0.00%             | 2037-04-01      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO8282 4% 08/01/42                              | FANNIE MAE POOL UMBS P#AO8282 4.00000000                                                         | CUSIP: 3138M0FY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2230108 | NS      | $2141703.76    | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4238 2.5% 01/01/51                            | FANNIE MAE POOL UMBS P#MA4238 2.50000000                                                         | CUSIP: 31418DV82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1361931 | NS      | $1157780.67    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC 4.5% 05/20/52                             | QUALCOMM INC REGD 4.50000000                                                                     | CUSIP: 747525BR3<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |   1615000 | NS      | $1414360.68    | 0.01%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARMX 2021-1 A 0.34% 08/15/24                          | CARMAX AUTO OWNER TRUST 2021-1 SER 2021-1 CL A3 REGD 0.34000000                                  | CUSIP: 14316NAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2831723 | NS      | $2737349.37    | 0.02%             | 2025-12-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 02/04/33                         | BANK OF AMERICA CORP REGD V/R 2.97200000                                                         | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4550000 | NS      | $3665564.99    | 0.02%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| PUB SVC ELEC & 5.375% 11/01/39                         | PUB SVC ELEC & GAS REGD MTN 5.37500000                                                           | CUSIP: 74456QAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    117000 | NS      | $112874.10     | 0.00%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION E 6.25% 10/01/39                         | CONSTELLATION EN GEN LLC REGD 6.25000000                                                         | CUSIP: 30161MAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | NS      | $306001.64     | 0.00%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA V/R 09/22/26                             | UNICREDIT SPA REGD V/R 144A P/P 2.56900000                                                       | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   2330000 | NS      | $2063271.25    | 0.01%             | 2026-09-22      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8229 4.5% 05/01/52                            | FREDDIE MAC POOL UMBS P#SD8229 4.50000000                                                        | CUSIP: 3132DWEA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    964815 | NS      | $928690.02     | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSMS 2018-GS10 A V/R 03/10/25                          | GS MORTGAGE SECURITIES CORP II SER 2018-GS10 CL A3 V/R REGD 4.26100000                           | CUSIP: 36250SAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  28521000 | NS      | $27740505.72   | 0.18%             | 2051-07-10      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| ONEOK INC 6.1% 11/15/32                                | ONEOK INC REGD 6.10000000                                                                        | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   5413000 | NS      | $5412732.22    | 0.03%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA II P#783637 3% 06/20/42                           | GINNIE MAE II POOL P#783637 3.00000000                                                           | CUSIP: 3622A2BE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    141939 | NS      | $129627.00     | 0.00%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2006-38 ZK 6.5% 08/20/36                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-38 CL ZK 6.50000000                            | CUSIP: 38374NQB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    173177 | NS      | $175694.15     | 0.00%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO 3.605% 02/15/25                         | PHILLIPS 66 CO REGD 144A P/P 3.60500000                                                          | CUSIP: 718547AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560000 | NS      | $542123.27     | 0.00%             | 2025-02-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CSFB 2005-10 AP ZCP 11/25/35                           | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES S SER 2005-10 CL AP ZCP REGD 0.00000000           | CUSIP: 225470FW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4748 | NS      | $3062.36       | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 1.7% 11/15/23                         | PACIFIC GAS & ELECTRIC REGD 1.70000000                                                           | CUSIP: 694308JY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1880000 | NS      | $1819502.20    | 0.01%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY CO 7.5% 04/15/32                         | VALERO ENERGY CORP REGD 7.50000000                                                               | CUSIP: 91913YAE0<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    175000 | NS      | $196694.95     | 0.00%             | 2032-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMB 3% 01/30/30                         | REPUBLIC OF COLOMBIA REGD 3.00000000                                                             | CUSIP: 195325DR3<br>LEI: N/A                  | Long             | DBT              | USGA              | CO        |   2682000 | NS      | $2050625.63    | 0.01%             | 2030-01-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0497 3% 07/01/60                              | FANNIE MAE POOL UMBS P#BF0497 3.00000000                                                         | CUSIP: 3140FXRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8491671 | NS      | $7429078.04    | 0.05%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VMWARE INC 2.2% 08/15/31                               | VMWARE INC REGD 2.20000000                                                                       | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   7403000 | NS      | $5617869.45    | 0.04%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| LYB INTL FINAN 4.875% 03/15/44                         | LYB INTL FINANCE BV REGD 4.87500000                                                              | CUSIP: 50247VAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    300000 | NS      | $250046.14     | 0.00%             | 2044-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1A1082 V/R 07/01/36                            | FREDDIE MAC NON GOLD POOL P#1A1082 V/R 4.13300000                                                | CUSIP: 3128NFFX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23048 | NS      | $23481.47      | 0.00%             | 2036-07-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7254 2% 03/20/51                           | GINNIE MAE II POOL P#MA7254 2.00000000                                                           | CUSIP: 36179WBX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4687077 | NS      | $3949992.96    | 0.03%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER 1.875% 10/15/30                         | AMERICAN TOWER CORP REGD 1.87500000                                                              | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2485000 | NS      | $1917661.18    | 0.01%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING 4.375% 03/22/28                         | LLOYDS BANKING GROUP PLC REGD 4.37500000                                                         | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    949000 | NS      | $900689.38     | 0.01%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALI V/R 01/12/37                         | NATIONAL AUSTRALIA BANK REGD V/R 144A P/P 3.34700000                                             | CUSIP: 632525BB6<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   2600000 | NS      | $1977188.69    | 0.01%             | 2037-01-12      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| BOEING CO 5.04% 05/01/27                               | BOEING CO REGD 5.04000000                                                                        | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1185000 | NS      | $1171938.40    | 0.01%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FORDO 2022-A A 1.29% 02/15/25                          | FORD CREDIT AUTO OWNER TRUST 2022-A SER 2022-A CL A3 REGD 1.29000000                             | CUSIP: 345286AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3920000 | NS      | $3727614.24    | 0.02%             | 2026-06-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| FNR 1993-205 H ZCP 09/25/23                            | FANNIE MAE REMICS SER 1993-205 CL H ZCP 0.00000000                                               | CUSIP: 31359EK34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        96 | NS      | $95.15         | 0.00%             | 2023-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GCAR 2021-2A B 0.77% 10/15/23                          | GLS AUTO RECEIVABLES ISSUER TRUST 2021-2 SER 2021-2A CL B REGD 144A P/P 0.77000000               | CUSIP: 36261XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1884411 | NS      | $1863260.66    | 0.01%             | 2025-09-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN6244 3.09% 09/01/29                           | FANNIE MAE POOL UMBS P#AN6244 3.09000000                                                         | CUSIP: 3138LJ5E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7484000 | NS      | $6867595.91    | 0.04%             | 2029-09-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FNR 2007-112 SA V/R 12/25/37                           | FANNIE MAE REMICS SER 2007-112 CL SA V/R 2.06129000                                              | CUSIP: 31396X4C5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    112359 | NS      | $11507.14      | 0.00%             | 2037-12-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI 2.13% 07/08/30                         | SUMITOMO MITSUI FINL GRP REGD 2.13000000                                                         | CUSIP: 86562MCB4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2650000 | NS      | $2094190.01    | 0.01%             | 2030-07-08      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| COMET 2022-A2  3.49% 05/15/25                          | CAPITAL ONE MULTI-ASSET EXECUTION TRUST SER 2022-A2 CL A REGD 3.49000000                         | CUSIP: 14041NGA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7487000 | NS      | $7281123.22    | 0.05%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN8767 3.61% 04/01/28                           | FANNIE MAE POOL UMBS P#AN8767 3.61000000                                                         | CUSIP: 3138LMW58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2843075 | NS      | $2734461.41    | 0.02%             | 2028-04-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 6.15% 11/09/29                             | ORACLE CORP REGD 6.15000000                                                                      | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3658000 | NS      | $3796879.34    | 0.02%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNR 2005-121 DX 5.5% 01/25/26                          | FANNIE MAE REMICS SER 2005-121 CL DX 5.50000000                                                  | CUSIP: 31394VBA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13318 | NS      | $13236.71      | 0.00%             | 2026-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MYLAN INC 5.2% 04/15/48                                | MYLAN INC REGD SER WI 5.20000000                                                                 | CUSIP: 628530BJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7550000 | NS      | $5622335.13    | 0.04%             | 2048-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HAROT 2020-2 A 0.82% 07/17/23                          | HONDA AUTO RECEIVABLES 2020-2 OWNER TRUST SER 2020-2 CL A3 REGD 0.82000000                       | CUSIP: 43813DAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1199182 | NS      | $1181557.85    | 0.01%             | 2024-07-15      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT0511 3% 08/01/48                              | FREDDIE MAC POOL UMBS P#ZT0511 3.00000000                                                        | CUSIP: 3132ACR85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2356938 | NS      | $2097744.39    | 0.01%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LHOME 2021-RTL1  V/R 02/25/26                          | LHOME MORTGAGE TRUST 2021-RTL1 SER 2021-RTL1 CL A1 V/R REGD 144A P/P 2.09000000                  | CUSIP: 501894AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4790000 | NS      | $4534549.78    | 0.03%             | 2026-02-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC1317 4.5% 09/01/34                            | FANNIE MAE POOL UMBS P#AC1317 4.50000000                                                         | CUSIP: 31417KPB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11709 | NS      | $11489.19      | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONES 6.2% 04/14/52                         | FREEPORT INDONESIA PT REGD 144A P/P 6.20000000                                                   | CUSIP: 69377FAC0<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    814000 | NS      | $710632.07     | 0.00%             | 2052-04-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5220 3% 02/01/50                              | FANNIE MAE POOL UMBS P#CA5220 3.00000000                                                         | CUSIP: 3140QCYS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5692952 | NS      | $5027074.24    | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0722 V/R 04/01/38                            | FREDDIE MAC NON GOLD POOL P#1Q0722 V/R 3.00700000                                                | CUSIP: 3128S4YT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20445 | NS      | $20415.86      | 0.00%             | 2038-04-01      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2006 8.5% 05/20/25                           | GINNIE MAE II POOL P#2006 8.50000000                                                             | CUSIP: 36202CGP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       257 | NS      | $257.89        | 0.00%             | 2025-05-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VENDE 1994-1 1 V/R 02/15/24                            | VENDEE MORTGAGE TRUST 1994-1 SER 1994-1 CL 1 V/R 4.60489600                                      | CUSIP: 911760DD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6330 | NS      | $6273.10       | 0.00%             | 2024-02-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL  4.25% 06/15/23                         | LIBERTY MUTUAL GROUP INC REGD P/P 4.25000000                                                     | CUSIP: 53079EBE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     72000 | NS      | $71488.09      | 0.00%             | 2023-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BD6217 4.5% 05/20/48                         | GINNIE MAE II POOL P#BD6217 4.50000000                                                           | CUSIP: 3617BM4A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    713609 | NS      | $692844.63     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#257209 5.5% 05/01/38                            | FANNIE MAE POOL UMBS P#257209 5.50000000                                                         | CUSIP: 31371NVA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10156 | NS      | $10267.62      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC9526 5.5% 01/01/40                            | FANNIE MAE POOL UMBS P#AC9526 5.50000000                                                         | CUSIP: 31417WSQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250246 | NS      | $259407.01     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7505 3% 01/01/43                              | FANNIE MAE POOL UMBS P#AB7505 3.00000000                                                         | CUSIP: 31417EKT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    422371 | NS      | $384311.43     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.875% 04/30/29                           | UNITED STATES TREASURY NOTE 2.87500000                                                           | CUSIP: 91282CEM9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  42000000 | NS      | $39335625.00   | 0.25%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CO 3.8% 09/29/46                         | SOUTHWEST GAS CORP REGD 3.80000000                                                               | CUSIP: 844895AX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    508000 | NS      | $349703.64     | 0.00%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#252409 6.5% 03/01/29                            | FANNIE MAE POOL UMBS P#252409 6.50000000                                                         | CUSIP: 31371HKW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5528 | NS      | $5603.69       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CM2992 V/R 04/20/72                          | GINNIE MAE II POOL P#CM2992 V/R 6.31200000                                                       | CUSIP: 3617YNKD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3367347 | NS      | $3515259.29    | 0.02%             | 2072-04-20      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY  7.875% 06/15/26                         | SUNCOR ENERGY INC REGD 7.87500000                                                                | CUSIP: 71644EAE2<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    543000 | NS      | $582861.14     | 0.00%             | 2026-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON C 6.15% 05/15/37                         | TOLEDO EDISON COMPANY REGD 6.15000000                                                            | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    680000 | NS      | $703356.25     | 0.00%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC 3.5% 04/01/27                              | WORKDAY INC REGD 3.50000000                                                                      | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   3141000 | NS      | $2935481.48    | 0.02%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q33791 3.5% 06/01/45                           | FREDDIE MAC GOLD POOL P#Q33791 3.50000000                                                        | CUSIP: 3132QQF98<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    575787 | NS      | $537786.83     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4326 2.5% 05/01/51                            | FANNIE MAE POOL UMBS P#MA4326 2.50000000                                                         | CUSIP: 31418DYY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10735086 | NS      | $9118126.43    | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1374 3% 10/20/43                           | GINNIE MAE II POOL P#MA1374 3.00000000                                                           | CUSIP: 36179NQ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     63373 | NS      | $57848.38      | 0.00%             | 2043-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VENDE 1993-1 Z 7.25% 02/15/23                          | VENDEE MORTGAGE TRUST 1993-1 SER 1993-1 CL ZB 7.25000000                                         | CUSIP: 911760BX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8552 | NS      | $8536.91       | 0.00%             | 2023-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRO V/R 01/12/29                         | CREDIT SUISSE GROUP AG REGD V/R 3.86900000                                                       | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2000000 | NS      | $1603096.82    | 0.01%             | 2029-01-12      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| GNR 2004-73 JL V/R 09/16/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-73 CL JL V/R 2.22371000                        | CUSIP: 38374H2D1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    134006 | NS      | $10897.81      | 0.00%             | 2034-09-16      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CR1 3.765% 09/10/23                          | COMM 2013-CCRE12 MORTGAGE TRUST SER 2013-CR12 CL A3 REGD 3.76500000                              | CUSIP: 12591KAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4612450 | NS      | $4559306.30    | 0.03%             | 2046-10-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q26744 4.5% 07/01/44                           | FREDDIE MAC GOLD POOL P#Q26744 4.50000000                                                        | CUSIP: 3132M7ER5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22133 | NS      | $21745.56      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#868763 6.5% 04/01/36                            | FANNIE MAE POOL UMBS P#868763 6.50000000                                                         | CUSIP: 31409EFC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       876 | NS      | $874.90        | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q19476 3.5% 06/01/43                           | FREDDIE MAC GOLD POOL P#Q19476 3.50000000                                                        | CUSIP: 3132JA6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    649501 | NS      | $608104.22     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK 4.65% 09/13/28                           | DISCOVER BANK REGD SER BKNT 4.65000000                                                           | CUSIP: 25466AAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3746587.24    | 0.02%             | 2028-09-13      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1A1193 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1A1193 V/R 5.04100000                                                | CUSIP: 3128NFKE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26439 | NS      | $26175.48      | 0.00%             | 2037-05-01      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A94713 4% 11/01/40                             | FREDDIE MAC GOLD POOL P#A94713 4.00000000                                                        | CUSIP: 312943GW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14203 | NS      | $13654.87      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-9 22A2 6% 11/25/35                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2005-9 CL 22A2 REGD 6.00000000                             | CUSIP: 17307GL89<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    932434 | NS      | $902342.96     | 0.01%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2011-149 EF V/R 07/25/41                           | FANNIE MAE REMICS SER 2011-149 CL EF V/R 4.88871000                                              | CUSIP: 3136A3FM8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18013 | NS      | $17851.40      | 0.00%             | 2041-07-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1A1097 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1A1097 V/R 4.57100000                                                | CUSIP: 3128NFGE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21197 | NS      | $21221.79      | 0.00%             | 2036-10-01      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| RFC PRIN STRIP ZCP 04/15/30                            | RESOLUTION FUNDING CORP PRINCIPAL STRIP ZCP 0.00000000                                           | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    929000 | NS      | $673969.43     | 0.00%             | 2030-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-52 PI 5% 07/25/39                             | FANNIE MAE REMICS SER 2009-52 CL PI 5.00000000                                                   | CUSIP: 31396QKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39735 | NS      | $7463.40       | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 2543 YX 6% 12/15/32                                | FREDDIE MAC REMICS SER 2543 CL YX 6.00000000                                                     | CUSIP: 31393HGW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41794 | NS      | $42610.54      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4657 3.5% 10/01/48                            | FANNIE MAE POOL UMBS P#CA4657 3.50000000                                                         | CUSIP: 3140QCE77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2403764 | NS      | $2228199.87    | 0.01%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMMSR 2020-GT1 A V/R 01/25/26                          | FMC GMSR ISSUER TRUST SER 2020-GT1 CL A V/R REGD 144A P/P 4.45000000                             | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9700000 | NS      | $8473394.26    | 0.05%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR &  3.468% 12/01/50                         | INTL FLAVOR & FRAGRANCES REGD P/P 3.46800000                                                     | CUSIP: 459506AS0<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    878000 | NS      | $594308.68     | 0.00%             | 2050-12-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BMARK 2020-B2 2.034% 10/15/30                          | BENCHMARK 2020-B20 MORTGAGE TRUST SER 2020-B20 CL A5 REGD 2.03410000                             | CUSIP: 08162XBG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3735000 | NS      | $3006896.49    | 0.02%             | 2053-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BOAA 2006-5 CB7 6% 06/25/46                            | BANC OF AMERICA ALTERNATIVE LOAN TRUST 2006-5 SER 2006-5 CL CB7 REGD 6.00000000                  | CUSIP: 05950BAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18515 | NS      | $16002.46      | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMS 2013-GC16 X V/R 11/10/23                          | GS MORTGAGE SECURITIES TRUST 2013-GC16 SER 2013-GC16 CL XA V/R REGD 0.99427900                   | CUSIP: 36248GAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15171033 | NS      | $72898.33      | 0.00%             | 2046-11-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 04/23/39                         | GOLDMAN SACHS GROUP INC REGD V/R 4.41100000                                                      | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2075000 | NS      | $1792860.67    | 0.01%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| UMBS P#889579 6% 05/01/38                              | FANNIE MAE POOL UMBS P#889579 6.00000000                                                         | CUSIP: 31410KJY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    102391 | NS      | $106812.34     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0534 3.5% 11/20/42                         | GINNIE MAE II POOL P#MA0534 3.50000000                                                           | CUSIP: 36179MSX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    713381 | NS      | $672567.04     | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P51353 6.5% 11/01/36                           | FREDDIE MAC GOLD POOL P#P51353 6.50000000                                                        | CUSIP: 3128C6QE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     87093 | NS      | $89741.71      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM5024 2.5% 12/01/50                            | FANNIE MAE POOL UMBS P#FM5024 2.50000000                                                         | CUSIP: 3140X8SN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11445642 | NS      | $9734369.48    | 0.06%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.75% 07/31/27                            | UNITED STATES TREASURY NOTE 2.75000000                                                           | CUSIP: 91282CFB2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  34046000 | NS      | $32212037.65   | 0.21%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHMS K064 A2 V/R 03/25/27                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K064 CL A2 V/R 3.22400000            | CUSIP: 3137BXQY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14175000 | NS      | $13489220.59   | 0.09%             | 2027-03-25      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS 2.375% 12/14/28                         | DAIMLER TRUCKS FINAN NA REGD 144A P/P 2.37500000                                                 | CUSIP: 233853AG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8747000 | NS      | $7350217.90    | 0.05%             | 2028-12-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.45% 07/01/25                         | PACIFIC GAS & ELECTRIC REGD 3.45000000                                                           | CUSIP: 694308JL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1570000 | NS      | $1486250.38    | 0.01%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PAR 2.717% 12/15/24                          | MRCD 2019-MARK MORTGAGE TRUST SER 2019-PARK CL A REGD 144A P/P 2.71752000                        | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9990000 | NS      | $9182758.05    | 0.06%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATIONAL 2% 04/29/28                         | ABU DHABI NATIONAL ENERG REGD 144A P/P MTN 2.00000000                                            | CUSIP: 00388WAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |   2015000 | NS      | $1787127.68    | 0.01%             | 2028-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIA 3.05% 06/01/31                         | ENTERGY LOUISIANA LLC REGD 3.05000000                                                            | CUSIP: 29364WAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    440000 | NS      | $375833.08     | 0.00%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA COR 4.5% 04/22/52                         | TSMC ARIZONA CORP REGD 4.50000000                                                                | CUSIP: 872898AJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1880000 | NS      | $1760002.66    | 0.01%             | 2052-04-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#894452 V/R 09/01/36                             | FANNIE MAE POOL UMBS P#894452 V/R 4.07000000                                                     | CUSIP: 31410QWM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12339 | NS      | $12218.04      | 0.00%             | 2036-09-01      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHR 2412 SP V/R 02/15/32                               | FREDDIE MAC REMICS SER 2412 CL SP V/R 7.46428000                                                 | CUSIP: 31339DW95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15345 | NS      | $15761.98      | 0.00%             | 2032-02-15      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| GSR 2006-1F 1A3 5.5% 02/25/36                          | GSR MORTGAGE LOAN TRUST 2006-1F SER 2006-1F CL 1A3 REGD 5.50000000                               | CUSIP: 3623416K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14118 | NS      | $24049.68      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNIC 2.1% 03/22/28                         | VERIZON COMMUNICATIONS REGD 2.10000000                                                           | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2390000 | NS      | $2074228.90    | 0.01%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA P#717183 4% 06/15/39                              | GINNIE MAE I POOL P#717183 4.00000000                                                            | CUSIP: 3620A2XL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    179595 | NS      | $172087.28     | 0.00%             | 2039-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 1994-40 Z 6.5% 03/25/24                            | FANNIE MAE REMICS SER 1994-40 CL Z 6.50000000                                                    | CUSIP: 31359G5C6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8277 | NS      | $8302.29       | 0.00%             | 2024-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G3591 V/R 08/01/35                            | FREDDIE MAC NON GOLD POOL P#1G3591 V/R 3.91500000                                                | CUSIP: 3128QT7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5087 | NS      | $5014.39       | 0.00%             | 2035-08-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNR 2011-118 MT 7% 11/25/41                            | FANNIE MAE REMICS SER 2011-118 CL MT 7.00000000                                                  | CUSIP: 3136A12F1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    524371 | NS      | $555878.30     | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AZ3743 3.5% 11/01/45                            | FANNIE MAE POOL UMBS P#AZ3743 3.50000000                                                         | CUSIP: 3138YVER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1337037 | NS      | $1243279.16    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN EN 4.3% 05/01/24                         | KINDER MORGAN ENER PART REGD 4.30000000                                                          | CUSIP: 28370TAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3700000 | NS      | $3650609.33    | 0.02%             | 2024-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNR 2005-74 CS V/R 05/25/35                            | FANNIE MAE REMICS SER 2005-74 CL CS V/R 7.95104800                                               | CUSIP: 31394FDF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28744 | NS      | $27930.21      | 0.00%             | 2035-05-25      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| HCA INC 3.5% 07/15/51                                  | HCA INC REGD 3.50000000                                                                          | CUSIP: 404119CB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    116000 | NS      | $74421.82      | 0.00%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM3904 5% 05/01/48                              | FANNIE MAE POOL UMBS P#BM3904 5.00000000                                                         | CUSIP: 3140J8KS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1094481 | NS      | $1096830.42    | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNIC 3.7% 03/22/61                         | VERIZON COMMUNICATIONS REGD 3.70000000                                                           | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2092471.05    | 0.01%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AIG SUNAMER GLOB 6.9% 03/15/32                         | AIG SUNAMER GLOB FIN X REGD P/P 6.90000000                                                       | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |    955000 | NS      | $1016055.98    | 0.01%             | 2032-03-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0697 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1Q0697 V/R 4.66900000                                                | CUSIP: 3128S4X28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38948 | NS      | $39142.72      | 0.00%             | 2037-05-01      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.6% 04/01/40                              | ORACLE CORP REGD 3.60000000                                                                      | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   6210000 | NS      | $4555723.51    | 0.03%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT  3.875% 02/01/28                         | EXPORT-IMPORT BK INDIA REGD 144A P/P 3.87500000                                                  | CUSIP: 30216JAC9<br>LEI: N/A                  | Long             | DBT              | USGA              | IN        |   3480000 | NS      | $3224568.00    | 0.02%             | 2028-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHR 5197 EA 2% 02/25/52                                | FREDDIE MAC REMICS SER 5197 CL EA 2.00000000                                                     | CUSIP: 3137H5J73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8683671 | NS      | $7467714.81    | 0.05%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COPAR 2019-2 A 1.92% 05/15/24                          | CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2019-2 SER 2019-2 CL A3 REGD 1.92000000                 | CUSIP: 14043TAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    188555 | NS      | $188200.76     | 0.00%             | 2024-05-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| FNR 2005-66 SG V/R 07/25/35                            | FANNIE MAE REMICS SER 2005-66 CL SG V/R 6.40322500                                               | CUSIP: 31394EKR8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15709 | NS      | $16528.86      | 0.00%             | 2035-07-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 09/30/28                               | BNP PARIBAS REGD V/R 144A P/P 1.90400000                                                         | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   6280000 | NS      | $5229278.94    | 0.03%             | 2028-09-30      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| F/C US ULTRA BOND CBT MAR23                            | FUTURE CONTRACT ON           US ULTRA BOND CBT MAR23 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      1555 | NC      | $208855937.50  | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| NISOURCE INC 1.7% 02/15/31                             | NISOURCE INC REGD 1.70000000                                                                     | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1640000 | NS      | $1250211.59    | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| HMIR 2022-1 M1A V/R 10/25/34                           | HOME RE 2022-1 LTD SER 2022-1 CL M1A V/R REGD 144A P/P 6.77768000                                | CUSIP: 43730GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8800000 | NS      | $8709615.20    | 0.06%             | 2034-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2285 8% 09/20/26                             | GINNIE MAE II POOL P#2285 8.00000000                                                             | CUSIP: 36202CRE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       433 | NS      | $442.42        | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#345288 7.5% 03/15/23                            | GINNIE MAE I POOL P#345288 7.50000000                                                            | CUSIP: 36203CRH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3 | NS      | $2.55          | 0.00%             | 2023-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPAN 4.85% 03/01/48                         | WILLIAMS COMPANIES INC REGD 4.85000000                                                           | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2535442.71    | 0.02%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1599 3% 01/20/44                           | GINNIE MAE II POOL P#MA1599 3.00000000                                                           | CUSIP: 36179NX45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    362727 | NS      | $331128.80     | 0.00%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-63 ZH 6.5% 07/25/36                           | FANNIE MAE REMICS SER 2006-63 CL ZH 6.50000000                                                   | CUSIP: 31395NQK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    101239 | NS      | $106072.06     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OCTL 2021-1A B 1.53% 04/20/25                          | OCTANE RECEIVABLES TRUST 2021-1 SER 2021-1A CL B REGD 144A P/P 1.53000000                        | CUSIP: 67571AAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    700000 | NS      | $650351.03     | 0.00%             | 2027-04-20      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M38  1.594% 11/25/28                          | FANNIE MAE-ACES SER 2020-M38 CL 2A1 1.59400000                                                   | CUSIP: 3136BBHB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1985300 | NS      | $1743804.19    | 0.01%             | 2028-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA7386 3.5% 05/01/52                            | FREDDIE MAC POOL UMBS P#RA7386 3.50000000                                                        | CUSIP: 3133KPF37<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    499950 | NS      | $454310.21     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 2038 PN 7% 03/15/28                                | FREDDIE MAC REMICS SER 2038 CL PN 7.00000000                                                     | CUSIP: 3133TDA22<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3981 | NS      | $426.16        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2313 LA 6.5% 05/15/31                              | FREDDIE MAC REMICS SER 2313 CL LA 6.50000000                                                     | CUSIP: 3133TTK67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1881 | NS      | $1934.43       | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SABAL TRAIL TR 4.682% 05/01/38                         | SABAL TRAIL TRANS REGD 144A P/P 4.68200000                                                       | CUSIP: 78516FAB5<br>LEI: 5493002DWITGSZFUI977 | Long             | DBT              | CORP              | US        |  10000000 | NS      | $8972954.70    | 0.06%             | 2038-05-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| FNR 1993-56 PZ 7% 05/25/23                             | FANNIE MAE REMICS SER 1993-56 CL PZ 7.00000000                                                   | CUSIP: 31358U5G7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2084 | NS      | $2081.32       | 0.00%             | 2023-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 2.937% 11/01/56                           | COMCAST CORP REGD SER WI 2.93700000                                                              | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    845000 | NS      | $522569.39     | 0.00%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| HARTFORD HEALT 3.447% 07/01/54                         | HARTFORD HEALTHCARE CORP REGD 3.44700000                                                         | CUSIP: 41652PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3370000 | NS      | $2353222.27    | 0.02%             | 2054-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-S1 A5 5.5% 04/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-S1 TRUST SER 2003-S1 CL A5 REGD 5.50000000   | CUSIP: 929227H82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36458 | NS      | $35645.90      | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC 3.1% 01/15/30                            | WELLTOWER INC REGD 3.10000000                                                                    | CUSIP: 95040QAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1085000 | NS      | $915748.40     | 0.01%             | 2030-01-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST 5.1% 06/01/33                              | ILLINOIS ST REGD N/C B/E 5.10000000                                                              | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |  12065000 | NS      | $11579249.83   | 0.07%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 4.75% 04/15/29                            | BROADCOM INC REGD 4.75000000                                                                     | CUSIP: 11135FBA8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   6850000 | NS      | $6524762.34    | 0.04%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LBMLT 2004-3 M1 V/R 07/25/34                           | LONG BEACH MORTGAGE LOAN TRUST 2004-3 SER 2004-3 CL M1 V/R REGD 5.24371000                       | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27335 | NS      | $25863.01      | 0.00%             | 2034-07-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORT 4.375% 09/01/42                         | BURLINGTN NORTH SANTA FE REGD 4.37500000                                                         | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    462000 | NS      | $411732.85     | 0.00%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6338 2.5% 11/01/51                            | FREDDIE MAC POOL UMBS P#RA6338 2.50000000                                                        | CUSIP: 3133KNBF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17737541 | NS      | $15101440.02   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS IN 4.5% 03/30/39                         | ENTERGY TEXAS INC REGD 4.50000000                                                                | CUSIP: 29365TAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11000000 | NS      | $9527595.00    | 0.06%             | 2039-03-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALFT 2013-1A A V/R 12/26/44                            | ACADEMIC LOAN FUNDING TRUST 2013-1 SER 2013-1A CL A V/R 144A P/P 5.18871000                      | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    485733 | NS      | $468706.50     | 0.00%             | 2044-12-26      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1382 2.5% 08/01/51                            | FANNIE MAE POOL UMBS P#CB1382 2.50000000                                                         | CUSIP: 3140QLRC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10277909 | NS      | $8769544.29    | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 2230 Z 8% 04/15/30                                 | FREDDIE MAC REMICS SER 2230 CL Z 8.00000000                                                      | CUSIP: 3133TNSS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4882 | NS      | $5168.48       | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 05/18/24                         | HSBC HOLDINGS PLC REGD V/R 3.95000000                                                            | CUSIP: 404280BS7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1301000 | NS      | $1290698.27    | 0.01%             | 2024-05-18      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/21/28                         | BANK OF AMERICA CORP REGD V/R MTN SER GMTN 3.59300000                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7800000 | NS      | $7180596.62    | 0.05%             | 2028-07-21      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FCAT 2022-3 D 6% 07/17/28                              | FLAGSHIP CREDIT AUTO TRUST 2022-3 SER 2022-3 CL D REGD 144A P/P 6.00000000                       | CUSIP: 33845PAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4043000 | NS      | $3849757.94    | 0.02%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR 2003-3F 4A 5.75% 04/25/33                          | GSR MORTGAGE LOAN TRUST 2003-3F SER 2003-3F CL 4A3 REGD 5.75000000                               | CUSIP: 36228FPT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5776 | NS      | $5511.72       | 0.00%             | 2033-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MER 2.675% 09/01/41                         | HACKENSACK MERIDIAN HLTH REGD SER 2020 2.67500000                                                | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   3780000 | NS      | $2628512.51    | 0.02%             | 2041-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA 6.25% 05/01/37                         | MARTIN MARIETTA MATERIAL REGD 6.25000000                                                         | CUSIP: 573284AJ5<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    107000 | NS      | $106949.65     | 0.00%             | 2037-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#468927 4.766% 08/01/26                          | FANNIE MAE POOL UMBS P#468927 4.76600000                                                         | CUSIP: 31381R4L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    580423 | NS      | $581858.75     | 0.00%             | 2026-08-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| AMCAR 2021-2 C 1.01% 04/21/25                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-2 SER 2021-2 CL C REGD 1.01000000                  | CUSIP: 03066RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4600000 | NS      | $4182162.68    | 0.03%             | 2027-01-19      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| GNMA P#468236 6.5% 09/15/28                            | GINNIE MAE I POOL P#468236 6.50000000                                                            | CUSIP: 36209DEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7814 | NS      | $8031.81       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3598 4% 04/20/46                           | GINNIE MAE II POOL P#MA3598 4.00000000                                                           | CUSIP: 36179R7K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    983738 | NS      | $939828.99     | 0.01%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 1997-39 PD 7.5% 05/20/27                           | FANNIE MAE REMICS SER 1997-39 CL PD 7.50000000                                                   | CUSIP: 31359PSF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8113 | NS      | $8328.65       | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2420 XK 6.5% 02/15/32                              | FREDDIE MAC REMICS SER 2420 CL XK 6.50000000                                                     | CUSIP: 31339DMW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16996 | NS      | $17609.30      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHS 239 S30 V/R 08/15/36                               | FREDDIE MAC STRIPS SER 239 CL S30 V/R 3.38214000                                                 | CUSIP: 31282YNU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    167822 | NS      | $22945.85      | 0.00%             | 2036-08-15      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND C 4.5% 09/15/23                         | AERCAP IRELAND CAP/GLOBA REGD 4.50000000                                                         | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   5280000 | NS      | $5245318.37    | 0.03%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV5623 3% 06/01/52                              | FANNIE MAE POOL UMBS P#BV5623 3.00000000                                                         | CUSIP: 3140MKG97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2728780 | NS      | $2396066.76    | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARMX 2022-1 A 1.47% 08/15/25                          | CARMAX AUTO OWNER TRUST 2022-1 SER 2022-1 CL A3 REGD 1.47000000                                  | CUSIP: 14317CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6679000 | NS      | $6335502.37    | 0.04%             | 2026-12-15      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FHR 2306 K ZCP 05/15/24                                | FREDDIE MAC REMICS SER 2306 CL K ZCP 0.00000000                                                  | CUSIP: 3133TSJA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       542 | NS      | $526.92        | 0.00%             | 2024-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND  2.45% 10/29/26                         | AERCAP IRELAND CAP/GLOBA REGD 2.45000000                                                         | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1045000 | NS      | $913791.56     | 0.01%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHR 2210 Z 8% 01/15/30                                 | FREDDIE MAC REMICS SER 2210 CL Z 8.00000000                                                      | CUSIP: 3133TNDG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15346 | NS      | $16361.81      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 09/22/27                         | JPMORGAN CHASE & CO REGD V/R SER FXD 1.47000000                                                  | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  15960000 | NS      | $13817577.48   | 0.09%             | 2027-09-22      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1H2623 V/R 07/01/36                            | FREDDIE MAC NON GOLD POOL P#1H2623 V/R 3.96700000                                                | CUSIP: 3128QLSL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9677 | NS      | $9876.82       | 0.00%             | 2036-07-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| JPMCC 2019-BKWD  V/R 09/15/22                          | JP MORGAN CHASE COMMERCIAL MORTGAGE SE SER 2019-BKWD CL A V/R REGD 144A P/P 5.56800000           | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7917771 | NS      | $7673676.87    | 0.05%             | 2029-09-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| EMIR 2018-1 M1 V/R 11/25/23                            | EAGLE RE 2018-1 LTD SER 2018-1 CL M1 V/R REGD 144A P/P 6.08871000                                | CUSIP: 269826AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1514166 | NS      | $1509203.03    | 0.01%             | 2028-11-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS S/UP 07/02/64                         | JOHNSON CONTROLS INTL PL REGD S/UP SER * 4.95000000                                              | CUSIP: 478375AN8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    928000 | NS      | $769540.05     | 0.00%             | 2064-07-02      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8254 3% 10/01/52                              | FREDDIE MAC POOL UMBS P#SD8254 3.00000000                                                        | CUSIP: 3132DWE33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3959356 | NS      | $3475808.87    | 0.02%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA9007 4.5% 02/01/51                            | FANNIE MAE POOL UMBS P#CA9007 4.50000000                                                         | CUSIP: 3140QHAH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1075362 | NS      | $1036793.98    | 0.01%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP 4.875% 06/01/25                                | MPLX LP REGD SER WI 4.87500000                                                                   | CUSIP: 55336VAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2954015.82    | 0.02%             | 2025-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| RCO 2022-1 A1 V/R 01/25/25                             | RCO VI MORTGAGE LLC 2022-1 SER 2022-1 CL A1 V/R REGD 144A P/P 3.00000000                         | CUSIP: 74934VAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8360610 | NS      | $7843876.75    | 0.05%             | 2027-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MSBAM 2015-C2 3.451% 05/15/25                          | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 20 SER 2015-C23 CL A3 REGD 3.45100000         | CUSIP: 61690QAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17606533 | NS      | $16750353.81   | 0.11%             | 2050-07-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-9 A1 V/R 10/25/24                            | PRPM 2021-9 LLC SER 2021-9 CL A1 V/R REGD 144A P/P 2.36300000                                    | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1669913 | NS      | $1503274.76    | 0.01%             | 2026-10-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| F/C US LONG BOND(CBT) MAR23                            | FUTURE CONTRACT ON           US LONG BOND(CBT) MAR23 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     -1002 | NC      | $-125594437.50 | -0.81%            |  |  |  | No            |                  1 | On Loan: No      |
| AMSR 2019-SFR 3.023% 01/17/27                          | AMSR 2019-SFR1 TRUST SER 2019-SFR1 CL B REGD 144A P/P 3.02300000                                 | CUSIP: 00178XAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2471000 | NS      | $2200890.54    | 0.01%             | 2039-01-19      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES PT 2015-1       AA     20290130 3.62500 | DELTA AIRLINES PT 2015-1       AA     20290130 3.62500 3.62500000                                | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    903878 | NS      | $825157.28     | 0.01%             | 2029-01-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| EXPERIAN FINANC 2.75% 03/08/30                         | EXPERIAN FINANCE PLC REGD 144A P/P 2.75000000                                                    | CUSIP: 30217AAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   9240000 | NS      | $7641777.16    | 0.05%             | 2030-03-08      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.25% 05/15/41                            | UNITED STATES TREASURY BOND 2.25000000                                                           | CUSIP: 912810SY5<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 172459000 | NS      | $129647400.16  | 0.83%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCT 4.25% 07/15/27                         | APA INFRASTRUCTURE LTD REGD 144A P/P 4.25000000                                                  | CUSIP: 00205GAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   1098000 | NS      | $1025345.78    | 0.01%             | 2027-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND C 6.5% 07/15/25                         | AERCAP IRELAND CAP/GLOBA REGD 6.50000000                                                         | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1848000 | NS      | $1872537.65    | 0.01%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BMARK 2020-B1 2.732% 01/15/30                          | BENCHMARK 2020-B16 MORTGAGE TRUST SER 2020-B16 CL A5 REGD 2.73200000                             | CUSIP: 08161NAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    511000 | NS      | $439123.00     | 0.00%             | 2053-02-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-28CB 5.5% 08/25/35                          | ALTERNATIVE LOAN TRUST 2005-28CB SER 2005-28CB CL 1A4 REGD 5.50000000                            | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    123093 | NS      | $106604.95     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO 1.65% 01/15/31                         | ESSEX PORTFOLIO LP REGD 1.65000000                                                               | CUSIP: 29717PAW7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    910000 | NS      | $678955.72     | 0.00%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION 4.273% 03/15/48                         | BROOKLYN UNION GAS CO REGD 144A P/P 4.27300000                                                   | CUSIP: 114259AQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | NS      | $823297.16     | 0.01%             | 2048-03-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE 1.95% 11/09/28                          | PUBLIC STORAGE REGD 1.95000000                                                                   | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   1668000 | NS      | $1422834.42    | 0.01%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| WESTR 2020-1A 3.963% 10/20/23                          | WESTGATE RESORTS 2020-1 LLC SER 2020-1A CL B REGD 144A P/P 3.96300000                            | CUSIP: 96034LAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2117784 | NS      | $2067587.64    | 0.01%             | 2034-03-20      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 08/17/29                         | HSBC HOLDINGS PLC REGD V/R 2.20600000                                                            | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2075000 | NS      | $1674900.72    | 0.01%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY COR 3.95% 08/15/47                         | DUKE ENERGY CORP REGD 3.95000000                                                                 | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1740000 | NS      | $1313762.24    | 0.01%             | 2047-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNR 2013-101 DO V/R 10/25/43                           | FANNIE MAE REMICS SER 2013-101 CL DO V/R 0.00000000                                              | CUSIP: 3136AGZH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    448946 | NS      | $328917.36     | 0.00%             | 2043-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2007-79 SY V/R 12/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-79 CL SY V/R 2.19714000                        | CUSIP: 383742AS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96529 | NS      | $2992.67       | 0.00%             | 2037-12-20      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC 4.4% 06/10/25                            | CITIGROUP INC REGD 4.40000000                                                                    | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  12181000 | NS      | $11955704.86   | 0.08%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS6286 4% 12/01/45                              | FANNIE MAE POOL UMBS P#AS6286 4.00000000                                                         | CUSIP: 3138WF6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    406691 | NS      | $389545.55     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR9127 2.5% 05/01/51                            | FANNIE MAE POOL UMBS P#BR9127 2.50000000                                                         | CUSIP: 3140L8D98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3052034 | NS      | $2592165.39    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FCRT 2021-1 D 1.32% 03/15/27                           | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2021-1 SER 2021-1 CL D REGD 144A P/P 1.32000000   | CUSIP: 35105WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | NS      | $831722.94     | 0.01%             | 2027-03-15      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| IMM 2005-4 2A1 V/R 05/25/35                            | IMPAC CMB TRUST SERIES 2005-4 SER 2005-4 CL 2A1 V/R REGD 4.98871000                              | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     77130 | NS      | $64758.51      | 0.00%             | 2035-05-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOL 2.703% 04/15/32                         | MICRON TECHNOLOGY INC REGD 2.70300000                                                            | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   7951000 | NS      | $5945168.39    | 0.04%             | 2032-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHR 1745 D 7.5% 08/15/24                               | FREDDIE MAC REMICS SER 1745 CL D 7.50000000                                                      | CUSIP: 3133T54P5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1365 | NS      | $1376.42       | 0.00%             | 2024-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 3819 ZQ 6% 04/15/36                                | FREDDIE MAC REMICS SER 3819 CL ZQ 6.00000000                                                     | CUSIP: 3137A8N20<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    320372 | NS      | $331641.79     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3332 3.5% 04/01/48                            | FANNIE MAE POOL UMBS P#MA3332 3.50000000                                                         | CUSIP: 31418CV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11614829 | NS      | $10740835.02   | 0.07%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#674349 6% 03/01/33                              | FANNIE MAE POOL UMBS P#674349 6.00000000                                                         | CUSIP: 31391REW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2948 | NS      | $2992.84       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1115 2.5% 05/01/51                            | FANNIE MAE POOL UMBS P#FS1115 2.50000000                                                         | CUSIP: 3140XGGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6795631 | NS      | $5893769.99    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL  6% 10/07/39                         | ENEL FINANCE INTL NV REGD P/P 6.00000000                                                         | CUSIP: 29268BAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    307000 | NS      | $279331.11     | 0.00%             | 2039-10-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5557 V/R 11/20/71                          | GINNIE MAE II POOL P#CE5557 V/R 6.30600000                                                       | CUSIP: 3617VUE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11210664 | NS      | $11671169.87   | 0.07%             | 2071-11-20      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIA 3.12% 09/01/27                         | ENTERGY LOUISIANA LLC REGD 3.12000000                                                            | CUSIP: 29364WAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    370000 | NS      | $340722.91     | 0.00%             | 2027-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA3575 2% 09/01/50                              | FREDDIE MAC POOL UMBS P#RA3575 2.00000000                                                        | CUSIP: 3133KJ6L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3948565 | NS      | $3228011.98    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA0789 3.5% 11/01/32                            | FANNIE MAE POOL UMBS P#CA0789 3.50000000                                                         | CUSIP: 3140Q72X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    404607 | NS      | $391135.84     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EART 2021-4A B 1.05% 05/15/24                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4 SER 2021-4A CL B REGD 1.05000000                      | CUSIP: 30165JAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4461000 | NS      | $4351698.81    | 0.03%             | 2026-05-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY 5.25% 08/01/33                         | DOMINION ENERGY INC REGD SER F 5.25000000                                                        | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1161000 | NS      | $1143184.83    | 0.01%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ9999 3% 02/01/43                              | FANNIE MAE POOL UMBS P#AQ9999 3.00000000                                                         | CUSIP: 3138MSDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    385012 | NS      | $343894.74     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC 0.95% 02/10/26                            | 7-ELEVEN INC REGD 144A P/P 0.95000000                                                            | CUSIP: 817826AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3971000 | NS      | $3477778.41    | 0.02%             | 2026-02-10      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| FNW 2007-W3 1A 6.75% 04/25/37                          | FANNIE MAE REMIC TRUST 2007-W3 SER 2007-W3 CL 1A3 6.75000000                                     | CUSIP: 31396VQB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13692 | NS      | $13789.93      | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.7% 05/14/45                               | ABBVIE INC REGD 4.70000000                                                                       | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   4415000 | NS      | $3921408.61    | 0.03%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN EN 7.5% 11/15/40                         | KINDER MORGAN ENER PART REGD 7.50000000                                                          | CUSIP: 28370TAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    483000 | NS      | $526727.85     | 0.00%             | 2040-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HO 4.054% 03/15/29                         | WARNERMEDIA HOLDINGS INC REGD 144A P/P 4.05400000                                                | CUSIP: 55903VAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | NS      | $1427451.42    | 0.01%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5021 4.5% 02/20/48                         | GINNIE MAE II POOL P#MA5021 4.50000000                                                           | CUSIP: 36179TSJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1988223 | NS      | $1957576.48    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 3740 SC V/R 10/15/40                               | FREDDIE MAC REMICS SER 3740 CL SC V/R 1.68214000                                                 | CUSIP: 3137GARQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    108459 | NS      | $10592.06      | 0.00%             | 2040-10-15      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC 1.65% 01/15/31                            | AUTOZONE INC REGD 1.65000000                                                                     | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   1540000 | NS      | $1194800.35    | 0.01%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6% JAN 23                                | FNMA 30YR TBA 6% JAN 23        TO BE ANNOUNCED 6.00000000                                        | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  21475000 | NS      | $21791886.39   | 0.14%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP 5.5% 02/15/49                                  | MPLX LP REGD 5.50000000                                                                          | CUSIP: 55336VAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | NS      | $834946.75     | 0.01%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4398 2% 08/01/51                              | FANNIE MAE POOL UMBS P#MA4398 2.00000000                                                         | CUSIP: 31418D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5870852 | NS      | $4791000.84    | 0.03%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.375% 08/15/50                           | UNITED STATES TREASURY BOND 1.37500000                                                           | CUSIP: 912810SP4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  53790000 | NS      | $29889169.79   | 0.19%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP 3% 10/29/28                         | AERCAP IRELAND CAP/GLOBA REGD 3.00000000                                                         | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1290000 | NS      | $1080730.12    | 0.01%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 01/10/33                         | CREDIT AGRICOLE SA REGD V/R MTN 4.00000000                                                       | CUSIP: 225313AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   5000000 | NS      | $4356538.00    | 0.03%             | 2033-01-10      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNA 2015-M10 A2 V/R 04/25/27                           | FANNIE MAE-ACES SER 2015-M10 CL A2 V/R 3.09200000                                                | CUSIP: 3136AN6U6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4605242 | NS      | $4354125.06    | 0.03%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FIN 2.67% 12/01/26                         | CDW LLC/CDW FINANCE REGD 2.67000000                                                              | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14070000 | NS      | $12491599.26   | 0.08%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| ALLEG 2018-1A A V/R 06/13/31                           | ALLEGRO CLO VII LTD SER 2018-1A CL A V/R REGD 144A P/P 5.17914000                                | CUSIP: 01750CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12000000 | NS      | $11797308.00   | 0.08%             | 2031-06-13      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| UMBS P#810663 5% 01/01/35                              | FANNIE MAE POOL UMBS P#810663 5.00000000                                                         | CUSIP: 31406HTU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9738 | NS      | $9753.86       | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  5.4% 10/01/47                         | ENERGY TRANSFER LP REGD 5.40000000                                                               | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1270586.10    | 0.01%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 02/15/47                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810RV2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    780000 | NS      | $638472.66     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB9196 3.5% 05/01/43                            | FANNIE MAE POOL UMBS P#AB9196 3.50000000                                                         | CUSIP: 31417GGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    202727 | NS      | $189334.65     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 06/15/33                          | SOCIETE GENERALE REGD V/R 144A P/P 6.22100000                                                    | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4500000 | NS      | $4208780.43    | 0.03%             | 2033-06-15      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATI 4% 07/15/24                         | M&T BANK CORPORATION REGD 4.00000000                                                             | CUSIP: 71270QEB8<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   4350000 | NS      | $4270719.86    | 0.03%             | 2024-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TPMT 2021-SJ2 A1 V/R 12/25/61                          | TOWD POINT MORTGAGE TRUST 2021-SJ2 SER 2021-SJ2 CL A1A V/R REGD 144A P/P 2.25000000              | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13095708 | NS      | $11975701.96   | 0.08%             | 2061-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIO 3.6% 06/15/51                         | COX COMMUNICATIONS INC REGD 144A P/P 3.60000000                                                  | CUSIP: 224044CP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | NS      | $856937.18     | 0.01%             | 2051-06-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNR 2009-59 HB 5% 08/25/39                             | FANNIE MAE REMICS SER 2009-59 CL HB 5.00000000                                                   | CUSIP: 31396QRH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    159137 | NS      | $157962.94     | 0.00%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#555732 V/R 08/01/33                             | FANNIE MAE POOL UMBS P#555732 V/R 3.64400000                                                     | CUSIP: 31385XLM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13477 | NS      | $13596.77      | 0.00%             | 2033-08-01      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4686 5% 06/01/52                              | FANNIE MAE POOL UMBS P#MA4686 5.00000000                                                         | CUSIP: 31418EF47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8404428 | NS      | $8288200.43    | 0.05%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#442119 7.5% 11/15/26                            | GINNIE MAE I POOL P#442119 7.50000000                                                            | CUSIP: 36207UDY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       222 | NS      | $222.31        | 0.00%             | 2026-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL H 5.625% 08/16/32                         | FAIRFAX FINL HLDGS LTD REGD 144A P/P 5.62500000                                                  | CUSIP: 303901BK7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |   9000000 | NS      | $8447515.02    | 0.05%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SCRT 2019-3 MB 3.5% 10/25/58                           | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3 SER 2019-3 CL MB 3.50000000                    | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3880000 | NS      | $3292721.26    | 0.02%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CA0265 V/R 12/20/70                          | GINNIE MAE II POOL P#CA0265 V/R 3.01800000                                                       | CUSIP: 3617U7JJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3297734 | NS      | $2949788.59    | 0.02%             | 2070-12-20      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMI 4.895% 03/06/48                         | TELEFONICA EMISIONES SAU REGD 4.89500000                                                         | CUSIP: 87938WAW3<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |   4575000 | NS      | $3516047.67    | 0.02%             | 2048-03-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1N0206 V/R 08/01/36                            | FREDDIE MAC NON GOLD POOL P#1N0206 V/R 3.99500000                                                | CUSIP: 3128QGGP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29876 | NS      | $30235.30      | 0.00%             | 2036-08-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS &  3.2% 09/15/49                         | BALTIMORE GAS & ELECTRIC REGD 3.20000000                                                         | CUSIP: 059165EL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1105000 | NS      | $777315.57     | 0.00%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#893580 V/R 09/01/36                             | FANNIE MAE POOL UMBS P#893580 V/R 3.81500000                                                     | CUSIP: 31410PXH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15886 | NS      | $15894.51      | 0.00%             | 2036-09-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDING 2.648% 01/16/25                         | NOMURA HOLDINGS INC REGD 2.64800000                                                              | CUSIP: 65535HAP4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   2597000 | NS      | $2452036.91    | 0.02%             | 2025-01-16      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN IN 7.8% 08/01/31                         | KINDER MORGAN INC REGD MTN SER GMTN 7.80000000                                                   | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   4600000 | NS      | $5129638.16    | 0.03%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| FHR 2208 PG 7% 01/15/30                                | FREDDIE MAC REMICS SER 2208 CL PG 7.00000000                                                     | CUSIP: 3133TNFP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14511 | NS      | $15163.96      | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHS 264 F1 V/R 07/15/42                                | FREDDIE MAC STRIPS SER 264 CL F1 V/R 4.86786000                                                  | CUSIP: 3128HXM85<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    772094 | NS      | $756494.49     | 0.00%             | 2042-07-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE  4.3% 09/30/28                         | PROTECTIVE LIFE CORP REGD 144A P/P 4.30000000                                                    | CUSIP: 743674BD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4500000 | NS      | $4203382.10    | 0.03%             | 2028-09-30      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4956 3% 05/01/30                              | FANNIE MAE POOL UMBS P#AS4956 3.00000000                                                         | CUSIP: 3138WEQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    711092 | NS      | $679850.20     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2005-90 ES V/R 10/25/35                            | FANNIE MAE REMICS SER 2005-90 CL ES V/R 5.90322500                                               | CUSIP: 31394FVU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15759 | NS      | $15834.57      | 0.00%             | 2035-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GNMA P#614546 5.5% 06/15/33                            | GINNIE MAE I POOL P#614546 5.50000000                                                            | CUSIP: 36290QWF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1541 | NS      | $1582.70       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CL1819 3.5% 02/20/52                         | GINNIE MAE II POOL P#CL1819 3.50000000                                                           | CUSIP: 3617Y9AU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2037711 | NS      | $1885478.71    | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  1.25% 01/08/26                         | GENERAL MOTORS FINL CO REGD 1.25000000                                                           | CUSIP: 37045XDD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4283000 | NS      | $3771518.06    | 0.02%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.75% 12/31/26                            | UNITED STATES TREASURY NOTE 1.75000000                                                           | CUSIP: 912828YX2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    115000 | NS      | $105283.40     | 0.00%             | 2026-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATIO 2.815% 06/01/70                         | FORD FOUNDATION/THE REGD SER 2020 2.81500000                                                     | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |   3035000 | NS      | $1770254.31    | 0.01%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.875% 02/28/27                           | UNITED STATES TREASURY NOTE 1.87500000                                                           | CUSIP: 91282CEC1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  24460000 | NS      | $22401920.43   | 0.14%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| OMIR 2018-1A M1 V/R 07/25/28                           | OAKTOWN RE II LTD SER 2018-1A CL M1 V/R REGD 144A P/P 5.93871000                                 | CUSIP: 67400CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    547366 | NS      | $546916.36     | 0.00%             | 2028-07-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| LBMLT 2004-1 M1 V/R 02/25/34                           | LONG BEACH MORTGAGE LOAN TRUST 2004-1 SER 2004-1 CL M1 V/R REGD 5.13871000                       | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75498 | NS      | $71553.84      | 0.00%             | 2034-02-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q49329 4.5% 07/01/47                           | FREDDIE MAC GOLD POOL P#Q49329 4.50000000                                                        | CUSIP: 3132WPLK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    525982 | NS      | $519771.88     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNR 2008-95 DS V/R 12/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-95 CL DS V/R 2.94714000                        | CUSIP: 38375DYP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    177328 | NS      | $8354.40       | 0.00%             | 2038-12-20      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| UDR INC 2.1% 08/01/32                                  | UDR INC REGD MTN 2.10000000                                                                      | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   1430000 | NS      | $1050578.41    | 0.01%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNR 2007-14 OP ZCP 03/25/37                            | FANNIE MAE REMICS SER 2007-14 CL OP ZCP 0.00000000                                               | CUSIP: 31396PE72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13596 | NS      | $11416.24      | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR G93-1 KA 7.9% 01/25/23                             | FANNIE MAE REMICS SER G93-1 CL KA 7.90000000                                                     | CUSIP: 31358R6V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         1 | NS      | $0.62          | 0.00%             | 2023-01-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL2483 3.5% 10/01/42                            | FANNIE MAE POOL UMBS P#AL2483 3.50000000                                                         | CUSIP: 3138EJXM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134042 | NS      | $125469.33     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VZMT 2021-1 A 0.5% 05/20/24                            | VERIZON MASTER TRUST SER 2021-1 CL A REGD 0.50000000                                             | CUSIP: 92348KAA1<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-CBDO         | CORP              | US        |  10714000 | NS      | $10064151.97   | 0.06%             | 2027-05-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 4.875% 11/15/44                            | PHILLIPS 66 REGD 4.87500000                                                                      | CUSIP: 718546AL8<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     70000 | NS      | $63957.51      | 0.00%             | 2044-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CMLTI 2009-10 1A V/R 09/25/33                          | CITIGROUP MORTGAGE LOAN TRUST 2009-10 SER 2009-10 CL 1A1 V/R REGD 144A P/P 4.12427600            | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54925 | NS      | $53301.37      | 0.00%             | 2033-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHR 2567 QD 6% 02/15/33                                | FREDDIE MAC REMICS SER 2567 CL QD 6.00000000                                                     | CUSIP: 31393KA39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23201 | NS      | $23952.85      | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M7 A2 V/R 02/25/27                            | FANNIE MAE-ACES SER 2017-M7 CL A2 V/R 2.96100000                                                 | CUSIP: 3136AV7G8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3181145 | NS      | $2989796.87    | 0.02%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC 3% 02/01/51                          | GENERAL MILLS INC REGD 3.00000000                                                                | CUSIP: 370334CP7<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   3007000 | NS      | $2056085.56    | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB 5.337% 09/20/27                            | SWEDBANK AB REGD 144A P/P 5.33700000                                                             | CUSIP: 87020PAT4<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   5125000 | NS      | $5082666.22    | 0.03%             | 2027-09-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINAN 1.668% 03/25/26                         | BAT INTL FINANCE PLC REGD 1.66800000                                                             | CUSIP: 05530QAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   1390000 | NS      | $1231615.70    | 0.01%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| UMBS P#969230 5.5% 05/01/37                            | FANNIE MAE POOL UMBS P#969230 5.50000000                                                         | CUSIP: 31414LHF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67929 | NS      | $70412.32      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR 2004-13F 3A3 6% 11/25/34                           | GSR MORTGAGE LOAN TRUST 2004-13F SER 2004-13F CL 3A3 REGD 6.00000000                             | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10880 | NS      | $10346.02      | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-20CB  V/R 07/25/35                          | ALTERNATIVE LOAN TRUST 2005-20CB SER 2005-20CB CL 3A8 V/R REGD 0.36129000                        | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    307894 | NS      | $10980.34      | 0.00%             | 2035-07-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS4310 2.08% 10/01/33                           | FANNIE MAE POOL UMBS P#BS4310 2.08000000                                                         | CUSIP: 3140LEYG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9845908 | NS      | $8031735.04    | 0.05%             | 2033-10-01      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP 3.4% 03/01/50                         | FIRSTENERGY CORP REGD SER C 3.40000000                                                           | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    895000 | NS      | $590521.00     | 0.00%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHMS K152 A2 V/R 01/25/31                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K152 CL A2 V/R 3.08000000            | CUSIP: 3137BPVN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4126000 | NS      | $3743522.28    | 0.02%             | 2031-01-25      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ 3.751% 07/18/39                         | MITSUBISHI UFJ FIN GRP REGD 3.75100000                                                           | CUSIP: 606822BK9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1615000 | NS      | $1311937.66    | 0.01%             | 2039-07-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE IN 2.65% 09/10/24                         | ENEL FINANCE INTL NV REGD 144A P/P 2.65000000                                                    | CUSIP: 29278GAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1440000 | NS      | $1377786.48    | 0.01%             | 2024-09-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| OPTN 2021-A A 1.21% 03/08/23                           | OPORTUN FUNDING XIV LLC SER 2021-A CL A REGD 144A P/P 1.21000000                                 | CUSIP: 68377BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2600000 | NS      | $2421063.32    | 0.02%             | 2028-03-08      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM6956 4.5% 06/01/48                            | FREDDIE MAC POOL UMBS P#ZM6956 4.50000000                                                        | CUSIP: 3131Y1WR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2999635 | NS      | $2942072.43    | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 1502 PX 7% 4/15/23                                 | FHR 1502 PX 7% 4/15/23 7.00000000                                                                | CUSIP: 312915HW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       314 | NS      | $313.68        | 0.00%             | 2023-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2011-30 LS V/R 04/25/41                            | FANNIE MAE REMICS SER 2011-30 CL LS V/R 0.00000000                                               | CUSIP: 31397SMD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    238623 | NS      | $11159.54      | 0.00%             | 2041-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785183 V/R 10/20/70                          | GINNIE MAE II POOL P#785183 V/R 2.93600000                                                       | CUSIP: 3622AAUG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6708097 | NS      | $5992677.77    | 0.04%             | 2070-10-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.375% 05/15/41                           | UNITED STATES TREASURY BOND 4.37500000                                                           | CUSIP: 912810QQ4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1500000 | NS      | $1553906.25    | 0.01%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHMS K106 X1 V/R 01/25/30                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K106 CL X1 V/R 1.35424200            | CUSIP: 3137FRUV1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        | 134423939 | NS      | $9993976.25    | 0.06%             | 2030-01-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| FNR 2010-35 SJ V/R 04/25/40                            | FANNIE MAE REMICS SER 2010-35 CL SJ V/R 3.03763800                                               | CUSIP: 31398PGF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     65664 | NS      | $61781.82      | 0.00%             | 2040-04-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| BPCE SA 3.25% 01/11/28                                 | BPCE SA REGD 144A P/P MTN 3.25000000                                                             | CUSIP: 05578AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   7815000 | NS      | $7009154.56    | 0.04%             | 2028-01-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VOYA 2019-3A AR V/R 10/17/32                           | VOYA CLO 2019-3 LTD SER 2019-3A CL AR V/R REGD 144A P/P 5.15914000                               | CUSIP: 92918FAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20000000 | NS      | $19613700.00   | 0.13%             | 2032-10-17      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO 7.625% 11/30/28                         | WALT DISNEY COMPANY/THE REGD SER WI 7.62500000                                                   | CUSIP: 254687DT0<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    310000 | NS      | $349739.64     | 0.00%             | 2028-11-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNIC 4.4% 11/01/34                         | VERIZON COMMUNICATIONS REGD SER 20YR 4.40000000                                                  | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2500000 | NS      | $2295637.40    | 0.01%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CARMX 2021-4 A 0.56% 05/15/25                          | CARMAX AUTO OWNER TRUST 2021-4 SER 2021-4 CL A3 REGD 0.56000000                                  | CUSIP: 14317JAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4535000 | NS      | $4292611.51    | 0.03%             | 2026-09-15      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| GNR 2013-54 WA V/R 11/20/42                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-54 CL WA V/R 4.86777000                        | CUSIP: 38378MRL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    109084 | NS      | $108328.58     | 0.00%             | 2042-11-20      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| CGCMT 2019-C7 3.102% 12/15/29                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7 SER 2019-C7 CL A4 REGD 3.10200000                    | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3996000 | NS      | $3487558.55    | 0.02%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 11/15/44                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810RJ9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1585000 | NS      | $1308120.31    | 0.01%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 12/10/24                              | BARCLAYS PLC REGD V/R 1.00700000                                                                 | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3434000 | NS      | $3268848.64    | 0.02%             | 2024-12-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC 3.25% 07/15/31                         | NGPL PIPECO LLC REGD 144A P/P 3.25000000                                                         | CUSIP: 62928CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2055000 | NS      | $1671543.17    | 0.01%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA5767 2.5% 09/01/51                            | FREDDIE MAC POOL UMBS P#RA5767 2.50000000                                                        | CUSIP: 3133KMMQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9806135 | NS      | $8324310.73    | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-39 LW 5.5% 05/25/23                           | FANNIE MAE REMICS SER 2003-39 CL LW 5.50000000                                                   | CUSIP: 31393A6T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       894 | NS      | $890.66        | 0.00%             | 2023-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP  5.25% 05/30/48                         | VODAFONE GROUP PLC REGD 5.25000000                                                               | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   3594000 | NS      | $3165342.36    | 0.02%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.5% 05/15/24                             | UNITED STATES TREASURY NOTE 2.50000000                                                           | CUSIP: 912828WJ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  12900000 | NS      | $12521062.50   | 0.08%             | 2024-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H01 TA V/R 01/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H01 CL TA V/R 4.34157000                       | CUSIP: 38375BE99<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3600 | NS      | $3532.24       | 0.00%             | 2063-01-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP 4% 10/01/27                         | ENERGY TRANSFER LP REGD 4.00000000                                                               | CUSIP: 86765BAU3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   8323000 | NS      | $7767673.63    | 0.05%             | 2027-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T2 2 V/R 07/25/43                            | FANNIE MAE GRANTOR TRUST SERIES 2004-T2 CLASS 2A V/R 3.73370000                                  | CUSIP: 31393X7K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55861 | NS      | $54987.82      | 0.00%             | 2043-07-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUT 1.7% 06/01/28                         | NORTHWESTERN MUTUAL GLBL REGD 144A P/P MTN 1.70000000                                            | CUSIP: 66815L2D0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1995000 | NS      | $1685881.65    | 0.01%             | 2028-06-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FORDR 2020-1 A 2.04% 02/15/25                          | FORD CREDIT AUTO OWNER TRUST 2020-REV1 SER 2020-1 CL A REGD 144A P/P 2.04000000                  | CUSIP: 34531NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12300000 | NS      | $11537828.04   | 0.07%             | 2031-08-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV9857 4% 05/01/52                              | FANNIE MAE POOL UMBS P#BV9857 4.00000000                                                         | CUSIP: 3140MP5T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10544391 | NS      | $9918469.84    | 0.06%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 1927 PH 7.5% 01/15/27                              | FREDDIE MAC REMICS SER 1927 CL PH 7.50000000                                                     | CUSIP: 3133T8TQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6735 | NS      | $6934.26       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CARMX 2021-3 C 1.25% 07/15/25                          | CARMAX AUTO OWNER TRUST 2021-3 SER 2021-3 CL C REGD 1.25000000                                   | CUSIP: 14317DAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3350000 | NS      | $2968805.51    | 0.02%             | 2027-05-17      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC5978 2.5% 08/01/51                            | FREDDIE MAC POOL UMBS P#QC5978 2.50000000                                                        | CUSIP: 3133AQUB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8401209 | NS      | $7133147.58    | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2010-71 HJ 5.5% 07/25/40                           | FANNIE MAE REMICS SER 2010-71 CL HJ 5.50000000                                                   | CUSIP: 31398TDU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    136700 | NS      | $139142.23     | 0.00%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2525 8% 12/20/27                             | GINNIE MAE II POOL P#2525 8.00000000                                                             | CUSIP: 36202CYW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       526 | NS      | $539.59        | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHR 5021 SB V/R 10/25/50                               | FREDDIE MAC REMICS SER 5021 CL SB V/R 0.00000000                                                 | CUSIP: 3137FWN22<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14618360 | NS      | $496274.31     | 0.00%             | 2050-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2013-91 WA V/R 04/20/43                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-91 CL WA V/R 4.45759000                        | CUSIP: 38378TTL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145121 | NS      | $140216.82     | 0.00%             | 2043-04-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| THOR 2018 B 4.61% 02/09/30                             | OL SP 2018-B LLC SER 2018 CL B REGD P/P 4.61000000                                               | CUSIP: 67090UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    184488 | NS      | $181052.41     | 0.00%             | 2030-02-09      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FHR 3344 SL V/R 07/15/37                               | FREDDIE MAC REMICS SER 3344 CL SL V/R 2.28214000                                                 | CUSIP: 31397JYA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25787 | NS      | $1992.33       | 0.00%             | 2037-07-15      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G67701 3% 10/01/46                             | FREDDIE MAC GOLD POOL P#G67701 3.00000000                                                        | CUSIP: 3132XCRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10673778 | NS      | $9608763.31    | 0.06%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ0040 2.5% 09/01/50                            | FANNIE MAE POOL UMBS P#BQ0040 2.50000000                                                         | CUSIP: 3140KKBJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2958252 | NS      | $2540474.62    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTR 2018-32A A V/R 07/18/31                          | VENTURE 32 CLO LTD SER 2018-32A CL A1 V/R REGD 144A P/P 5.29371000                               | CUSIP: 92325QAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | NS      | $5896044.00    | 0.04%             | 2031-07-18      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNR 2008-81 SB V/R 09/25/38                            | FANNIE MAE REMICS SER 2008-81 CL SB V/R 1.46129000                                               | CUSIP: 31397MUL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75224 | NS      | $4381.54       | 0.00%             | 2038-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB0691 2% 12/01/41                              | FREDDIE MAC POOL UMBS P#RB0691 2.00000000                                                        | CUSIP: 3133KTXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9858480 | NS      | $8239822.64    | 0.05%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AH4R 2015-SFR 3.467% 04/17/25                          | AMERICAN HOMES 4 RENT 2015-SFR1 TRUST SER 2015-SFR1 CL A REGD 144A P/P 3.46700000                | CUSIP: 02666AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1928915 | NS      | $1836830.73    | 0.01%             | 2052-04-17      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.375% 11/15/40                           | UNITED STATES TREASURY BOND 1.37500000                                                           | CUSIP: 912810ST6<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 210649000 | NS      | $136946535.95  | 0.88%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CFAB 2003-6 1A5 V/R 11/25/34                           | CHASE FUNDING TRUST SERIES 2003-6 SER 2003-6 CL 1A5 V/R REGD 5.85000000                          | CUSIP: 161546HA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83714 | NS      | $82229.72      | 0.00%             | 2034-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| SASC 2003-34A 3A V/R 11/25/33                          | STRUCTURED ASSET SECURITIES CORP MORTGAGE PASS SER 2003-34A CL 3A3 V/R REGD 3.98755000           | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9392 | NS      | $9082.00       | 0.00%             | 2033-11-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDI 4.317% 12/30/39                         | FLEX INTERMEDIATE HOLDCO REGD 144A P/P 4.31700000                                                | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |   1365000 | NS      | $980388.00     | 0.01%             | 2039-12-30      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 10/18/28                            | MORGAN STANLEY REGD V/R 6.29600000                                                               | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  23609000 | NS      | $24371677.65   | 0.16%             | 2028-10-18      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.5% 11/30/24                             | UNITED STATES TREASURY NOTE 4.50000000                                                           | CUSIP: 91282CFX4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  12835000 | NS      | $12835501.34   | 0.08%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P20570 7% 07/01/29                             | FREDDIE MAC GOLD POOL P#P20570 7.00000000                                                        | CUSIP: 31283YQW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       672 | NS      | $680.88        | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RETAIL  3.6% 12/15/26                         | NATIONAL RETAIL PROP INC REGD 3.60000000                                                         | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    700000 | NS      | $652893.64     | 0.00%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GNR 2008-40 SA V/R 05/16/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-40 CL SA V/R 2.07371000                        | CUSIP: 38375QKS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    321115 | NS      | $18236.51      | 0.00%             | 2038-05-16      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-2 1A4 V/R 04/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES W SER 2005-2 CL 1A4 V/R REGD 0.66129000     | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    357975 | NS      | $12717.75      | 0.00%             | 2035-04-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| FNR 2003-47 PE 5.75% 06/25/33                          | FANNIE MAE REMICS SER 2003-47 CL PE 5.75000000                                                   | CUSIP: 31393CRH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32788 | NS      | $33612.45      | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMM 2013-300P A V/R 08/10/23                          | COMM 2013-300P MORTGAGE TRUST SER 2013-300P CL A1 V/R REGD 144A P/P 4.35300000                   | CUSIP: 12625XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    516000 | NS      | $498915.19     | 0.00%             | 2030-08-10      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CWALT 2006-28CB A 6% 10/25/36                          | ALTERNATIVE LOAN TRUST 2006-28CB SER 2006-28CB CL A17 REGD 6.00000000                            | CUSIP: 02147TAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49376 | NS      | $26413.59      | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C4 A3 V/R 08/15/20                          | CSAIL 2015-C4 COMMERCIAL MORTGAGE TRUST SER 2015-C4 CL A3 V/R REGD 3.54380000                    | CUSIP: 12635RAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7447431 | NS      | $7073361.08    | 0.05%             | 2048-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| CRVNA 2019-3A  3.04% 12/15/23                          | CARVANA AUTO RECEIVABLES TRUST 2019-3 SER 2019-3A CL D REGD 144A P/P 3.04000000                  | CUSIP: 14686XAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9143374 | NS      | $9021495.27    | 0.06%             | 2025-04-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.75% 01/31/28                            | UNITED STATES TREASURY NOTE 0.75000000                                                           | CUSIP: 91282CBJ9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  60000000 | NS      | $51018750.00   | 0.33%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| HP INC 3% 06/17/27                                     | HP INC REGD 3.00000000                                                                           | CUSIP: 40434LAB1<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |   1380000 | NS      | $1259584.86    | 0.01%             | 2027-06-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA  0.75% 09/02/23                         | ROYALTY PHARMA PLC REGD SER WI 0.75000000                                                        | CUSIP: 78081BAG8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4843925.40    | 0.03%             | 2023-09-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#995505 8% 01/01/38                              | FANNIE MAE POOL UMBS P#995505 8.00000000                                                         | CUSIP: 31416B3N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1273 | NS      | $1307.44       | 0.00%             | 2038-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CFAB 2003-6 1A7 S/UP 11/25/34                          | CHASE FUNDING TRUST SERIES 2003-6 SER 2003-6 CL 1A7 S/UP REGD 5.27700000                         | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    142534 | NS      | $140010.75     | 0.00%             | 2034-11-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| MLANE 2021-A A 1.59% 07/15/23                          | MISSION LANE CREDIT CARD MASTER TRUST SER 2021-A CL A REGD 144A P/P 1.59000000                   | CUSIP: 60510MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7691000 | NS      | $7448279.73    | 0.05%             | 2026-09-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| GNR 2004-17 MZ 5.5% 03/16/34                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-17 CL MZ 5.50000000                            | CUSIP: 38374FYS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1495941 | NS      | $1503054.21    | 0.01%             | 2034-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4045 2% 06/01/40                              | FANNIE MAE POOL UMBS P#MA4045 2.00000000                                                         | CUSIP: 31418DP71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2836440 | NS      | $2411741.97    | 0.02%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 2455 GK 6.5% 05/15/32                              | FREDDIE MAC REMICS SER 2455 CL GK 6.50000000                                                     | CUSIP: 31392K5C6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16198 | NS      | $16456.26      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORTIS INC 3.055% 10/04/26                             | FORTIS INC REGD SER WI 3.05500000                                                                | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |   2291000 | NS      | $2125107.41    | 0.01%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT2725 3% 05/01/43                              | FANNIE MAE POOL UMBS P#AT2725 3.00000000                                                         | CUSIP: 3138WQA36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4186036 | NS      | $3808800.86    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY IN 3.65% 05/15/25                         | PUGET ENERGY INC REGD 3.65000000                                                                 | CUSIP: 745310AH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | NS      | $1141350.91    | 0.01%             | 2025-05-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COMM 2020-CBM 3.402% 02/10/25                          | COMM 2020-CBM MORTGAGE TRUST SER 2020-CBM CL C REGD 144A P/P 3.40200000                          | CUSIP: 20049AAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6090000 | NS      | $5485700.26    | 0.04%             | 2037-02-10      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4797 4% 11/01/37                              | FANNIE MAE POOL UMBS P#MA4797 4.00000000                                                         | CUSIP: 31418EKK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22690380 | NS      | $22145022.43   | 0.14%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE  4.263% 06/01/36                         | PG&E WILDFIRE RECOVERY REGD SER A-2 4.26300000                                                   | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1735000 | NS      | $1607662.73    | 0.01%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA 6.11% 01/29/37                         | BANK OF AMERICA CORP REGD 6.11000000                                                             | CUSIP: 59022CAJ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3580000 | NS      | $3620671.09    | 0.02%             | 2037-01-29      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| FHMS K124 X1 V/R 12/25/30                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K124 CL X1 V/R 0.81106700            | CUSIP: 3137F9YZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  40603134 | NS      | $1785494.38    | 0.01%             | 2030-12-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| SASC 2003-37A 2A V/R 12/25/33                          | STRUCTURED ASSET SECURITIES CORP MORTGAGE PASS- SER 2003-37A CL 2A V/R REGD 3.83469000           | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     81153 | NS      | $75086.21      | 0.00%             | 2033-12-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETR 6.45% 09/15/36                         | OCCIDENTAL PETROLEUM COR REGD 6.45000000                                                         | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2685000 | NS      | $2738700.00    | 0.02%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA P#466406 6% 11/15/28                              | GINNIE MAE I POOL P#466406 6.00000000                                                            | CUSIP: 36209BDK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1693 | NS      | $1736.37       | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COPAR 2021-1 A 0.77% 05/15/25                          | CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2021-1 SER 2021-1 CL A3 REGD 0.77000000                 | CUSIP: 14044CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5901000 | NS      | $5551661.98    | 0.04%             | 2026-09-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1620 2% 09/01/51                              | FANNIE MAE POOL UMBS P#CB1620 0.00000000                                                         | CUSIP: 3140QLYS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12169079 | NS      | $9919509.15    | 0.06%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMCAR 2022-2 B 4.81% 07/18/25                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2022-2 SER 2022-2 CL B REGD 4.81000000                  | CUSIP: 03065WAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8202000 | NS      | $8052215.08    | 0.05%             | 2028-04-18      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU 3% 01/15/34                           | REPUBLIC OF PERU REGD 3.00000000                                                                 | CUSIP: 715638DU3<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |   1569000 | NS      | $1235828.50    | 0.01%             | 2034-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W6 3A 6.5% 09/25/42                           | FANNIE MAE TRUST 2003-W6 SER 2003-W6 CL 3A 6.50000000                                            | CUSIP: 31393BU94<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     76415 | NS      | $78064.46      | 0.00%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2325 PM 7% 06/15/31                                | FREDDIE MAC REMICS SER 2325 CL PM 7.00000000                                                     | CUSIP: 3133TU3J5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4392 | NS      | $4628.51       | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WMALT 2006-1 3 5.75% 02/25/36                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SER 2006-1 CL 3A2 REGD 5.75000000     | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9157 | NS      | $8164.32       | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HMIR 2021-2 M1A V/R 01/25/34                           | HOME RE 2021-2 LTD SER 2021-2 CL M1A V/R REGD 144A P/P 5.17768000                                | CUSIP: 43730VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   2385692 | NS      | $2378003.74    | 0.02%             | 2034-01-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91403 3.5% 03/01/32                           | FREDDIE MAC GOLD POOL P#C91403 3.50000000                                                        | CUSIP: 3128P7RY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     85630 | NS      | $83013.98      | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL  3.4% 06/20/24                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P 3.40000000                                                 | CUSIP: 44891ABB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1447415.60    | 0.01%             | 2024-06-20      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| TRINITY ACQUIS 6.125% 08/15/43                         | TRINITY ACQUISITION PLC REGD 6.12500000                                                          | CUSIP: 89641UAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   5000000 | NS      | $4770490.80    | 0.03%             | 2043-08-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M5 A2 V/R 04/25/29                            | FANNIE MAE-ACES SER 2017-M5 CL A2 V/R 3.09900000                                                 | CUSIP: 3136AWWF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3709414 | NS      | $3428295.57    | 0.02%             | 2029-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY C 4.125% 10/15/44                         | ATMOS ENERGY CORP REGD 4.12500000                                                                | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   1860000 | NS      | $1526047.16    | 0.01%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AESOP 2022-1A  3.83% 08/20/27                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2022-1A CL A REGD 144A P/P 3.83000000               | CUSIP: 05377REZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17300000 | NS      | $16468968.55   | 0.11%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS G 3.75% 02/25/26                         | GOLDMAN SACHS GROUP INC REGD 3.75000000                                                          | CUSIP: 38143U8H7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9005000 | NS      | $8667825.24    | 0.06%             | 2026-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 2.6% 03/15/31                         | WILLIAMS COMPANIES INC REGD 2.60000000                                                           | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2530000 | NS      | $2047410.04    | 0.01%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| MASCO CORP 2% 10/01/30                                 | MASCO CORP REGD 2.00000000                                                                       | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    760000 | NS      | $589059.71     | 0.00%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6620 2.5% 08/01/35                            | FANNIE MAE POOL UMBS P#CA6620 2.50000000                                                         | CUSIP: 3140QELA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2095720 | NS      | $1922916.88    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2018-7 GA 3% 02/20/47                              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-7 CL GA 3.00000000                             | CUSIP: 38380UN58<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    836896 | NS      | $787138.84     | 0.01%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BX4943 2.5% 09/20/50                         | GINNIE MAE II POOL P#BX4943 2.50000000                                                           | CUSIP: 3617Q9P46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3181059 | NS      | $2756552.65    | 0.02%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#V60869 2.5% 07/01/30                           | FREDDIE MAC GOLD POOL P#V60869 2.50000000                                                        | CUSIP: 3132KE6E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1531558 | NS      | $1437798.66    | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITIO 3.95% 06/15/26                         | UTAH ACQUISITION SUB REGD SER WI 3.95000000                                                      | CUSIP: 62854AAN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    532000 | NS      | $497348.04     | 0.00%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DES 2.05% 02/10/25                         | FED CAISSES DESJARDINS REGD 144A P/P 2.05000000                                                  | CUSIP: 31429KAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   5000000 | NS      | $4659586.00    | 0.03%             | 2025-02-10      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALT 2.65% 10/15/30                         | UNIVERSAL HEALTH SVCS REGD SER WI 2.65000000                                                     | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |    342000 | NS      | $272188.60     | 0.00%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATIO 6.6% 04/01/50                         | SYSCO CORPORATION REGD 6.60000000                                                                | CUSIP: 871829BN6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   1000000 | NS      | $1089901.87    | 0.01%             | 2050-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITA 2.375% 10/15/27                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P 2.37500000                                                 | CUSIP: 44891ABP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | NS      | $1026639.82    | 0.01%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM6152 3.5% 06/01/44                            | FANNIE MAE POOL UMBS P#BM6152 3.50000000                                                         | CUSIP: 3140JAZS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2740028 | NS      | $2559288.11    | 0.02%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-5 1A4 5.5% 06/25/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-5 SER 2004-5 CL 1A4 REGD 5.50000000                         | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58235 | NS      | $56669.54      | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5765 5% 02/20/49                           | GINNIE MAE II POOL P#MA5765 5.00000000                                                           | CUSIP: 36179UMN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3049347 | NS      | $3038359.60    | 0.02%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08790 4.5% 11/01/47                           | FREDDIE MAC GOLD POOL P#G08790 4.50000000                                                        | CUSIP: 3128MJ2Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    350743 | NS      | $344656.10     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS F 1.2% 10/15/24                         | GENERAL MOTORS FINL CO REGD 1.20000000                                                           | CUSIP: 37045XDM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1910000 | NS      | $1768214.28    | 0.01%             | 2024-10-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC  3.65% 04/15/45                         | UNION ELECTRIC CO REGD 3.65000000                                                                | CUSIP: 906548CL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1370000 | NS      | $1052351.76    | 0.01%             | 2045-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#256636 5.5% 03/01/37                            | FANNIE MAE POOL UMBS P#256636 5.50000000                                                         | CUSIP: 31371NBD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    195955 | NS      | $203201.72     | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2007-25 FN V/R 05/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-25 CL FN V/R 4.62629000                        | CUSIP: 38375J2G9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34767 | NS      | $34142.37      | 0.00%             | 2037-05-16      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3737 4% 06/20/46                           | GINNIE MAE II POOL P#MA3737 4.00000000                                                           | CUSIP: 36179SEJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    794179 | NS      | $765722.54     | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHMS K055 X1 V/R 03/25/26                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K055 CL X1 V/R 1.34569700            | CUSIP: 3137BPW39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25800221 | NS      | $896568.02     | 0.01%             | 2026-03-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER S V/R 09/14/27                         | BANCO SANTANDER SA REGD V/R 1.72200000                                                           | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   3200000 | NS      | $2733332.58    | 0.02%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1510 4% 07/01/43                              | FANNIE MAE POOL UMBS P#MA1510 4.00000000                                                         | CUSIP: 31418AVC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    413335 | NS      | $395063.87     | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER 3.55% 12/15/29                         | PLAINS ALL AMER PIPELINE REGD 3.55000000                                                         | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2800000 | NS      | $2427784.18    | 0.02%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| EART 2021-4A A 0.68% 08/15/23                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4 SER 2021-4A CL A3 REGD 0.68000000                     | CUSIP: 30165JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2481458 | NS      | $2471136.01    | 0.02%             | 2025-07-15      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| FHR 3383 SA V/R 11/15/37                               | FREDDIE MAC REMICS SER 3383 CL SA V/R 2.13214000                                                 | CUSIP: 31397P4L1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     86430 | NS      | $7867.31       | 0.00%             | 2037-11-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| KLA CORP 3.3% 03/01/50                                 | KLA CORP REGD 3.30000000                                                                         | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |   1800000 | NS      | $1303459.40    | 0.01%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 02/11/33                              | UBS GROUP AG REGD V/R 144A P/P 2.74600000                                                        | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1450000 | NS      | $1120630.34    | 0.01%             | 2033-02-11      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4840 5% 11/20/47                           | GINNIE MAE II POOL P#MA4840 5.00000000                                                           | CUSIP: 36179TLV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    602760 | NS      | $606878.38     | 0.00%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2499 8% 10/20/27                             | GINNIE MAE II POOL P#2499 8.00000000                                                             | CUSIP: 36202CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       820 | NS      | $837.95        | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BOAA 2004-6 15PO ZCP 07/25/49                          | BANC OF AMERICA ALTERNATIVE LOAN TRUST 2004-6 SER 2004-6 CL 15PO ZCP REGD 0.00000000             | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       930 | NS      | $382.29        | 0.00%             | 2049-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HERO 2016-2A A 3.75% 09/20/36                          | HERO FUNDING TRUST 2016-2 SER 2016-2A CL A REGD 144A P/P 3.75000000                              | CUSIP: 42770WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    743146 | NS      | $725763.13     | 0.00%             | 2041-09-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-8 2A1 4.5% 06/25/20                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-8 SER 2004-8 CL 2A1 REGD 4.50000000                         | CUSIP: 12669FZW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1494 | NS      | $1496.34       | 0.00%             | 2049-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 2004-36 FA V/R 05/25/34                            | FANNIE MAE REMICS SER 2004-36 CL FA V/R 4.78871000                                               | CUSIP: 31393X5U7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    109662 | NS      | $108367.59     | 0.00%             | 2034-05-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATH 6.125% 04/01/36                         | BERKSHIRE HATHAWAY ENERG REGD 6.12500000                                                         | CUSIP: 59562VAM9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    366000 | NS      | $384054.84     | 0.00%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| OMFIT 2020-2A  1.75% 02/14/27                          | ONEMAIN FINANCIAL ISSUANCE TRUST 2020-2 SER 2020-2A CL A REGD 144A P/P 1.75000000                | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9400000 | NS      | $8211561.76    | 0.05%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNR 2005-73 ZB 5.5% 08/25/35                           | FANNIE MAE REMICS SER 2005-73 CL ZB 5.50000000                                                   | CUSIP: 31394EB80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    352308 | NS      | $355174.54     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CM9948 V/R 03/20/72                          | GINNIE MAE II POOL P#CM9948 V/R 6.48600000                                                       | CUSIP: 3617YWBR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9833332 | NS      | $10348612.57   | 0.07%             | 2072-03-20      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FMR LLC 4.95% 02/01/33                                 | FMR LLC REGD P/P 4.95000000                                                                      | CUSIP: 30251BAD0<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    250000 | NS      | $231952.77     | 0.00%             | 2033-02-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA P#632415 5.5% 07/15/34                            | GINNIE MAE I POOL P#632415 5.50000000                                                            | CUSIP: 36291MSC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2503 | NS      | $2554.06       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFICORP 5.35% 12/01/53                              | PACIFICORP REGD 5.35000000                                                                       | CUSIP: 695114CZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1690000 | NS      | $1672590.43    | 0.01%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING  3.75% 01/11/27                         | LLOYDS BANKING GROUP PLC REGD 3.75000000                                                         | CUSIP: 53944YAD5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2000000 | NS      | $1860414.66    | 0.01%             | 2027-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1N0249 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1N0249 V/R 4.14300000                                                | CUSIP: 3128QGH21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23715 | NS      | $23608.62      | 0.00%             | 2036-10-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5702 2.5% 05/01/50                            | FANNIE MAE POOL UMBS P#CA5702 2.50000000                                                         | CUSIP: 3140QDKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10191703 | NS      | $8731267.04    | 0.06%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#781328 7% 09/15/31                              | GINNIE MAE I POOL P#781328 7.00000000                                                            | CUSIP: 36225BPM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35862 | NS      | $37408.93      | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CJ7141 V/R 11/20/71                          | GINNIE MAE II POOL P#CJ7141 V/R 6.11800000                                                       | CUSIP: 3617XP5A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4420635 | NS      | $4552260.88    | 0.03%             | 2071-11-20      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNR 2009-104 AB 7% 08/16/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-104 CL AB 7.00000000                           | CUSIP: 38376JMG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21491 | NS      | $21608.59      | 0.00%             | 2039-08-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3663 3.5% 05/20/46                         | GINNIE MAE II POOL P#MA3663 3.50000000                                                           | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3947159 | NS      | $3685197.61    | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.875% 05/15/43                           | UNITED STATES TREASURY BOND 2.87500000                                                           | CUSIP: 912810RB6<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 107560000 | NS      | $87791648.70   | 0.56%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#256352 6.5% 08/01/26                            | FANNIE MAE POOL UMBS P#256352 6.50000000                                                         | CUSIP: 31371MWM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15266 | NS      | $15641.00      | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2005-90 PO ZCP 09/25/35                            | FANNIE MAE REMICS SER 2005-90 CL PO ZCP 0.00000000                                               | CUSIP: 31394FVB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3163 | NS      | $3004.99       | 0.00%             | 2035-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TC PIPELINES L 4.375% 03/13/25                         | TC PIPELINES LP REGD 4.37500000                                                                  | CUSIP: 87233QAB4<br>LEI: 6HL0C5LCIE4TN8UZHL06 | Long             | DBT              | CORP              | US        |   8465000 | NS      | $8281244.57    | 0.05%             | 2025-03-13      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC 4.55% 12/01/27                          | AMAZON.COM INC REGD 4.55000000                                                                   | CUSIP: 023135CP9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |  21283000 | NS      | $21212433.87   | 0.14%             | 2027-12-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA P#604209 6.5% 04/15/33                            | GINNIE MAE I POOL P#604209 6.50000000                                                            | CUSIP: 36200MGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4974 | NS      | $5112.87       | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 01/19/28                          | SOCIETE GENERALE REGD V/R 144A P/P 2.79700000                                                    | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1020000 | NS      | $892404.87     | 0.01%             | 2028-01-19      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC P#846812 V/R 04/01/30                            | FREDDIE MAC NON GOLD POOL P#846812 V/R 3.79900000                                                | CUSIP: 3128HDR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       536 | NS      | $524.05        | 0.00%             | 2030-04-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNR 2006-8 WQ ZCP 03/25/36                             | FANNIE MAE REMICS SER 2006-8 CL WQ ZCP 0.00000000                                                | CUSIP: 31394VX39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     95105 | NS      | $74953.96      | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSFB 2005-9 AP ZCP 10/25/35                            | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES  SER 2005-9 CL AP ZCP REGD 0.00000000             | CUSIP: 2254586K9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4350 | NS      | $3108.54       | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#820602 V/R 03/01/35                             | FANNIE MAE POOL UMBS P#820602 V/R 3.03200000                                                     | CUSIP: 31406UU30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12896 | NS      | $12644.29      | 0.00%             | 2035-03-01      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6256 2.5% 07/01/50                            | FANNIE MAE POOL UMBS P#CA6256 2.50000000                                                         | CUSIP: 3140QD5S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12346384 | NS      | $10607954.10   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT2016 3% 04/01/43                              | FANNIE MAE POOL UMBS P#AT2016 3.00000000                                                         | CUSIP: 3138WPG24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    649194 | NS      | $590681.50     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2004-59 BG ZCP 12/25/32                            | FANNIE MAE REMICS SER 2004-59 CL BG ZCP 0.00000000                                               | CUSIP: 31394AVD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5208 | NS      | $4384.82       | 0.00%             | 2032-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G16177 2% 01/01/32                             | FREDDIE MAC GOLD POOL P#G16177 2.00000000                                                        | CUSIP: 3128MFCN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2518061 | NS      | $2293225.49    | 0.01%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-71 DS V/R 08/25/33                            | FANNIE MAE REMICS SER 2003-71 CL DS V/R 1.97314700                                               | CUSIP: 31393EKS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54041 | NS      | $46968.17      | 0.00%             | 2033-08-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER C 7.375% 03/15/32                         | WEYERHAEUSER CO REGD 7.37500000                                                                  | CUSIP: 962166BR4<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |    142000 | NS      | $156964.51     | 0.00%             | 2032-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP 4.625% 01/15/33                            | PROLOGIS LP REGD 4.62500000                                                                      | CUSIP: 74340XBT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6078000 | NS      | $5883911.96    | 0.04%             | 2033-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY C 4.35% 06/01/28                         | VALERO ENERGY CORP REGD 4.35000000                                                               | CUSIP: 91913YAV2<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   3416000 | NS      | $3291205.39    | 0.02%             | 2028-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MIDO 2018-9A A1 V/R 07/20/31                           | MIDOCEAN CREDIT CLO IX SER 2018-9A CL A1 V/R REGD 144A P/P 5.39257000                            | CUSIP: 59802MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | NS      | $3894576.00    | 0.02%             | 2031-07-20      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FSPC T-56 A5 5.231% 05/25/43                           | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-56 CL A5 5.23100000                       | CUSIP: 31393RGG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    388191 | NS      | $374802.14     | 0.00%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| GNR 2006-59 SD V/R 10/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-59 CL SD V/R 2.34714000                        | CUSIP: 38374NQ34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40131 | NS      | $2330.75       | 0.00%             | 2036-10-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 02/11/31                         | WELLS FARGO & COMPANY REGD V/R MTN 2.57200000                                                    | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  12110000 | NS      | $10027882.53   | 0.06%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H14 GF V/R 07/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H14 CL GF V/R 4.31157000                       | CUSIP: 38375UMD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1381783 | NS      | $1372868.70    | 0.01%             | 2064-07-20      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016 3.65% 10/07/25                         | UNITED AIR 2016-2 B PTT REGD SER 16-2 3.65000000                                                 | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1829630 | NS      | $1612641.60    | 0.01%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNR 2002-52 GH 6.5% 07/20/32                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2002-52 CL GH 6.50000000                            | CUSIP: 38373XE69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35645 | NS      | $35561.81      | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 3117 EO ZCP 02/15/36                               | FREDDIE MAC REMICS SER 3117 CL EO ZCP 0.00000000                                                 | CUSIP: 31396HUN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13788 | NS      | $11536.58      | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 04/29/31                         | BANK OF AMERICA CORP REGD V/R 2.59200000                                                         | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11813000 | NS      | $9620931.52    | 0.06%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| MSC 2018-H4 A4 4.31% 12/15/28                          | MORGAN STANLEY CAPITAL I TRUST 2018-H4 SER 2018-H4 CL A4 REGD 4.31000000                         | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2552000 | NS      | $2417727.29    | 0.02%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & C 4.65% 11/04/44                         | WELLS FARGO & COMPANY REGD MTN 4.65000000                                                        | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    675000 | NS      | $568198.66     | 0.00%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK 3.488% 10/15/27                          | BANK 2017-BNK8 SER 2017-BNK8 CL A4 REGD 3.48800000                                               | CUSIP: 06650AAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12745000 | NS      | $11749669.03   | 0.08%             | 2050-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM8104 3% 07/01/51                              | FANNIE MAE POOL UMBS P#FM8104 3.00000000                                                         | CUSIP: 3140XCAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6770999 | NS      | $5970223.89    | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2072 3% 07/20/44                           | GINNIE MAE II POOL P#MA2072 3.00000000                                                           | CUSIP: 36179QJR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    141445 | NS      | $129117.21     | 0.00%             | 2044-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Z40045 5% 02/01/39                             | FREDDIE MAC GOLD POOL P#Z40045 5.00000000                                                        | CUSIP: 3132FCBN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    195489 | NS      | $199465.12     | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2004-61 SK V/R 11/25/32                            | FANNIE MAE REMICS SER 2004-61 CL SK V/R 8.50000000                                               | CUSIP: 31394ATX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8800 | NS      | $9085.20       | 0.00%             | 2032-11-25      | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| FHR 1541 M V/R 07/15/23                                | FREDDIE MAC REMICS SER 1541 CL M V/R 22.39643500                                                 | CUSIP: 3133T0BV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        62 | NS      | $61.13         | 0.00%             | 2023-07-15      | Variable      | 22.40%                | No            |                  2 | On Loan: No      |
| JEFFERIES FIN G 6.25% 01/15/36                         | JEFFERIES FIN GROUP INC REGD 6.25000000                                                          | CUSIP: 472319AC6<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    155000 | NS      | $156319.25     | 0.00%             | 2036-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| USAOT 2022-A A 4.86% 07/15/25                          | USAA AUTO OWNER TRUST 2022-A SER 2022-A CL A3 REGD 144A P/P 4.86000000                           | CUSIP: 90291UAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9700000 | NS      | $9693516.52    | 0.06%             | 2026-11-16      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9671 2% 12/01/51                              | FANNIE MAE POOL UMBS P#FM9671 2.00000000                                                         | CUSIP: 3140XDW93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12258543 | NS      | $10054519.49   | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES  4.2% 02/01/33                         | TARGA RESOURCES CORP REGD 4.20000000                                                             | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   1060000 | NS      | $911985.19     | 0.01%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNR 2003-116 SB V/R 11/25/33                           | FANNIE MAE REMICS SER 2003-116 CL SB V/R 3.21129000                                              | CUSIP: 31393T4W3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52411 | NS      | $4242.88       | 0.00%             | 2033-11-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT7117 3.5% 06/01/33                            | FANNIE MAE POOL UMBS P#AT7117 3.50000000                                                         | CUSIP: 3138WU4B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97240 | NS      | $91521.86      | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NZES 2021-GNT 3.474% 11/25/26                          | NRZ EXCESS SPREAD-COLLATERALIZED  SER 2021-GNT1 CL A REGD 144A P/P 3.47400000                    | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10747089 | NS      | $9461545.95    | 0.06%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FI V/R 09/15/24                         | MITSUBISHI UFJ FIN GRP REGD V/R 0.84800000                                                       | CUSIP: 606822BV5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   5000000 | NS      | $4825609.65    | 0.03%             | 2024-09-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BG7416 4.5% 04/20/48                         | GINNIE MAE II POOL P#BG7416 4.50000000                                                           | CUSIP: 3617GSGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1541015 | NS      | $1504116.16    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNI 3.15% 03/22/30                         | VERIZON COMMUNICATIONS REGD 3.15000000                                                           | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4409205.00    | 0.03%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1228 3% 03/01/52                              | FANNIE MAE POOL UMBS P#FS1228 3.00000000                                                         | CUSIP: 3140XGLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    475643 | NS      | $419456.18     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3873 3% 08/20/46                           | GINNIE MAE II POOL P#MA3873 3.00000000                                                           | CUSIP: 36179SJS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12419287 | NS      | $11228350.06   | 0.07%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 3996 XF V/R 12/15/40                               | FREDDIE MAC REMICS SER 3996 CL XF V/R 4.86786000                                                 | CUSIP: 3137ALWT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    241222 | NS      | $240126.64     | 0.00%             | 2040-12-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| FSPC T-54 3A 7% 02/25/43                               | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-54 CL 3A 7.00000000                       | CUSIP: 31393LFM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58300 | NS      | $59584.32      | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY 3.7% 05/30/24                         | DEUTSCHE BANK N REGD MTN SER * 3.70000000                                                        | CUSIP: 251526BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    850000 | NS      | $825990.43     | 0.01%             | 2024-05-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6317 3.5% 09/01/42                            | FANNIE MAE POOL UMBS P#AB6317 3.50000000                                                         | CUSIP: 31417DAT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    303236 | NS      | $283845.11     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASG 2011-1 2A35 V/R 09/28/36                           | ASG RESECURITIZATION TRUST 2011-1 SER 2011-1 CL 2A35 V/R REGD 144A P/P 6.00000000                | CUSIP: 00190VDB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26646 | NS      | $25402.65      | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-54CB 5.5% 11/25/35                          | ALTERNATIVE LOAN TRUST 2005-54CB SER 2005-54CB CL 1A11 REGD 5.50000000                           | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100986 | NS      | $78568.09      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERAL 4.25% 04/14/25                         | SOCIETE GENERALE REGD P/P 4.25000000                                                             | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2880000 | NS      | $2762586.98    | 0.02%             | 2025-04-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BBCMS 2021-C1 2.421% 10/15/31                          | BBCMS MORTGAGE TRUST 2021-C12 SER 2021-C12 CL A4 REGD 2.42100000                                 | CUSIP: 05552XBF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25600000 | NS      | $21017953.28   | 0.13%             | 2054-11-15      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| UMBS P#750977 4.5% 11/01/33                            | FANNIE MAE POOL UMBS P#750977 4.50000000                                                         | CUSIP: 31403KJW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5180 | NS      | $5107.59       | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SCRT 2022-1 MT 3.25% 11/25/61                          | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1 SER 2022-1 CL MTU 3.25000000                   | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9218195 | NS      | $8129616.39    | 0.05%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNR 2006-58 FL V/R 07/25/36                            | FANNIE MAE REMICS SER 2006-58 CL FL V/R 4.84871000                                               | CUSIP: 31395NC96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15811 | NS      | $15597.11      | 0.00%             | 2036-07-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNR 1999-18 Z 5.5% 04/18/29                            | FANNIE MAE REMICS SER 1999-18 CL Z 5.50000000                                                    | CUSIP: 31359VRN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2254 | NS      | $2248.34       | 0.00%             | 2029-04-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VMWARE INC 4.65% 05/15/27                              | VMWARE INC REGD 4.65000000                                                                       | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1370000 | NS      | $1326039.26    | 0.01%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SUMITOMO LIFE INS V/R 09/14/77                         | SUMITOMO LIFE INSUR REGD V/R 4.00000000                                                          | CUSIP: 86564CAB6<br>LEI: 549300I5OQCDADQSPI57 | Long             | DBT              | CORP              | JP        |   1000000 | NS      | $916348.98     | 0.01%             | 2077-09-14      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC 4.4% 07/01/49                               | FISERV INC REGD 4.40000000                                                                       | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2850000 | NS      | $2312186.56    | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNR 2005-42 PS V/R 05/25/35                            | FANNIE MAE REMICS SER 2005-42 CL PS V/R 6.02822500                                               | CUSIP: 31394DRU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1887 | NS      | $1885.76       | 0.00%             | 2035-05-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNR 1993-189 PL 6.5% 10/25/23                          | FANNIE MAE REMICS SER 1993-189 CL PL 6.50000000                                                  | CUSIP: 31359EXF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       946 | NS      | $947.48        | 0.00%             | 2023-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2008-10 XI V/R 03/25/38                            | FANNIE MAE REMICS SER 2008-10 CL XI V/R 1.84129000                                               | CUSIP: 31396YKW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31711 | NS      | $2172.62       | 0.00%             | 2038-03-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| CMLTI 2003-UP3 A3 7% 09/25/33                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2003-UP3 CL A3 REGD 7.00000000                             | CUSIP: 17307GAV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2129 | NS      | $2071.21       | 0.00%             | 2033-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 1993-62 SA V/R 04/25/23                            | FANNIE MAE REMICS SER 1993-62 CL SA V/R 8.00566300                                               | CUSIP: 31358UVD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        45 | NS      | $44.98         | 0.00%             | 2023-04-25      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT1572 3% 05/01/43                              | FANNIE MAE POOL UMBS P#AT1572 3.00000000                                                         | CUSIP: 3138WNXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    124536 | NS      | $113311.32     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2435 CJ 6.5% 04/15/32                              | FREDDIE MAC REMICS SER 2435 CL CJ 6.50000000                                                     | CUSIP: 31392K2Z8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33717 | NS      | $34906.94      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KOREA NATIONAL  1.75% 04/18/25                         | KOREA NATIONAL OIL CORP REGD 144A P/P 1.75000000                                                 | CUSIP: 50066PAR1<br>LEI: N/A                  | Long             | DBT              | USGA              | KR        |   5339000 | NS      | $4926636.03    | 0.03%             | 2025-04-18      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2549 7.5% 02/20/28                           | GINNIE MAE II POOL P#2549 7.50000000                                                             | CUSIP: 36202CZN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       450 | NS      | $457.05        | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16- 3.2% 06/15/28                         | AMER AIRLINE 16-2 AA PTT REGD SER AA 3.20000000                                                  | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1093640 | NS      | $948429.11     | 0.01%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 07/22/25                            | MORGAN STANLEY REGD V/R MTN 2.72000000                                                           | CUSIP: 6174468J1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    873000 | NS      | $834604.91     | 0.01%             | 2025-07-22      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS5332 4% 07/01/45                              | FANNIE MAE POOL UMBS P#AS5332 4.00000000                                                         | CUSIP: 3138WE4S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2707966 | NS      | $2593821.24    | 0.02%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BSCMS 2007-T26 X V/R 01/12/45                          | BEAR STEARNS COMMERCIAL MORTGAGE SEC SER 2007-T26 CL X1 V/R REGD 144A P/P 0.95118800             | CUSIP: 07388VAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     57990 | NS      | $1.76          | 0.00%             | 2045-01-12      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| SCRT 2018-1 M60 3.5% 05/25/57                          | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1 SER 2018-1 CL M60C 3.50000000                  | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10374363 | NS      | $9742660.80    | 0.06%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.1% 05/01/26                                | BOEING CO REGD 3.10000000                                                                        | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1529000 | NS      | $1438735.01    | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.125% 10/31/26                           | UNITED STATES TREASURY NOTE 1.12500000                                                           | CUSIP: 91282CDG3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  52800000 | NS      | $47225062.37   | 0.30%             | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4860 3% 12/01/49                              | FANNIE MAE POOL UMBS P#CA4860 0.00000000                                                         | CUSIP: 3140QCMJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3796086 | NS      | $3365965.37    | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J26142 3% 10/01/28                             | FREDDIE MAC GOLD POOL P#J26142 3.00000000                                                        | CUSIP: 31307EZF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    473714 | NS      | $454719.60     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#783123 5.5% 04/15/33                            | GINNIE MAE I POOL P#783123 5.50000000                                                            | CUSIP: 36241LPG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    163082 | NS      | $171741.53     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TVA 1.5% 09/15/31                                      | TENNESSEE VALLEY AUTHORITY 1.50000000                                                            | CUSIP: 880591EX6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1230000 | NS      | $965134.83     | 0.01%             | 2031-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1164 3.5% 09/01/42                            | FANNIE MAE POOL UMBS P#MA1164 3.50000000                                                         | CUSIP: 31418AJJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2070421 | NS      | $1938010.12    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAR 2021-4A B 1.53% 05/15/24                          | GLS AUTO RECEIVABLES ISSUER TRUST 2021-4 SER 2021-4A CL B REGD 144A P/P 1.53000000               | CUSIP: 36263DAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5850000 | NS      | $5594935.32    | 0.04%             | 2026-04-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA8071 5% 10/01/52                              | FREDDIE MAC POOL UMBS P#RA8071 5.00000000                                                        | CUSIP: 3133KP6G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3699433 | NS      | $3648272.85    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSFB 2003-27 5 5.25% 11/25/33                          | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES SERI SER 2003-27 CL 5A4 REGD 5.25000000           | CUSIP: 22541QP89<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1166 | NS      | $1119.84       | 0.00%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH 3.05% 02/15/51                         | BURLINGTN NORTH SANTA FE REGD 3.05000000                                                         | CUSIP: 12189LBF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4625000 | NS      | $3213561.46    | 0.02%             | 2051-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GNR 2011-157 UY 3% 12/20/41                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-157 CL UY 3.00000000                           | CUSIP: 38378AXH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | NS      | $875652.80     | 0.01%             | 2041-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK 3.625% 03/15/27                          | BANK 2017-BNK4 SER 2017-BNK4 CL A4 REGD 3.62500000                                               | CUSIP: 06541FBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6790000 | NS      | $6330070.52    | 0.04%             | 2050-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JPMMT 2007-A1 5A V/R 07/25/35                          | JP MORGAN MORTGAGE TRUST 2007-A1 SER 2007-A1 CL 5A1 V/R REGD 3.45295000                          | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20189 | NS      | $19481.29      | 0.00%             | 2035-07-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL  6.15% 06/01/37                         | JERSEY CENTRAL PWR & LT REGD 6.15000000                                                          | CUSIP: 476556CX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | NS      | $390846.82     | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO 2.75% 02/01/26                               | BOEING CO REGD 2.75000000                                                                        | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1415000 | NS      | $1311317.83    | 0.01%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JAPAN FIN ORG  2.125% 10/25/23                         | JAPAN FIN ORG MUNICIPAL REGD 144A P/P MTN 2.12500000                                             | CUSIP: 471068AJ5<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | USGA              | JP        |   3400000 | NS      | $3318258.63    | 0.02%             | 2023-10-25      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SNDPT 2013-1A A1 V/R 01/26/31                          | SOUND POINT CLO II LTD SER 2013-1A CL A1R V/R REGD 144A P/P 5.39686000                           | CUSIP: 83608GAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9000000 | NS      | $8875062.00    | 0.06%             | 2031-01-26      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1634 V/R 12/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1634 V/R 3.91500000                                                | CUSIP: 3128NHY72<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     99508 | NS      | $100406.75     | 0.00%             | 2036-12-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILI 3% 10/01/49                         | PPL ELECTRIC UTILITIES REGD 3.00000000                                                           | CUSIP: 69351UAW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2105000 | NS      | $1419431.29    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0155 4% 06/20/42                           | GINNIE MAE II POOL P#MA0155 4.00000000                                                           | CUSIP: 36179ME48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1196714 | NS      | $1164013.09    | 0.01%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 2967 S V/R 04/15/25                                | FREDDIE MAC REMICS SER 2967 CL S V/R 10.07676900                                                 | CUSIP: 31395TC93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2371 | NS      | $2133.15       | 0.00%             | 2025-04-15      | Variable      | 10.08%                | No            |                  2 | On Loan: No      |
| FHR 4821 MA 3.5% 10/15/53                              | FREDDIE MAC REMICS SER 4821 CL MA 3.50000000                                                     | CUSIP: 3137FHFM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2371417 | NS      | $2287638.52    | 0.01%             | 2053-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMMST 2022-MF4 A V/R 01/15/32                          | ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUS SER 2022-MF4 CL A5 V/R REGD 144A P/P 3.29335200       | CUSIP: 03882LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17500000 | NS      | $15063954.50   | 0.10%             | 2055-02-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM4896 3% 02/01/47                              | FANNIE MAE POOL UMBS P#BM4896 3.00000000                                                         | CUSIP: 3140J9NN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    458930 | NS      | $417614.65     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CWALT INC 05-43 5.5% 11/25/35                          | CWALT INC SERIES 2005-43 SER 54CB 5.50000000                                                     | CUSIP: 12668ANZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1488 | NS      | $1192.43       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2827 4% 05/20/45                           | GINNIE MAE II POOL P#MA2827 4.00000000                                                           | CUSIP: 36179RD89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2055927 | NS      | $1977815.29    | 0.01%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4268 2% 02/01/41                              | FANNIE MAE POOL UMBS P#MA4268 2.00000000                                                         | CUSIP: 31418DW65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7446756 | NS      | $6341857.28    | 0.04%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 4247 AY 4.5% 09/15/43                              | FREDDIE MAC REMICS SER 4247 CL AY 4.50000000                                                     | CUSIP: 3137B4HE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | NS      | $967473.40     | 0.01%             | 2043-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 2981 FA V/R 05/15/35                               | FREDDIE MAC REMICS SER 2981 CL FA V/R 4.71786000                                                 | CUSIP: 31395U5N7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27546 | NS      | $27131.16      | 0.00%             | 2035-05-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNR 2008-7 SK V/R 11/20/37                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-7 CL SK V/R 6.89142000                         | CUSIP: 38375PQ95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7664 | NS      | $7164.96       | 0.00%             | 2037-11-20      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| TMST 2004-4 3A V/R 12/25/44                            | THORNBURG MORTGAGE SECURITIES TRUST 2004-4 SER 2004-4 CL 3A V/R REGD 3.55122200                  | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    121085 | NS      | $111893.60     | 0.00%             | 2044-12-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q20856 3% 08/01/43                             | FREDDIE MAC GOLD POOL P#Q20856 3.00000000                                                        | CUSIP: 3132JM5R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    262997 | NS      | $239571.13     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2399 OH 6.5% 01/15/32                              | FREDDIE MAC REMICS SER 2399 CL OH 6.50000000                                                     | CUSIP: 31339MTG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9580 | NS      | $9818.85       | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-53 SH V/R 06/25/37                            | FANNIE MAE REMICS SER 2007-53 CL SH V/R 1.71129000                                               | CUSIP: 31396WCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73745 | NS      | $5181.62       | 0.00%             | 2037-06-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GNR 2007-9 CI V/R 03/20/37                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-9 CL CI V/R 1.84714000                         | CUSIP: 38375JMV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     80973 | NS      | $3882.67       | 0.00%             | 2037-03-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| OMIR 2021-2 M1A V/R 04/25/34                           | OAKTOWN RE VII LTD SER 2021-2 CL M1A V/R REGD 144A P/P 5.52768000                                | CUSIP: 67389JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |  15350000 | NS      | $14809076.75   | 0.10%             | 2034-04-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| NYU LANGONE HOS 3.38% 07/01/55                         | NYU LANGONE HOSPITALS REGD SER 2020 3.38000000                                                   | CUSIP: 62954RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1270000 | NS      | $847410.87     | 0.01%             | 2055-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/25                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833LV0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3279000 | NS      | $2963465.01    | 0.02%             | 2025-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSGRID FINANCE 4.35% 08/01/28                         | AUSGRID FINANCE PTY LTD REGD P/P 4.35000000                                                      | CUSIP: 052113AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |  10275000 | NS      | $9523985.25    | 0.06%             | 2028-08-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MFIT 2021-AA B 2.33% 05/01/27                          | MARINER FINANCE ISSUANCE TRUST 2021-A SER 2021-AA CL B REGD 144A P/P 2.33000000                  | CUSIP: 56848DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5700000 | NS      | $4663209.33    | 0.03%             | 2036-03-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| UMBS P#745862 V/R 04/01/35                             | FANNIE MAE POOL UMBS P#745862 V/R 3.29400000                                                     | CUSIP: 31403DTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16147 | NS      | $15997.13      | 0.00%             | 2035-04-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| AMCAR 2019-1 C 3.36% 02/18/25                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2019-1 SER 2019-1 CL C REGD 3.36000000                  | CUSIP: 03066GAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1875232 | NS      | $1864324.55    | 0.01%             | 2025-02-18      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| FNR 2006-72 TO ZCP 08/25/36                            | FANNIE MAE REMICS SER 2006-72 CL TO ZCP 0.00000000                                               | CUSIP: 31396KHT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5448 | NS      | $4498.90       | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 08/10/27                              | UBS GROUP AG REGD V/R 144A P/P 1.49400000                                                        | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1515000 | NS      | $1303445.02    | 0.01%             | 2027-08-10      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/22/27                         | JPMORGAN CHASE & CO REGD V/R 1.57800000                                                          | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4393312.30    | 0.03%             | 2027-04-22      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2743 2.5% 07/01/36                            | FANNIE MAE POOL UMBS P#FS2743 2.50000000                                                         | CUSIP: 3140XJBM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5286600 | NS      | $4871092.77    | 0.03%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICA 6.5% 03/13/27                         | PETROLEOS MEXICANOS REGD 6.50000000                                                              | CUSIP: 71654QCG5<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   1090000 | NS      | $994169.93     | 0.01%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER  3.45% 06/01/29                         | AMERICAN WATER CAPITAL C REGD 3.45000000                                                         | CUSIP: 03040WAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | NS      | $538728.43     | 0.00%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 4.016% 12/03/29                         | VERIZON COMMUNICATIONS REGD SER WI 4.01600000                                                    | CUSIP: 92343VEU4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    712000 | NS      | $665044.75     | 0.00%             | 2029-12-03      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU1629 3% 07/01/43                              | FANNIE MAE POOL UMBS P#AU1629 3.00000000                                                         | CUSIP: 3138X0Y36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3669602 | NS      | $3320719.38    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINE 1.15% 06/07/24                         | TRITON CONTAINER REGD 144A P/P 1.15000000                                                        | CUSIP: 89680YAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2755000 | NS      | $2547871.83    | 0.02%             | 2024-06-07      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3559 2% 04/01/52                              | FANNIE MAE POOL UMBS P#CB3559 2.00000000                                                         | CUSIP: 3140QN5V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1448172 | NS      | $1179705.33    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2007-40 SN V/R 07/20/37                            | GNR 2007-40 SN V/R 07/20/37 2.32714000                                                           | CUSIP: 38375KB68<br>LEI: N/A                  | Long             | RE               | CORP              | US        |     88848 | NS      | $2685.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHR 2247 Z 7.5% 08/15/30                               | FREDDIE MAC REMICS SER 2247 CL Z 7.50000000                                                      | CUSIP: 3133TPGX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4234 | NS      | $4453.15       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CO V/R /PERP/                         | TRUIST FINANCIAL CORP REGD V/R /PERP/ SER N 4.80000000                                           | CUSIP: 89832QAD1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   3460000 | NS      | $3114873.48    | 0.02%             | 2099-12-31      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNR 2019-7 CA 3.5% 11/25/57                            | FANNIE MAE REMICS SER 2019-7 CL CA 3.50000000                                                    | CUSIP: 3136B32G4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3373610 | NS      | $3185878.48    | 0.02%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.625% 08/15/43                           | UNITED STATES TREASURY BOND 3.62500000                                                           | CUSIP: 912810RC4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  16350000 | NS      | $15030503.99   | 0.10%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNR 2007-16 FC V/R 03/25/37                            | FANNIE MAE REMICS SER 2007-16 CL FC V/R 5.13871000                                               | CUSIP: 31396PXY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19493 | NS      | $19321.80      | 0.00%             | 2037-03-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 11/22/32                         | HSBC HOLDINGS PLC REGD V/R 2.87100000                                                            | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2095000 | NS      | $1601081.63    | 0.01%             | 2032-11-22      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M8 A2 V/R 05/25/27                            | FANNIE MAE-ACES SER 2017-M8 CL A2 V/R 3.06100000                                                 | CUSIP: 3136AW7J0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4560595 | NS      | $4291103.34    | 0.03%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC 3.65% 03/16/25                            | BARCLAYS PLC REGD 3.65000000                                                                     | CUSIP: 06738EAE5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1500000 | NS      | $1440964.53    | 0.01%             | 2025-03-16      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNR 2003-72 IE 5.5% 08/25/33                           | FANNIE MAE REMICS SER 2003-72 CL IE 5.50000000                                                   | CUSIP: 31393DXG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    105491 | NS      | $16609.31      | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SCENTRE GROUP TRU V/R 09/24/80                         | SCENTRE GROUP TRUST 2 REGD V/R 144A P/P 4.75000000                                               | CUSIP: 76025LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   1865000 | NS      | $1670107.50    | 0.01%             | 2080-09-24      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREMF 2016-K722  V/R 03/25/23                          | FREMF 2016-K722 MORTGAGE TRUST SER 2016-K722 CL B V/R REGD 144A P/P 3.94858200                   | CUSIP: 30295AAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1845000 | NS      | $1832669.31    | 0.01%             | 2049-07-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SO 4% 09/14/26                         | NATIONWIDE BLDG SOCIETY REGD 144A P/P 4.00000000                                                 | CUSIP: 63859WAE9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   9650000 | NS      | $8776137.21    | 0.06%             | 2026-09-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7649 2.5% 10/20/51                         | GINNIE MAE II POOL P#MA7649 2.50000000                                                           | CUSIP: 36179WQA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7489365 | NS      | $6499032.70    | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH I 4.6% 04/15/48                         | ANHEUSER-BUSCH INBEV WOR REGD 4.60000000                                                         | CUSIP: 035240AN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3913000 | NS      | $3400207.88    | 0.02%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.85% 07/15/36                             | ORACLE CORP REGD 3.85000000                                                                      | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1065000 | NS      | $870865.30     | 0.01%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| HIGH STREET FD 4.682% 02/15/48                         | HIGH STREET FDG TRUST II REGD 144A P/P 4.68200000                                                | CUSIP: 42981DAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5250000 | NS      | $4224010.14    | 0.03%             | 2048-02-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL  1.3% 01/08/26                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 1.30000000                                             | CUSIP: 44891ABS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1005000 | NS      | $878946.22     | 0.01%             | 2026-01-08      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4607 2.5% 05/01/42                            | FANNIE MAE POOL UMBS P#MA4607 2.50000000                                                         | CUSIP: 31418EDM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3714955 | NS      | $3225974.99    | 0.02%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCP 2015-9A A1R2 V/R 01/15/33                          | OCP CLO 2015-9 LTD SER 2015-9A CL A1R2 V/R REGD 144A P/P 5.11361000                              | CUSIP: 67091YAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | NS      | $14664210.00   | 0.09%             | 2033-01-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/35                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833X88<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1920000 | NS      | $1151356.93    | 0.01%             | 2035-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TALNT 2020-1A  1.35% 05/27/25                          | TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2020-1 SER 2020-1A CL A REGD 144A P/P 1.35000000            | CUSIP: 89237JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7685000 | NS      | $7030482.38    | 0.05%             | 2033-05-25      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| GNR 2022-78 MS V/R 04/20/52                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-78 CL MS V/R 0.00000000                        | CUSIP: 38383RWA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19531093 | NS      | $288530.89     | 0.00%             | 2052-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 4710 KZ 3.5% 08/15/47                              | FREDDIE MAC REMICS SER 4710 CL KZ 3.50000000                                                     | CUSIP: 3137FAA40<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16139993 | NS      | $14243790.60   | 0.09%             | 2047-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAFC 2005-7 30PO ZCP 11/25/35                          | BANC OF AMERICA FUNDING 2005-7 TRUST SER 2005-7 CL 30PO ZCP REGD 0.00000000                      | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11211 | NS      | $10121.00      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-72 EK V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-72 CL EK V/R 2.01129000                                               | CUSIP: 31396WQH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    205006 | NS      | $18490.92      | 0.00%             | 2037-07-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FNR 2007-101 A2 V/R 06/27/36                           | FANNIE MAE REMICS SER 2007-101 CL A2 V/R 4.55054000                                              | CUSIP: 31396XC69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    218891 | NS      | $215770.86     | 0.00%             | 2036-06-27      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| UBSBB 2012-C2 XA V/R 03/10/22                          | UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2 SER 2012-C2 CL XA V/R REGD 0.52371400             | CUSIP: 90269CAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    784266 | NS      | $13.72         | 0.00%             | 2063-05-10      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-14 A2 5.5% 07/25/35                          | CHL MORTGAGE PASS-THROUGH TRUST 2005-14 SER 2005-14 CL A2 REGD 5.50000000                        | CUSIP: 12669GK67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9589 | NS      | $5147.35       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ED 0.65% 12/01/23                         | CONSOLIDATED EDISON INC REGD SER A 0.65000000                                                    | CUSIP: 209115AE4<br>LEI: 54930033SBW53OO8T749 | Long             | DBT              | CORP              | US        |   7561000 | NS      | $7260566.92    | 0.05%             | 2023-12-01      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J0533 V/R 07/01/37                            | FREDDIE MAC NON GOLD POOL P#1J0533 V/R 4.11700000                                                | CUSIP: 3128LUSW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2519 | NS      | $2480.88       | 0.00%             | 2037-07-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3340 3.5% 04/01/33                            | FANNIE MAE POOL UMBS P#MA3340 3.50000000                                                         | CUSIP: 31418CWA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    861036 | NS      | $828028.00     | 0.01%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 3852 QN V/R 05/15/41                               | FREDDIE MAC REMICS SER 3852 CL QN V/R 5.50000000                                                 | CUSIP: 3137ABAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85395 | NS      | $81579.55      | 0.00%             | 2041-05-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.5% 02/28/26                             | UNITED STATES TREASURY NOTE 0.50000000                                                           | CUSIP: 91282CBQ3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  44920000 | NS      | $40026176.67   | 0.26%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-60 AX V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-60 CL AX V/R 2.76129000                                               | CUSIP: 31396WSA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    325541 | NS      | $42012.10      | 0.00%             | 2037-07-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| SDART 2022-7 B 5.95% 01/15/26                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-7 SER 2022-7 CL B REGD 5.95000000                    | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2023000 | NS      | $2042479.06    | 0.01%             | 2028-01-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4320 3% 03/20/47                           | GINNIE MAE II POOL P#MA4320 3.00000000                                                           | CUSIP: 36179SYR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    214752 | NS      | $193715.16     | 0.00%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.25% 05/15/50                            | UNITED STATES TREASURY BOND 1.25000000                                                           | CUSIP: 912810SN9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  31074000 | NS      | $16722910.00   | 0.11%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GSMPS 2005-RP3 1 V/R 09/25/35                          | GSMPS MORTGAGE LOAN TRUST 2005-RP3 SER 2005-RP3 CL 1AF V/R REGD 144A P/P 4.73871000              | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    426030 | NS      | $364842.22     | 0.00%             | 2035-09-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q01304 5% 06/01/41                             | FREDDIE MAC GOLD POOL P#Q01304 5.00000000                                                        | CUSIP: 3132GENV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    231573 | NS      | $234762.96     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSAIL 2021-C2 2.486% 03/15/30                          | CSAIL 2021-C20 COMMERCIAL MORTGAGE TRUST SER 2021-C20 CL A2 REGD 2.48620000                      | CUSIP: 22945EAT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21193039 | NS      | $17660820.91   | 0.11%             | 2054-03-15      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.0% JAN 23                              | FNMA 30YR TBA 4.0% JAN 23      TO BE ANNOUNCED 4.00000000                                        | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -21000000 | NS      | $-19690858.74  | -0.13%            | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAFL 2019-3 C 3.265% 09/15/29                          | COREVEST AMERICAN FINANCE 2019-3 TRUST SER 2019-3 CL C REGD 144A P/P 3.26500000                  | CUSIP: 21872NAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5862000 | NS      | $4826926.14    | 0.03%             | 2052-10-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/N 2.5% 05/11/31                         | NXP BV/NXP FDG/NXP USA REGD 2.50000000                                                           | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   3495000 | NS      | $2783697.70    | 0.02%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4536 3% 11/01/49                              | FANNIE MAE POOL UMBS P#CA4536 3.00000000                                                         | CUSIP: 3140QCBE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    642372 | NS      | $569586.27     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G00245 8% 08/01/24                             | FREDDIE MAC GOLD POOL P#G00245 8.00000000                                                        | CUSIP: 31283GHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        91 | NS      | $91.37         | 0.00%             | 2024-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHR 2063 PG 6.5% 06/15/28                              | FREDDIE MAC REMICS SER 2063 CL PG 6.50000000                                                     | CUSIP: 3133TEB78<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5975 | NS      | $6112.29       | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.625% 11/15/50                           | UNITED STATES TREASURY BOND 1.62500000                                                           | CUSIP: 912810SS8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  33177000 | NS      | $19740315.00   | 0.13%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BOAA 2007-1 1A1 V/R 04/25/22                           | BANC OF AMERICA ALTERNATIVE LOAN TRUST 2007-1 SER 2007-1 CL 1A1 V/R REGD 3.92080900              | CUSIP: 059496AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8489 | NS      | $7220.90       | 0.00%             | 2023-01-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.25% 11/15/27                             | ORACLE CORP REGD 3.25000000                                                                      | CUSIP: 68389XBN4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2462000 | NS      | $2261259.30    | 0.01%             | 2027-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNR 2015-137 WA V/R 01/20/38                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-137 CL WA V/R 5.55029000                       | CUSIP: 38379QAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    339430 | NS      | $349805.70     | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#872825 V/R 06/01/36                             | FANNIE MAE POOL UMBS P#872825 V/R 4.09400000                                                     | CUSIP: 31409JVS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33440 | NS      | $33683.55      | 0.00%             | 2036-06-01      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCING  6.5% 09/27/28                         | SASOL FINANCING USA LLC REGD 6.50000000                                                          | CUSIP: 80386WAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1555000 | NS      | $1408819.92    | 0.01%             | 2028-09-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#V80614 4% 11/01/43                             | FREDDIE MAC GOLD POOL P#V80614 4.00000000                                                        | CUSIP: 3132L5VF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29748 | NS      | $28525.53      | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M50 X1 V/R 10/25/30                           | FANNIE MAE-ACES SER 2020-M50 CL X1 V/R 1.89200000                                                | CUSIP: 3136BCGU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16466204 | NS      | $1215663.60    | 0.01%             | 2030-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5521 V/R 08/20/71                          | GINNIE MAE II POOL P#CE5521 V/R 6.30800000                                                       | CUSIP: 3617VUD20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10049515 | NS      | $10459687.64   | 0.07%             | 2071-08-20      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-7 2A1 V/R 06/25/34                           | COUNTRYWIDE HOME LOAN MORTGAGE  PASS THROUGH TRUST 2004-7 2A1 V/R REGD__ 3.16340500              | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3819 | NS      | $3519.70       | 0.00%             | 2034-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| GNR 2009-33 TI 6% 05/20/39                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-33 CL TI 6.00000000                            | CUSIP: 38374UJV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22214 | NS      | $3319.92       | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4598 2.5% 05/01/52                            | FANNIE MAE POOL UMBS P#MA4598 2.50000000                                                         | CUSIP: 31418EDC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17214125 | NS      | $14580599.21   | 0.09%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA7009 2.5% 09/01/50                            | FANNIE MAE POOL UMBS P#CA7009 2.50000000                                                         | CUSIP: 3140QEYF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7458279 | NS      | $6226474.00    | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIO 3.55% 07/15/24                         | VISTRA OPERATIONS CO LLC REGD 144A P/P 3.55000000                                                | CUSIP: 92840VAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8460000 | NS      | $8113652.76    | 0.05%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BMARK 2020-B2 1.973% 12/15/30                          | BENCHMARK 2020-B22 MORTGAGE TRUST SER 2020-B22 CL A5 REGD 1.97300000                             | CUSIP: 08163BBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4844000 | NS      | $3853506.63    | 0.02%             | 2054-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.625% 05/15/26                           | UNITED STATES TREASURY NOTE 1.62500000                                                           | CUSIP: 912828R36<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  20000000 | NS      | $18407031.20   | 0.12%             | 2026-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CFCC 2020-1A A 2.24% 07/15/24                          | CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST SER 2020-1A CL A REGD 144A P/P 2.24000000       | CUSIP: 66981PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | NS      | $3761842.00    | 0.02%             | 2028-12-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROU 5.926% 01/10/34                         | CVS PASS-THROUGH TRUST REGD   144A P/P 5.92600000                                                | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    492571 | NS      | $480769.96     | 0.00%             | 2034-01-10      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-1 2A1 V/R 02/25/35                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2005-1 CL 2A1A V/R REGD 2.71744400                         | CUSIP: 17307GPS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17519 | NS      | $13653.27      | 0.00%             | 2035-02-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| TRILLION CAPIT 7.25% 11/15/24                          | TRILLION CAPITAL III SENIOR    WHL 2022-1 REGD 7.25000000                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |  17108278 | NS      | $17108278.22   | 0.11%             | 2024-11-15      | Variable      | 7.25%                 | No            |                  3 | On Loan: No      |
| AVOLON HOLDING 4.375% 05/01/26                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 4.37500000                                                | CUSIP: 05401AAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    790000 | NS      | $719804.97     | 0.00%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT1546 4.5% 12/01/48                            | FREDDIE MAC POOL UMBS P#ZT1546 4.50000000                                                        | CUSIP: 3132ADWF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3405285 | NS      | $3329768.93    | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5079 4.5% 03/20/48                         | GINNIE MAE II POOL P#MA5079 4.50000000                                                           | CUSIP: 36179TUC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    222506 | NS      | $219102.32     | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#AE6292 3.5% 06/15/43                            | GINNIE MAE I POOL P#AE6292 3.50000000                                                            | CUSIP: 36180Y7D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    866380 | NS      | $814762.22     | 0.01%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2001-60 QS V/R 09/25/31                            | FANNIE MAE REMICS SER 2001-60 CL QS V/R 9.13951500                                               | CUSIP: 3139214L9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10572 | NS      | $11049.02      | 0.00%             | 2031-09-25      | Variable      | 9.14%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM8804 2.5% 09/01/51                            | FANNIE MAE POOL UMBS P#FM8804 2.50000000                                                         | CUSIP: 3140XCYA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12763062 | NS      | $10876119.73   | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 01/23/30                            | MORGAN STANLEY REGD V/R MTN SER GMTN 4.43100000                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2304000 | NS      | $2144341.21    | 0.01%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC  5.05% 09/01/41                         | ARIZONA PUBLIC SERVICE REGD 5.05000000                                                           | CUSIP: 040555CM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    349000 | NS      | $307714.31     | 0.00%             | 2041-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO V/R /PERP/                         | AMERICAN EXPRESS CO REGD V/R /PERP/ 3.55000000                                                   | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   3475000 | NS      | $2854712.50    | 0.02%             | 2171-09-15      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD 3.6% 04/09/29                            | AIA GROUP LTD REGD 144A P/P 3.60000000                                                           | CUSIP: 00131LAH8<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    795000 | NS      | $722913.72     | 0.00%             | 2029-04-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FHR 2710 HB 5.5% 11/15/23                              | FREDDIE MAC REMICS SER 2710 CL HB 5.50000000                                                     | CUSIP: 31394MHQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1556 | NS      | $1549.32       | 0.00%             | 2023-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2013-128 PO ZCP 12/25/43                           | FANNIE MAE REMICS SER 2013-128 CL PO ZCP 0.00000000                                              | CUSIP: 3136AHNE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    970335 | NS      | $735394.14     | 0.00%             | 2043-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CAMILLO 2016-SFR1 5% 12/05/23                          | CAMILLO 2016 SFR 1 A-1 SINGLE  FAMILY RENTAL BACKED NOTES     DUE 2023 REGD 144A 5.00000000      | CUSIP: 133715AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4723515 | NS      | $4681003.60    | 0.03%             | 2023-12-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-B A V/R 06/25/66                            | AJAX MORTGAGE LOAN TRUST 2021-B SER 2021-B CL A V/R REGD 144A P/P 2.23900000                     | CUSIP: 00970LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6262174 | NS      | $5776891.62    | 0.04%             | 2066-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNR 2010-58 MB 5.5% 06/25/40                           | FANNIE MAE REMICS SER 2010-58 CL MB 5.50000000                                                   | CUSIP: 31398RYR0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    419658 | NS      | $421103.31     | 0.00%             | 2040-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 5190 EC 2% 12/25/51                                | FREDDIE MAC REMICS SER 5190 CL EC 2.00000000                                                     | CUSIP: 3137H5FP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8762820 | NS      | $7553086.86    | 0.05%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-30 PM 7% 07/25/31                             | FANNIE MAE REMICS SER 2001-30 CL PM 7.00000000                                                   | CUSIP: 313920BG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7549 | NS      | $7789.79       | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.125% 05/15/40                           | UNITED STATES TREASURY BOND 1.12500000                                                           | CUSIP: 912810SR0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5125000 | NS      | $3207529.33    | 0.02%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2646 7.5% 09/20/28                           | GINNIE MAE II POOL P#2646 7.50000000                                                             | CUSIP: 36202C5F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1524 | NS      | $1553.05       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY P 4.5% 03/15/45                         | SPECTRA ENERGY PARTNERS REGD 4.50000000                                                          | CUSIP: 84756NAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3225000 | NS      | $2662124.11    | 0.02%             | 2045-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UDR INC 3.2% 01/15/30                                  | UDR INC REGD MTN 3.20000000                                                                      | CUSIP: 90265EAQ3<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   1565000 | NS      | $1357763.42    | 0.01%             | 2030-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD1068 3.5% 01/01/51                            | FREDDIE MAC POOL UMBS P#SD1068 0.00000000                                                        | CUSIP: 3132DNFH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11836533 | NS      | $10928972.04   | 0.07%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7501 4% 07/01/49                              | FREDDIE MAC POOL UMBS P#SD7501 4.00000000                                                        | CUSIP: 3132DVKN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9953336 | NS      | $9537531.38    | 0.06%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSMPS 2004-4 1AF V/R 06/25/34                          | GSMPS MORTGAGE LOAN TRUST 2004-4 SER 2004-4 CL 1AF V/R REGD 144A P/P 4.78871000                  | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36482 | NS      | $31349.80      | 0.00%             | 2034-06-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08558 4% 11/01/43                             | FREDDIE MAC GOLD POOL P#G08558 4.00000000                                                        | CUSIP: 3128MJTQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55288 | NS      | $53016.39      | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE0081 6% 07/01/24                              | FANNIE MAE POOL UMBS P#AE0081 6.00000000                                                         | CUSIP: 31419ACT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1010 | NS      | $1005.87       | 0.00%             | 2024-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| F/C US 10YR ULTRA FUT MAR23                            | FUTURE CONTRACT ON           US 10YR ULTRA FUT MAR23 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       168 | NC      | $19871250.00   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| FNR 2009-69 WA V/R 09/25/39                            | FANNIE MAE REMICS SER 2009-69 CL WA V/R 6.02598100                                               | CUSIP: 31396Q5U9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     60666 | NS      | $61961.14      | 0.00%             | 2039-09-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 201 2.875% 10/07/28                         | UNITED AIR 2016-2 AA PTT REGD SER AA 2.87500000                                                  | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1324242 | NS      | $1125950.75    | 0.01%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHR 2990 SL V/R 06/15/34                               | FREDDIE MAC REMICS SER 2990 CL SL V/R 8.66118000                                                 | CUSIP: 31395V4J5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2129 | NS      | $2110.16       | 0.00%             | 2034-06-15      | Variable      | 8.66%                 | No            |                  2 | On Loan: No      |
| KKR 11 AR V/R 01/15/31                                 | KKR CLO 11 LTD SER 11 CL AR V/R REGD 144A P/P 5.25914000                                         | CUSIP: 48250MAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8500000 | NS      | $8358840.50    | 0.05%             | 2031-01-15      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| UMBS P#913984 V/R 02/01/37                             | FANNIE MAE POOL UMBS P#913984 V/R 3.86900000                                                     | CUSIP: 31411SM94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27531 | NS      | $28033.89      | 0.00%             | 2037-02-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| UMBS P#257007 6% 12/01/27                              | FANNIE MAE POOL UMBS P#257007 6.00000000                                                         | CUSIP: 31371NNY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20024 | NS      | $20325.88      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM9188 3.12% 06/01/35                           | FANNIE MAE POOL UMBS P#AM9188 3.12000000                                                         | CUSIP: 3138LAF61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3400000 | NS      | $2860786.38    | 0.02%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS F 2.7% 06/10/31                         | GENERAL MOTORS FINL CO REGD 2.70000000                                                           | CUSIP: 37045XDL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2395000 | NS      | $1834990.18    | 0.01%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV8156 2.5% 04/01/52                            | FANNIE MAE POOL UMBS P#BV8156 2.50000000                                                         | CUSIP: 3140MNB21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    993190 | NS      | $841800.56     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND C 3.3% 01/30/32                         | AERCAP IRELAND CAP/GLOBA REGD 3.30000000                                                         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1225000 | NS      | $957656.93     | 0.01%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#938346 V/R 07/01/37                             | FANNIE MAE POOL UMBS P#938346 V/R 4.03900000                                                     | CUSIP: 31412X5F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17544 | NS      | $17232.32      | 0.00%             | 2037-07-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN5527 3.02% 07/01/29                           | FANNIE MAE POOL UMBS P#AN5527 3.02000000                                                         | CUSIP: 3138LJD98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8149122 | NS      | $7511119.14    | 0.05%             | 2029-07-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM9860 3.08% 12/01/24                           | FANNIE MAE POOL UMBS P#AM9860 3.08000000                                                         | CUSIP: 3138LA5W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1747694 | NS      | $1690018.92    | 0.01%             | 2024-12-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHER 5.59% 05/17/25                         | NORFOLK SOUTHERN CORP REGD 5.59000000                                                            | CUSIP: 655844AW8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |      6000 | NS      | $6054.03       | 0.00%             | 2025-05-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A95561 4% 12/01/40                             | FREDDIE MAC GOLD POOL P#A95561 4.00000000                                                        | CUSIP: 312944FA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    532164 | NS      | $511634.24     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.375% 08/15/42                           | UNITED STATES TREASURY BOND 3.37500000                                                           | CUSIP: 912810TK4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  17622000 | NS      | $15749662.50   | 0.10%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q19316 3% 06/01/43                             | FREDDIE MAC GOLD POOL P#Q19316 3.00000000                                                        | CUSIP: 3132JAYN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18705 | NS      | $17027.62      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2011-19 ZY 6.5% 07/25/36                           | FANNIE MAE REMICS SER 2011-19 CL ZY 6.50000000                                                   | CUSIP: 31397QP69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    134184 | NS      | $140295.61     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 5023 IO 2% 10/25/50                                | FREDDIE MAC REMICS SER 5023 CL IO 2.00000000                                                     | CUSIP: 3137FWV49<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4830224 | NS      | $562617.79     | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CFAB 2003-4 1A5 V/R 05/25/33                           | CHASE FUNDING TRUST SERIES 2003-4 SER 2003-4 CL 1A5 V/R REGD 5.91600000                          | CUSIP: 161546FV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     69886 | NS      | $65442.82      | 0.00%             | 2033-05-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| SCART 2021-AA  0.33% 12/15/23                          | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2021-A SER 2021-AA CL A3 REGD 144A P/P 0.33000000      | CUSIP: 80282YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3152564 | NS      | $3097054.14    | 0.02%             | 2025-10-15      | Fixed         | 0.33%                 | No            |                  2 | On Loan: No      |
| CD 2006-CD3 XS V/R 10/15/48                            | CD 2006-CD3 MORTGAGE TRUST SER 2006-CD3 CL XS V/R REGD 144A P/P 0.18243200                       | CUSIP: 14986DAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85172 | NS      | $659.37        | 0.00%             | 2048-10-15      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| UMBS P#890310 4.5% 12/01/40                            | FANNIE MAE POOL UMBS P#890310 4.50000000                                                         | CUSIP: 31410LDP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1995677 | NS      | $1978376.88    | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#995381 6% 01/01/24                              | FANNIE MAE POOL UMBS P#995381 6.00000000                                                         | CUSIP: 31416BXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3241 | NS      | $3225.37       | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 5228 BH 3.5% 01/25/51                              | FREDDIE MAC REMICS SER 5228 CL BH 3.50000000                                                     | CUSIP: 3137H7TW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6567286 | NS      | $6208595.65    | 0.04%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/35                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128335A4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    175000 | NS      | $103724.74     | 0.00%             | 2035-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 1935 FL V/R 02/15/27                               | FREDDIE MAC REMICS SER 1935 CL FL V/R 5.01786000                                                 | CUSIP: 3133T8Z83<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       190 | NS      | $189.71        | 0.00%             | 2027-02-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE 4.678% 07/01/14                         | MASS INSTITUTE OF TECH REGD 4.67800000                                                           | CUSIP: 575718AB7<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |   1645000 | NS      | $1400474.73    | 0.01%             | 2114-07-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| FNR 2007-97 KI 7% 05/25/33                             | FANNIE MAE REMICS SER 2007-97 CL KI 7.00000000                                                   | CUSIP: 31396XB94<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74662 | NS      | $6739.54       | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FCAT 2022-2 D 5.8% 09/15/26                            | FLAGSHIP CREDIT AUTO TRUST 2022-2 SER 2022-2 CL D REGD 144A P/P 5.80000000                       | CUSIP: 33844XAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | NS      | $3746412.80    | 0.02%             | 2028-04-17      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ7920 3% 12/01/42                              | FANNIE MAE POOL UMBS P#AQ7920 3.00000000                                                         | CUSIP: 3138MPYS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49744 | NS      | $45261.31      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#833629 7% 03/01/36                              | FANNIE MAE POOL UMBS P#833629 7.00000000                                                         | CUSIP: 31407LEA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       946 | NS      | $939.54        | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 04/22/42                            | MORGAN STANLEY REGD V/R 3.21700000                                                               | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $3699875.90    | 0.02%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| SEMT 2004-8 A1 V/R 09/20/34                            | SEQUOIA MORTGAGE TRUST 2004-8 SER 2004-8 CL A1 V/R REGD 5.05286000                               | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    417596 | NS      | $362788.05     | 0.00%             | 2034-09-20      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M3 A2 V/R 12/25/26                            | FANNIE MAE-ACES SER 2017-M3 CL A2 V/R 2.47100000                                                 | CUSIP: 3136AVYL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1145572 | NS      | $1056560.98    | 0.01%             | 2026-12-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08578 4.5% 03/01/44                           | FREDDIE MAC GOLD POOL P#G08578 4.50000000                                                        | CUSIP: 3128MJUC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    208510 | NS      | $205065.59     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NRMLT 2022-SFR2 D 4% 09/04/27                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-SFR2 SER 2022-SFR2 CL D REGD 144A P/P 4.00000000        | CUSIP: 64830RAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | NS      | $4282421.50    | 0.03%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2010-102 PN 5% 09/25/40                            | FANNIE MAE REMICS SER 2010-102 CL PN 5.00000000                                                  | CUSIP: 31398NAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    153829 | NS      | $153577.89     | 0.00%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA  2.15% 09/02/31                         | ROYALTY PHARMA PLC REGD 2.15000000                                                               | CUSIP: 78081BAN3<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | US        |   1291000 | NS      | $976301.36     | 0.01%             | 2031-09-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 05/07/25                              | BARCLAYS PLC REGD V/R 3.93200000                                                                 | CUSIP: 06738EBH7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   7000000 | NS      | $6788162.02    | 0.04%             | 2025-05-07      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9072 2% 10/01/51                              | FANNIE MAE POOL UMBS P#FM9072 2.00000000                                                         | CUSIP: 3140XDCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170635 | NS      | $139065.96     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2012-99 FA V/R 09/25/42                            | FANNIE MAE REMICS SER 2012-99 CL FA V/R 4.83871000                                               | CUSIP: 3136A8VS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    156073 | NS      | $151631.16     | 0.00%             | 2042-09-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8205 2.5% 04/01/52                            | FREDDIE MAC POOL UMBS P#SD8205 2.50000000                                                        | CUSIP: 3132DWDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    999999 | NS      | $847152.58     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 1987 PE 7.5% 09/15/27                              | FREDDIE MAC REMICS SER 1987 CL PE 7.50000000                                                     | CUSIP: 3133TBEZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2796 | NS      | $2873.36       | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#745784 V/R 08/01/36                             | FANNIE MAE POOL UMBS P#745784 V/R 4.12500000                                                     | CUSIP: 31403DRD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10902 | NS      | $10740.55      | 0.00%             | 2036-08-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINA 4.85% 03/29/29                         | BROOKFIELD FINANCE INC REGD 4.85000000                                                           | CUSIP: 11271LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    875000 | NS      | $834560.71     | 0.01%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4236 1.5% 01/01/51                            | FANNIE MAE POOL UMBS P#MA4236 1.50000000                                                         | CUSIP: 31418DV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1567300 | NS      | $1212283.24    | 0.01%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q08998 3.5% 06/01/42                           | FREDDIE MAC GOLD POOL P#Q08998 3.50000000                                                        | CUSIP: 3132GUKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    154109 | NS      | $144420.06     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 04/19/32                               | BNP PARIBAS REGD V/R 144A P/P 2.87100000                                                         | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3560000 | NS      | $2783935.13    | 0.02%             | 2032-04-19      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| UMBS P#945032 V/R 08/01/37                             | FANNIE MAE POOL UMBS P#945032 V/R 4.61800000                                                     | CUSIP: 31413GLM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33114 | NS      | $32930.09      | 0.00%             | 2037-08-01      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT 3.9% 06/01/52                         | CHARTER COMM OPT LLC/CAP REGD 3.90000000                                                         | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2310000 | NS      | $1450279.10    | 0.01%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNR 2006-62 PS V/R 07/25/36                            | FANNIE MAE REMICS SER 2006-62 CL PS V/R 13.56774000                                              | CUSIP: 31395N7D3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6968 | NS      | $8370.29       | 0.00%             | 2036-07-25      | Variable      | 13.57%                | No            |                  2 | On Loan: No      |
| EMERA US FINANC 4.75% 06/15/46                         | EMERA US FINANCE LP REGD SER WI 4.75000000                                                       | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | NS      | $694399.91     | 0.00%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2444 3% 12/20/44                           | GINNIE MAE II POOL P#MA2444 3.00000000                                                           | CUSIP: 36179QWD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    221837 | NS      | $202812.00     | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FOMENTO ECONOM 4.375% 05/10/43                         | FOMENTO ECONOMICO MEX REGD 4.37500000                                                            | CUSIP: 344419AB2<br>LEI: 549300A8MDWDJNMLV153 | Long             | DBT              | CORP              | MX        |    526000 | NS      | $433838.81     | 0.00%             | 2043-05-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNR 1993-99 Z 7% 07/25/23                              | FANNIE MAE REMICS SER 1993-99 CL Z 7.00000000                                                    | CUSIP: 31359A5D7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1290 | NS      | $1288.25       | 0.00%             | 2023-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNR 2012-141 WB V/R 09/16/42                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-141 CL WB V/R 4.02354000                       | CUSIP: 38378GPF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    101828 | NS      | $98614.97      | 0.00%             | 2042-09-16      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PROD 5.75% 03/01/35                         | ENTERPRISE PRODUCTS OPER REGD SER J 5.75000000                                                   | CUSIP: 293791AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1075000 | NS      | $1047960.06    | 0.01%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.25% 08/15/31                            | UNITED STATES TREASURY NOTE 1.25000000                                                           | CUSIP: 91282CCS8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  30365000 | NS      | $24621745.07   | 0.16%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08767 4% 06/01/47                             | FREDDIE MAC GOLD POOL P#G08767 4.00000000                                                        | CUSIP: 3128MJZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1399403 | NS      | $1338440.29    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS 3.95% 07/01/24                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 3.95000000                                                | CUSIP: 05401AAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2835000 | NS      | $2713947.85    | 0.02%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NRZT 2017-3A A1 V/R 04/25/57                           | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-3 SER 2017-3A CL A1 V/R REGD 144A P/P 4.00000000        | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2510175 | NS      | $2368871.25    | 0.02%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEA 1.2% 11/15/25                         | PENSKE TRUCK LEASING/PTL REGD 144A P/P 1.20000000                                                | CUSIP: 709599BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7300000 | NS      | $6423164.30    | 0.04%             | 2025-11-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| MALT 2004-6 30PO ZCP 07/25/34                          | MASTR ALTERNATIVE LOAN TRUST 2004-6 SER 2004-6 CL 30PO ZCP REGD 0.00000000                       | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14196 | NS      | $10466.24      | 0.00%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OOMLT 2004-3 A4 V/R 11/25/34                           | OPTION ONE MORTGAGE LOAN TRUST 2004-3 SER 2004-3 CL A4 V/R REGD 5.28871000                       | CUSIP: 68389FFS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1691802 | NS      | $1580118.69    | 0.01%             | 2034-11-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHR 1865 D ZCP 02/15/24                                | FREDDIE MAC REMICS SER 1865 CL D ZCP 0.00000000                                                  | CUSIP: 3133T7HX0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1157 | NS      | $1131.97       | 0.00%             | 2024-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G1861 V/R 03/01/36                            | FREDDIE MAC NON GOLD POOL P#1G1861 V/R 2.54000000                                                | CUSIP: 3128QSB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32457 | NS      | $32257.42      | 0.00%             | 2036-03-01      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G05982 4.5% 09/01/40                           | FREDDIE MAC GOLD POOL P#G05982 4.50000000                                                        | CUSIP: 3128M76T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    446416 | NS      | $443044.68     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M50 A2 1.2% 10/25/30                          | FANNIE MAE-ACES SER 2020-M50 CL A2 1.20000000                                                    | CUSIP: 3136BCGS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1055000 | NS      | $904855.14     | 0.01%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FREMF 2015-K44 B V/R 01/25/25                          | FREMF 2015-K44 MORTGAGE TRUST SER 2015-K44 CL B V/R REGD 3.71931300                              | CUSIP: 30292NAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3510000 | NS      | $3339146.54    | 0.02%             | 2048-01-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4881 2.5% 12/01/34                            | FANNIE MAE POOL UMBS P#CA4881 2.50000000                                                         | CUSIP: 3140QCM78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8078685 | NS      | $7443598.56    | 0.05%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MLCC 2004-C A2 V/R 07/25/29                            | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC  SER 2004-C CL A2 V/R REGD 5.74857000         | CUSIP: 59020UDP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20855 | NS      | $19974.67      | 0.00%             | 2029-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNR 2007-76 AZ 5.5% 08/25/37                           | FANNIE MAE REMICS SER 2007-76 CL AZ 5.50000000                                                   | CUSIP: 31396WT63<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18402 | NS      | $18367.79      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPE 3.4% 02/01/25                         | HEALTHPEAK PROPERTIES REGD 3.40000000                                                            | CUSIP: 40414LAM1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     41000 | NS      | $39446.26      | 0.00%             | 2025-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CMLTI 2003-1 PO3 ZCP 09/25/33                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2003-1 CL PO3 ZCP REGD 0.00000000                          | CUSIP: 17307GCA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1495 | NS      | $1024.82       | 0.00%             | 2033-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2010-103 SB V/R 11/25/49                           | FANNIE MAE REMICS SER 2010-103 CL SB V/R 1.71129000                                              | CUSIP: 31398TY62<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     47756 | NS      | $3548.32       | 0.00%             | 2049-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GNR 2003-58 BE 6.5% 01/20/33                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-58 CL BE 6.50000000                            | CUSIP: 38374BNE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46908 | NS      | $46904.57      | 0.00%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP 3.375% 07/01/25                         | AIR LEASE CORP REGD 3.37500000                                                                   | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1835000 | NS      | $1735581.20    | 0.01%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MLCC 2004-1 2A1 V/R 12/25/34                           | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC  SER 2004-1 CL 2A1 V/R REGD 3.13918000        | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33338 | NS      | $30713.34      | 0.00%             | 2034-12-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| UMBS P#888408 6% 03/01/37                              | FANNIE MAE POOL UMBS P#888408 6.00000000                                                         | CUSIP: 31410GAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23223 | NS      | $23505.47      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL6851 2.5% 10/01/43                            | FANNIE MAE POOL UMBS P#AL6851 2.50000000                                                         | CUSIP: 3138EPTH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1178471 | NS      | $1016150.47    | 0.01%             | 2043-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING V/R 11/25/35                         | AUST & NZ BANKING GROUP REGD V/R 2.57000000                                                      | CUSIP: 052528AM8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   4590000 | NS      | $3367804.64    | 0.02%             | 2035-11-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| VOLT 2021-NPL8 A V/R 04/25/51                          | VOLT XCIX LLC SER 2021-NPL8 CL A1 V/R REGD 144A P/P 2.11570000                                   | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4526650 | NS      | $4000773.86    | 0.03%             | 2051-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018- 4.6% 03/01/26                         | UNITED AIR 2018-1 B PTT REGD SER B 4.60000000                                                    | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1004197 | NS      | $917046.29     | 0.01%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.25% 11/15/25                            | UNITED STATES TREASURY NOTE 2.25000000                                                           | CUSIP: 912828M56<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  77146000 | NS      | $73017483.98   | 0.47%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MARS INC 3.95% 04/01/49                                | MARS INC REGD 144A P/P 3.95000000                                                                | CUSIP: 571676AF2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   3482000 | NS      | $2842189.46    | 0.02%             | 2049-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CMLTI 2015-A B2 V/R 06/25/58                           | CITIGROUP MORTGAGE LOAN TRUST 2015-A SER 2015-A CL B2 V/R REGD 144A P/P 4.50000000               | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    236564 | NS      | $222328.85     | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4245 6% 09/20/38                             | GINNIE MAE II POOL P#4245 6.00000000                                                             | CUSIP: 36202EWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    202858 | NS      | $214156.27     | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-5 A1 V/R 06/25/24                            | PRPM 2021-5 LLC SER 2021-5 CL A1 V/R REGD 144A P/P 1.79300000                                    | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2461086 | NS      | $2228460.74    | 0.01%             | 2026-06-25      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MMAF 2019-B A5 2.29% 11/12/41                          | MMAF EQUIPMENT FINANCE LLC 2019-B SER 2019-B CL A5 REGD 144A P/P 2.29000000                      | CUSIP: 55316EAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7200000 | NS      | $6572322.00    | 0.04%             | 2041-11-12      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1418 V/R 12/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1418 V/R 3.94000000                                                | CUSIP: 3128NHSF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3722 | NS      | $3626.44       | 0.00%             | 2036-12-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| IMM 2004-4 2A2 S/UP 09/25/34                           | IMPAC CMB TRUST SERIES 2004-4 SER 2004-4 CL 2A2 S/UP REGD 5.74900000                             | CUSIP: 45254NJF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5653 | NS      | $5697.93       | 0.00%             | 2034-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| OZLMF 2013-4A A1 V/R 10/22/30                          | OZLM FUNDING IV LTD SER 2013-4A CL A1R V/R REGD 144A P/P 5.57457000                              | CUSIP: 67108FAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9811675 | NS      | $9701126.61    | 0.06%             | 2030-10-22      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| UMBS P#250066 8% 05/01/24                              | FANNIE MAE POOL UMBS P#250066 8.00000000                                                         | CUSIP: 31371EW35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32 | NS      | $31.97         | 0.00%             | 2024-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MLMI 2005-A2 A1 V/R 02/25/35                           | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLMI 2 SER 2005-A2 CL A1 V/R REGD 3.04630700       | CUSIP: 59020USH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55415 | NS      | $51571.00      | 0.00%             | 2035-02-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| GNR 2007-72 US V/R 11/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-72 CL US V/R 2.19714000                        | CUSIP: 38375LV72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     64492 | NS      | $1569.50       | 0.00%             | 2037-11-20      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| JONAH 2022-1 A1 7.2% 07/10/28                          | JONAH ENERGY ABS I LLC SER 2022-1 CL A1 REGD 144A P/P 7.20000000                                 | CUSIP: 47987EAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6154400 | NS      | $6104769.69    | 0.04%             | 2037-12-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP9537 2.5% 07/01/50                            | FANNIE MAE POOL UMBS P#BP9537 2.50000000                                                         | CUSIP: 3140KHS36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5402334 | NS      | $4603717.78    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B27 2.39% 06/15/31                          | BENCHMARK 2021-B27 MORTGAGE TRUST SER 2021-B27 CL A5 REGD 2.39000000                             | CUSIP: 08163HAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1984000 | NS      | $1610427.68    | 0.01%             | 2054-07-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| MALT 2004-6 7A  6.00% 07/25/34                         | MASTR ALTERNATIVE LOANS TRUST_  2004-6 7A1 REGD__ 6.00000000                                     | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10571 | NS      | $9827.38       | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 3.3% 12/15/32                         | BRITISH AIR 19-1 AA PTT REGD 144A P/P 3.30000000                                                 | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   1393752 | NS      | $1182530.38    | 0.01%             | 2032-12-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AMCAR 2020-1 B 1.48% 03/18/23                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1 SER 2020-1 CL B REGD 1.48000000                  | CUSIP: 03067DAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3880293 | NS      | $3853486.97    | 0.02%             | 2025-01-21      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| GNR 2009-106 ST V/R 02/20/38                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-106 CL ST V/R 1.64714000                       | CUSIP: 38376JFW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600712 | NS      | $31462.19      | 0.00%             | 2038-02-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| WLAKE 2022-2A  3.36% 08/15/25                          | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-2 SER 2022-2A CL A2A REGD 144A P/P 3.36000000         | CUSIP: 96042VAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7007622 | NS      | $6937926.99    | 0.04%             | 2025-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| FHR 2484 LZ 6.5% 07/15/32                              | FREDDIE MAC REMICS SER 2484 CL LZ 6.50000000                                                     | CUSIP: 31392R3H2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22089 | NS      | $22674.55      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CAALT 2020-2A  2.73% 01/15/24                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-2 SER 2020-2A CL C REGD 144A P/P 2.73000000               | CUSIP: 22535MAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3500000 | NS      | $3395311.85    | 0.02%             | 2029-11-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERG 3.25% 08/15/46                         | CONSUMERS ENERGY CO REGD 3.25000000                                                              | CUSIP: 210518CZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | NS      | $136711.55     | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GR V/R 11/07/28                         | LLOYDS BANKING GROUP PLC REGD V/R 3.57400000                                                     | CUSIP: 539439AQ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1000000 | NS      | $899294.67     | 0.01%             | 2028-11-07      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08168 6% 12/01/36                             | FREDDIE MAC GOLD POOL P#G08168 6.00000000                                                        | CUSIP: 3128MJFJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8121 | NS      | $8487.54       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA6370 3% 01/01/50                              | FREDDIE MAC POOL UMBS P#QA6370 3.00000000                                                        | CUSIP: 3133A1CF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1533431 | NS      | $1359627.10    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HART 2020-A A4 1.72% 06/15/26                          | HYUNDAI AUTO RECEIVABLES TRUST 2020-A SER 2020-A CL A4 REGD 1.72000000                           | CUSIP: 44891LAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3308000 | NS      | $3182949.99    | 0.02%             | 2026-06-15      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| UMBS P#695584 6% 03/01/33                              | FANNIE MAE POOL UMBS P#695584 6.00000000                                                         | CUSIP: 31400RXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       550 | NS      | $558.25        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWL 2004-1 3A V/R 04/25/34                             | CWABS INC ASSET-BACKED CERTIFICATES SERIES 2004-1 SER 2004-1 CL 3A V/R REGD 4.94871000           | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1112 | NS      | $1002.32       | 0.00%             | 2034-04-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY 6% 10/15/39                              | SEMPRA ENERGY REGD 6.00000000                                                                    | CUSIP: 816851AP4<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    752000 | NS      | $759924.25     | 0.00%             | 2039-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#888892 7.5% 11/01/37                            | FANNIE MAE POOL UMBS P#888892 7.50000000                                                         | CUSIP: 31410GRM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22731 | NS      | $24641.59      | 0.00%             | 2037-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DELMARVA PWR & LIG 4% 06/01/42                         | DELMARVA PWR & LIGHT CO REGD 4.00000000                                                          | CUSIP: 247109BR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | NS      | $133276.49     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BMIR 2021-3A M1A V/R 09/25/31                          | BELLEMEADE RE 2021-3 LTD SER 2021-3A CL M1A V/R REGD 144A P/P 4.92768000                         | CUSIP: 078777AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5232632 | NS      | $5165223.89    | 0.03%             | 2031-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| CWALT 2003-22CB 3 6% 12/25/33                          | ALTERNATIVE LOAN TRUST 2003-22CB SER 2003-22CB CL 3A1 REGD 6.00000000                            | CUSIP: 12669FEG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1227546 | NS      | $1157574.10    | 0.01%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A1 9A V/R 02/25/37                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 SER 2007-A1 CL 9A1 V/R REGD 3.09185700               | CUSIP: 161630AY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13742 | NS      | $12901.55      | 0.00%             | 2037-02-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN 3.771% 05/24/61                         | UNITED MEXICAN STATES REGD 3.77100000                                                            | CUSIP: 91087BAN0<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   1753000 | NS      | $1107071.49    | 0.01%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG  1.5% 10/13/26                         | NATIONWIDE BLDG SOCIETY REGD 144A P/P 1.50000000                                                 | CUSIP: 63859UBH5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   2800000 | NS      | $2413248.15    | 0.02%             | 2026-10-13      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BF2972 5% 07/20/48                           | GINNIE MAE II POOL P#BF2972 5.00000000                                                           | CUSIP: 3617G9JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    269126 | NS      | $274582.84     | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 07/21/32                         | GOLDMAN SACHS GROUP INC REGD V/R SER DMTN 2.38300000                                             | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3165000 | NS      | $2455751.00    | 0.02%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIF 4.55% 03/01/39                         | BOSTON SCIENTIFIC CORP REGD 4.55000000                                                           | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    356000 | NS      | $319323.06     | 0.00%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A83067 5% 11/01/38                             | FREDDIE MAC GOLD POOL P#A83067 5.00000000                                                        | CUSIP: 312929MQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29144 | NS      | $29600.85      | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMSR 2020-SFR 2.556% 09/17/25                          | AMSR 2020-SFR3 TRUST SER 2020-SFR3 CL E1 REGD 144A P/P 2.55600000                                | CUSIP: 001807AE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7734000 | NS      | $6888825.39    | 0.04%             | 2037-09-17      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG 4.253% 03/23/28                           | UBS GROUP AG REGD 144A P/P 4.25300000                                                            | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   3000000 | NS      | $2800705.74    | 0.02%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MYLAN INC 3.125% 01/15/23                              | MYLAN INC REGD P/P 3.12500000                                                                    | CUSIP: 628530AV9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4996158.80    | 0.03%             | 2023-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SASC 2004-6XS A S/UP 03/25/34                          | STRUCTURED ASSET SECURITIES CORP MORTGAGE PAS SER 2004-6XS CL A5A S/UP REGD 6.03000000           | CUSIP: 86359BJT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17134 | NS      | $16827.90      | 0.00%             | 2034-03-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP 5.2% 03/01/47                                  | MPLX LP REGD 5.20000000                                                                          | CUSIP: 55336VAL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    695000 | NS      | $589872.10     | 0.00%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHR 3122 OP ZCP 03/15/36                               | FREDDIE MAC REMICS SER 3122 CL OP ZCP 0.00000000                                                 | CUSIP: 31396JLH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17051 | NS      | $15316.43      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST 7.5% 04/01/34                            | CALIFORNIA ST REGD N/C B/E 7.50000000                                                            | CUSIP: 13063A5E0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5540000 | NS      | $6692673.45    | 0.04%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 2004-46 QB V/R 05/25/34                            | FANNIE MAE REMICS SER 2004-46 CL QB V/R 6.44516000                                               | CUSIP: 31393YT96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10225 | NS      | $10231.74      | 0.00%             | 2034-05-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHR 5019 IP 3% 10/25/50                                | FREDDIE MAC REMICS SER 5019 CL IP 3.00000000                                                     | CUSIP: 3137FXHY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2082560 | NS      | $330103.52     | 0.00%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS O 3.3% 07/15/56                         | PRES & FELLOWS OF HARVAR REGD 3.30000000                                                         | CUSIP: 740816AN3<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |   4420000 | NS      | $3303474.32    | 0.02%             | 2056-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ENI SPA 4.25% 05/09/29                                 | ENI SPA REGD 144A P/P 4.25000000                                                                 | CUSIP: 26874RAJ7<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   2825000 | NS      | $2611460.59    | 0.02%             | 2029-05-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH ED 3.75% 08/15/47                         | COMMONWEALTH EDISON CO REGD SER 123 3.75000000                                                   | CUSIP: 202795JL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | NS      | $775537.33     | 0.00%             | 2047-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q11218 3.5% 09/01/42                           | FREDDIE MAC GOLD POOL P#Q11218 3.50000000                                                        | CUSIP: 3132HMK75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2039904 | NS      | $1911641.24    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA P#555436 6% 5/1/33__                              | FNMA P#555436 6% 5/1/33__ 6.00000000                                                             | CUSIP: 31402RDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43972 | NS      | $45477.96      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BMWOT 2020-A A 0.62% 07/25/24                          | BMW VEHICLE OWNER TRUST 2020-A SER 2020-A CL A4 REGD 0.62000000                                  | CUSIP: 09661RAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3009000 | NS      | $2865255.56    | 0.02%             | 2027-04-26      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0626 4% 12/20/42                           | GINNIE MAE II POOL P#MA0626 4.00000000                                                           | CUSIP: 36179MVT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1381466 | NS      | $1334804.57    | 0.01%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 4.95% 01/15/43                         | ENERGY TRANSFER LP REGD 4.95000000                                                               | CUSIP: 86765BAM1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1482000 | NS      | $1190792.47    | 0.01%             | 2043-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNR 2004-87 F V/R 01/25/34                             | FANNIE MAE REMICS SER 2004-87 CL F V/R 5.13871000                                                | CUSIP: 31394BNG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     61868 | NS      | $61776.45      | 0.00%             | 2034-01-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.75% 04/30/27                            | UNITED STATES TREASURY NOTE 2.75000000                                                           | CUSIP: 91282CEN7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9343000 | NS      | $8853952.34    | 0.06%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G01448 7% 08/01/32                             | FREDDIE MAC GOLD POOL P#G01448 7.00000000                                                        | CUSIP: 31283HTD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3141 | NS      | $3241.95       | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.969% 11/01/47                           | COMCAST CORP REGD SER WI 3.96900000                                                              | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    154000 | NS      | $123027.27     | 0.00%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BV2402 3.5% 08/20/50                         | GINNIE MAE II POOL P#BV2402 3.50000000                                                           | CUSIP: 3617NFU31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7314236 | NS      | $6720835.40    | 0.04%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2633 8% 08/20/28                             | GINNIE MAE II POOL P#2633 8.00000000                                                             | CUSIP: 36202C4S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6 | NS      | $5.75          | 0.00%             | 2028-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNR 2003-112 SA V/R 12/16/33                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-112 CL SA V/R 2.22371000                       | CUSIP: 38374EZ91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     38687 | NS      | $872.65        | 0.00%             | 2033-12-16      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| DEXIA CREDIT LO 3.25% 09/26/23                         | DEXIA CREDIT LOCAL REGD 144A P/P MTN 3.25000000                                                  | CUSIP: 25214BAW4<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |    500000 | NS      | $494104.79     | 0.00%             | 2023-09-26      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS  6.65% 10/01/36                         | ONEOK PARTNERS LP REGD 6.65000000                                                                | CUSIP: 68268NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1050000 | NS      | $1050771.93    | 0.01%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FNR 2004-53 NC 5.5% 07/25/24                           | FANNIE MAE REMICS SER 2004-53 CL NC 5.50000000                                                   | CUSIP: 31394ABD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       472 | NS      | $469.80        | 0.00%             | 2024-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA  3.5% 12/15/27                         | MARTIN MARIETTA MATERIAL REGD 3.50000000                                                         | CUSIP: 573284AT3<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |   6165000 | NS      | $5705084.58    | 0.04%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO2970 3% 05/01/42                              | FANNIE MAE POOL UMBS P#AO2970 3.00000000                                                         | CUSIP: 3138LTJQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    204728 | NS      | $186283.54     | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#849251 V/R 01/01/36                             | FANNIE MAE POOL UMBS P#849251 V/R 3.98800000                                                     | CUSIP: 31408EQC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39346 | NS      | $38689.01      | 0.00%             | 2036-01-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| BAFC 2004-2 1C 5.75% 09/20/34                          | BANC OF AMERICA FUNDING 2004-2 TRUST SER 2004-2 CL 1CB1 REGD 5.75000000                          | CUSIP: 06051GBM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    671639 | NS      | $654600.53     | 0.00%             | 2034-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO  3.875% 06/15/47                         | CON EDISON CO OF NY INC REGD SER 2017 3.87500000                                                 | CUSIP: 209111FL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | NS      | $1384021.26    | 0.01%             | 2047-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY 4.255% 09/01/24                         | NEXTERA ENERGY CAPITAL REGD 4.25500000                                                           | CUSIP: 65339KBL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19287000 | NS      | $19025227.19   | 0.12%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLE 4.5% 04/01/48                         | MARATHON PETROLEUM CORP REGD SER WI 4.50000000                                                   | CUSIP: 56585ABE1<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2395765.80    | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A95856 4% 12/01/40                             | FREDDIE MAC GOLD POOL P#A95856 4.00000000                                                        | CUSIP: 312944QH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    385484 | NS      | $370612.30     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2754 3.5% 04/20/45                         | GINNIE MAE II POOL P#MA2754 3.50000000                                                           | CUSIP: 36179RBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3842768 | NS      | $3591577.49    | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABSHE 2003-HE6 A V/R 11/25/33                          | ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIE SER 2003-HE6 CL A2 V/R REGD 5.06871000 | CUSIP: 04541GFY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1381460 | NS      | $1357989.41    | 0.01%             | 2033-11-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO 5.45% 05/15/41                         | NEVADA POWER CO REGD 5.45000000                                                                  | CUSIP: 641423CA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    386000 | NS      | $368330.70     | 0.00%             | 2041-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/36                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833Y20<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    121000 | NS      | $69489.01      | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2000-52 IO 8.5% 01/25/31                           | FANNIE MAE REMICS SER 2000-52 CL IO 8.50000000                                                   | CUSIP: 31358SU66<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1071 | NS      | $144.45        | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA 3.25% 06/01/30                         | DENTSPLY SIRONA INC REGD 3.25000000                                                              | CUSIP: 24906PAA7<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |   3000000 | NS      | $2490485.73    | 0.02%             | 2030-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH  5.45% 01/23/39                         | ANHEUSER-BUSCH INBEV WOR REGD 5.45000000                                                         | CUSIP: 03523TBU1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7035000 | NS      | $7019582.09    | 0.05%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC8477 2% 10/01/51                              | FREDDIE MAC POOL UMBS P#QC8477 2.00000000                                                        | CUSIP: 3133ATM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2394907 | NS      | $1952194.33    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 2.5% JAN 23                              | FNMA 30YR TBA 2.5% JAN 23     TO BE ANNOUNCED 2.50000000                                         | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6645000 | NS      | $5625087.59    | 0.04%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2005-66 ZH 5.75% 07/25/35                          | FANNIE MAE REMICS SER 2005-66 CL ZH 5.75000000                                                   | CUSIP: 31394EKW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    992357 | NS      | $997731.47     | 0.01%             | 2035-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNR 2007-36 SE V/R 06/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-36 CL SE V/R 2.14371000                        | CUSIP: 38375KHZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     47548 | NS      | $1813.97       | 0.00%             | 2037-06-16      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C00452 7% 04/01/26                             | FREDDIE MAC GOLD POOL P#C00452 7.00000000                                                        | CUSIP: 31292GQD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       325 | NS      | $327.20        | 0.00%             | 2026-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U90690 3.5% 06/01/42                           | FREDDIE MAC GOLD POOL P#U90690 3.50000000                                                        | CUSIP: 3132H3XT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1029739 | NS      | $962834.60     | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4437 2% 10/01/51                              | FANNIE MAE POOL UMBS P#MA4437 2.00000000                                                         | CUSIP: 31418D4X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4954670 | NS      | $4040281.98    | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COU 3.8% 01/25/50                         | ALIMENTATION COUCHE-TARD REGD 144A P/P 3.80000000                                                | CUSIP: 01626PAN6<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   2100000 | NS      | $1474681.72    | 0.01%             | 2050-01-25      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNR 2004-74 SW V/R 11/25/31                            | FANNIE MAE REMICS SER 2004-74 CL SW V/R 6.82172000                                               | CUSIP: 31394AR81<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7964 | NS      | $8040.65       | 0.00%             | 2031-11-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM5931 2.5% 02/01/51                            | FANNIE MAE POOL UMBS P#FM5931 2.50000000                                                         | CUSIP: 3140X9SV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4099934 | NS      | $3505573.79    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS 2.517% 10/15/50                         | PRES & FELLOWS OF HARVAR REGD 2.51700000                                                         | CUSIP: 740816AP8<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |   3480000 | NS      | $2259140.34    | 0.01%             | 2050-10-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| GNR 2022-126 CS V/R 07/20/52                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-126 CL CS V/R 0.00000000                       | CUSIP: 38383T2H5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26064481 | NS      | $279611.93     | 0.00%             | 2052-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SART 2017-1 A 4.75% 07/15/2024                         | SART 2017-1 A REGD 4.75000000                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   1486985 | NS      | $1449810.43    | 0.01%             | 2024-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60065 4% 09/01/43                             | FREDDIE MAC GOLD POOL P#G60065 4.00000000                                                        | CUSIP: 31335ACA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2886574 | NS      | $2775253.36    | 0.02%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM2801 3% 03/01/50                              | FANNIE MAE POOL UMBS P#FM2801 3.00000000                                                         | CUSIP: 3140X6DF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2320849 | NS      | $2057874.87    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2006-22 AO ZCP 05/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-22 CL AO ZCP 0.00000000                        | CUSIP: 38374M2N8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30468 | NS      | $27343.02      | 0.00%             | 2036-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2008-96 SL V/R 12/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-96 CL SL V/R 1.64714000                        | CUSIP: 38375PY88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     59965 | NS      | $1057.08       | 0.00%             | 2038-12-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUT 9.375% 08/15/39                         | NATIONWIDE MUTUAL INSURA REGD P/P 9.37500000                                                     | CUSIP: 638671AK3<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |   7150000 | NS      | $9194202.95    | 0.06%             | 2039-08-15      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO S/UP 11/01/24                            | DTE ENERGY CO REGD S/UP 4.22000000                                                               | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |  12313000 | NS      | $12103044.14   | 0.08%             | 2024-11-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNR 2006-33 LS V/R 05/25/36                            | FANNIE MAE REMICS SER 2006-33 CL LS V/R 10.40080500                                              | CUSIP: 31395DKV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9429 | NS      | $10828.69      | 0.00%             | 2036-05-25      | Variable      | 10.40%                | No            |                  2 | On Loan: No      |
| UMBS P#CB2610 2% 01/01/52                              | FANNIE MAE POOL UMBS P#CB2610 2.00000000                                                         | CUSIP: 3140QM3U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13665798 | NS      | $11135298.38   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA 6.8% 11/29/32                         | ARCELORMITTAL SA REGD 6.80000000                                                                 | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |   1755000 | NS      | $1745075.30    | 0.01%             | 2032-11-29      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A97620 4.5% 03/01/41                           | FREDDIE MAC GOLD POOL P#A97620 4.50000000                                                        | CUSIP: 312946PD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     90496 | NS      | $89812.71      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 2011-75 FA V/R 08/25/41                            | FANNIE MAE REMICS SER 2011-75 CL FA V/R 4.93871000                                               | CUSIP: 3136A0GK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49906 | NS      | $49580.64      | 0.00%             | 2041-08-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| WLAKE 2020-3A  1.65% 02/17/26                          | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2020-3 SER 2020-3A CL D REGD 144A P/P 1.65000000           | CUSIP: 96042QAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1875000 | NS      | $1776754.69    | 0.01%             | 2026-02-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 2.987% 11/01/63                           | COMCAST CORP REGD SER WI 2.98700000                                                              | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2980000 | NS      | $1801877.47    | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.125% 11/15/32                           | UNITED STATES TREASURY BOND 4.12500000                                                           | CUSIP: 91282CFV8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  73397000 | NS      | $74899344.84   | 0.48%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATI 5.95% 04/01/30                         | SYSCO CORPORATION REGD 5.95000000                                                                | CUSIP: 871829BL0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $5174779.30    | 0.03%             | 2030-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G01864 5% 01/01/34                             | FREDDIE MAC GOLD POOL P#G01864 5.00000000                                                        | CUSIP: 3128LXB90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12484 | NS      | $12762.47      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-27 SN V/R 04/25/38                            | FANNIE MAE REMICS SER 2008-27 CL SN V/R 2.51129000                                               | CUSIP: 31396Y4G4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34206 | NS      | $3600.11       | 0.00%             | 2038-04-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| FNR 2006-95 SG V/R 10/25/36                            | FANNIE MAE REMICS SER 2006-95 CL SG V/R 8.64516000                                               | CUSIP: 31396K4K5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10525 | NS      | $12011.64      | 0.00%             | 2036-10-25      | Variable      | 8.65%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q05426 4% 01/01/42                             | FREDDIE MAC GOLD POOL P#Q05426 4.00000000                                                        | CUSIP: 3132GLVT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     69512 | NS      | $66829.26      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNW 2009-W1 A 6% 12/25/49                              | FANNIE MAE REMIC TRUST 2009-W1 SER 2009-W1 CL A 6.00000000                                       | CUSIP: 31398F7A3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    215968 | NS      | $218835.08     | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSX CORP 3.35% 09/15/49                                | CSX CORP REGD 3.35000000                                                                         | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    305000 | NS      | $219435.76     | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| OHIO ST UNIV 4.8% 06/01/11                             | OHIO ST UNIV REGD N/C OID B/E 4.80000000                                                         | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |   1102000 | NS      | $907030.19     | 0.01%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AM 3% 02/10/27                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P 3.00000000                                                 | CUSIP: 44891ABG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    675000 | NS      | $605758.53     | 0.00%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER &  5.4% 09/01/35                         | FLORIDA POWER & LIGHT CO REGD 5.40000000                                                         | CUSIP: 341081EU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | NS      | $688432.95     | 0.00%             | 2035-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNR 2014-11 VB 4.5% 04/25/42                           | FANNIE MAE REMICS SER 2014-11 CL VB 4.50000000                                                   | CUSIP: 3136AJGX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | NS      | $1463394.00    | 0.01%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOODG 2019-2A  2.76% 10/15/31                          | GOODGREEN 2019-2 SER 2019-2A CL A REGD 144A P/P 2.76000000                                       | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3022872 | NS      | $2599543.32    | 0.02%             | 2055-04-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY                                       | TENNESSEE VALLEY                0% STRIP 15/03/2032 USD 'A' 0.00000000                           | CUSIP: 88059E5J9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1514000 | NS      | $976960.35     | 0.01%             | 2032-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 6.625%10/15/36                         | ENERGY TRANSFER LP REGD 6.62500000                                                               | CUSIP: 29273RAF6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2000000 | NS      | $2004969.78    | 0.01%             | 2036-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| STACR 2021-HQA3  V/R 09/25/41                          | FREDDIE MAC STACR REMIC TRUST 2021-HQA3 SER 2021-HQA3 CL M1 V/R REGD 144A P/P 4.77768000         | CUSIP: 35564KJG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  24065935 | NS      | $22975334.61   | 0.15%             | 2041-09-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GR 3.8% 06/09/23                         | CREDIT SUISSE GROUP AG REGD SER WI 3.80000000                                                    | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   8500000 | NS      | $8276875.00    | 0.05%             | 2023-06-09      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0198 5.5% 09/01/38                            | FANNIE MAE POOL UMBS P#AD0198 5.50000000                                                         | CUSIP: 31418MGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    362134 | NS      | $374776.51     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM 5.6% 03/15/40                         | NEW YORK ST DORM AUTH ST PERSO REGD N/C B/E 5.60000000                                           | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    260000 | NS      | $269019.95     | 0.00%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN 3.625% 09/11/24                         | ANGLO AMERICAN CAPITAL REGD 144A P/P 3.62500000                                                  | CUSIP: 034863AS9<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    630000 | NS      | $609562.39     | 0.00%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHR 3860 PZ 5% 05/15/41                                | FREDDIE MAC REMICS SER 3860 CL PZ 5.00000000                                                     | CUSIP: 3137AAYT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1350916 | NS      | $1344639.28    | 0.01%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4653 3% 07/01/52                              | FANNIE MAE POOL UMBS P#MA4653 3.00000000                                                         | CUSIP: 31418EE30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15568744 | NS      | $13664722.68   | 0.09%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995656 7% 06/01/33                              | FANNIE MAE POOL UMBS P#995656 7.00000000                                                         | CUSIP: 31416CBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38107 | NS      | $39642.84      | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA8868 3% 02/01/51                              | FANNIE MAE POOL UMBS P#CA8868 3.00000000                                                         | CUSIP: 3140QG2A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1472883 | NS      | $1314882.78    | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2002-13 ST V/R 03/25/32                            | FANNIE MAE REMICS SER 2002-13 CL ST V/R 10.00000000                                              | CUSIP: 31392B5S1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       297 | NS      | $319.27        | 0.00%             | 2032-03-25      | Variable      | 10.00%                | No            |                  2 | On Loan: No      |
| CWL 2005-17 1AF5 V/R 03/25/36                          | CWABS ASSET-BACKED CERTIFICATES TRUST 2005-17 SER 2005-17 CL 1AF5 V/R REGD 5.56400000            | CUSIP: 126670QV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6815 | NS      | $6322.71       | 0.00%             | 2036-05-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3182 3.5% 11/01/47                            | FANNIE MAE POOL UMBS P#MA3182 3.50000000                                                         | CUSIP: 31418CRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2670900 | NS      | $2472124.47    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOFI 2020-A A2 2.54% 07/17/28                          | SOFI PROFESSIONAL LOAN PROGRAM 2020-ATRUST SER 2020-A CL A2FX REGD 144A P/P 2.54000000           | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5384223 | NS      | $4872275.67    | 0.03%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FNR 2002-37 Z 6.5% 06/25/32                            | FANNIE MAE REMICS SER 2002-37 CL Z 6.50000000                                                    | CUSIP: 31392DCF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10427 | NS      | $10655.82      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03777 5% 11/01/36                             | FREDDIE MAC GOLD POOL P#G03777 5.00000000                                                        | CUSIP: 3128M5Q60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31079 | NS      | $31774.47      | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 01/27/30                         | NATWEST GROUP PLC REGD V/R 5.07600000                                                            | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   7000000 | NS      | $6594220.85    | 0.04%             | 2030-01-27      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A91387 5% 03/01/40                             | FREDDIE MAC GOLD POOL P#A91387 5.00000000                                                        | CUSIP: 312939RG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    862157 | NS      | $874041.82     | 0.01%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3393 JO V/R 09/15/32                               | FREDDIE MAC REMICS SER 3393 CL JO V/R 0.00000000                                                 | CUSIP: 31397PGA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    524867 | NS      | $446843.42     | 0.00%             | 2032-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PLMRS 2018-2A A1 V/R 07/16/31                          | PALMER SQUARE CLO 2018-2 LTD SER 2018-2A CL A1A V/R REGD 144A P/P 5.17914000                     | CUSIP: 69688MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20000000 | NS      | $19669920.00   | 0.13%             | 2031-07-16      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4285 6% 11/20/38                             | GINNIE MAE II POOL P#4285 6.00000000                                                             | CUSIP: 36202EXN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1326 | NS      | $1354.85       | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CR1 3.796% 08/10/24                          | COMM 2014-CCRE19 MORTGAGE TRUST SER 2014-CR19 CL A5 REGD 3.79600000                              | CUSIP: 12592GBD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17769300 | NS      | $17184730.90   | 0.11%             | 2047-08-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL INSUR 8.3% 07/01/25                         | PRUDENTIAL INSURANCE CO REGD P/P 8.30000000                                                      | CUSIP: 743917AH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1691000 | NS      | $1787114.58    | 0.01%             | 2025-07-01      | Fixed         | 8.30%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18 4.125% 09/20/31                         | BRITISH AIR 18-1 A PTT REGD 144A P/P 4.12500000                                                  | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   1967050 | NS      | $1637350.12    | 0.01%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLD 4.45% 07/15/45                         | BLACKSTONE HOLDINGS FINA REGD P/P 4.45000000                                                     | CUSIP: 09256BAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | NS      | $137139.72     | 0.00%             | 2045-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07770 5% 10/01/39                             | FREDDIE MAC GOLD POOL P#G07770 5.00000000                                                        | CUSIP: 3128M96F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    223799 | NS      | $228443.52     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G06493 4.5% 05/01/41                           | FREDDIE MAC GOLD POOL P#G06493 4.50000000                                                        | CUSIP: 3128M8RN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    791679 | NS      | $785697.84     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4721 4.5% 09/20/47                         | GINNIE MAE II POOL P#MA4721 4.50000000                                                           | CUSIP: 36179TG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3108541 | NS      | $3068878.39    | 0.02%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP 2.875% 01/15/26                         | AIR LEASE CORP REGD MTN 2.87500000                                                               | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1300000 | NS      | $1202832.22    | 0.01%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHR 2586 WI 6.5% 03/15/33                              | FREDDIE MAC REMICS SER 2586 CL WI 6.50000000                                                     | CUSIP: 31393MWB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9978 | NS      | $1700.83       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CO5547 V/R 05/20/72                          | GINNIE MAE II POOL P#CO5547 V/R 6.18000000                                                       | CUSIP: 3617FHEU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9725202 | NS      | $10092049.04   | 0.06%             | 2072-05-20      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4224 7% 08/20/38                             | GINNIE MAE II POOL P#4224 7.00000000                                                             | CUSIP: 36202EVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7698 | NS      | $8086.73       | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHRR R006 ZA 6% 04/15/36                               | FREDDIE MAC REFERENCE REMIC SER R006 CL ZA 6.00000000                                            | CUSIP: 31396JT21<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    147633 | NS      | $153011.95     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECU 3.65% 07/14/23                         | BLACKSTONE SECURED LEND REGD 3.65000000                                                          | CUSIP: 09261LAD0<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |   2110000 | NS      | $2090304.84    | 0.01%             | 2023-07-14      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHR 1591 PV 6.25% 10/15/23                             | FREDDIE MAC REMICS SER 1591 CL PV 6.25000000                                                     | CUSIP: 3133T1WB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       390 | NS      | $388.57        | 0.00%             | 2023-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| EVERGY INC 2.9% 09/15/29                               | EVERGY INC REGD 2.90000000                                                                       | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |   2190000 | NS      | $1891149.99    | 0.01%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#BE8354 4% 03/01/48                              | FANNIE MAE POOL UMBS P#BE8354 4.00000000                                                         | CUSIP: 3140FUH84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    864819 | NS      | $824596.37     | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-98 FB V/R 06/25/37                            | FANNIE MAE REMICS SER 2007-98 CL FB V/R 4.83871000                                               | CUSIP: 31396XJ70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12133 | NS      | $12392.72      | 0.00%             | 2037-06-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY 2.85% 08/15/26                         | DOMINION ENERGY INC REGD SER D 2.85000000                                                        | CUSIP: 25746UCK3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    304000 | NS      | $280216.45     | 0.00%             | 2026-08-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FHMS K066 A2 3.117% 06/25/27                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K066 CL A2 3.11700000           | CUSIP: 3137F2LJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4263000 | NS      | $4032051.12    | 0.03%             | 2027-06-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08457 4.5% 08/01/41                           | FREDDIE MAC GOLD POOL P#G08457 4.50000000                                                        | CUSIP: 3128MJQK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    223609 | NS      | $221919.07     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL RETAIL  3.9% 06/15/24                         | NATIONAL RETAIL PROP INC REGD 3.90000000                                                         | CUSIP: 637417AG1<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |   1310000 | NS      | $1278790.14    | 0.01%             | 2024-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ0212 2.5% 08/01/50                            | FANNIE MAE POOL UMBS P#BQ0212 2.50000000                                                         | CUSIP: 3140KKGW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2697181 | NS      | $2305869.57    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08624 4% 01/01/45                             | FREDDIE MAC GOLD POOL P#G08624 4.00000000                                                        | CUSIP: 3128MJVS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    138383 | NS      | $132697.89     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA 3.95% 04/21/25                         | BANK OF AMERICA CORP REGD MTN SER L 3.95000000                                                   | CUSIP: 06051GFP9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3850000 | NS      | $3746850.92    | 0.02%             | 2025-04-21      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#975376 5.5% 06/01/38                            | FANNIE MAE POOL UMBS P#975376 5.50000000                                                         | CUSIP: 31414TCM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    415720 | NS      | $431103.00     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H21 CF V/R 05/20/61                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H21 CL CF V/R 4.54157000                       | CUSIP: 38375BWA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10561 | NS      | $10466.27      | 0.00%             | 2061-05-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A47999 5% 08/01/35                             | FREDDIE MAC GOLD POOL P#A47999 5.00000000                                                        | CUSIP: 3128K83G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    497611 | NS      | $508724.52     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DO 2.202% 03/15/34                         | NEW YORK ST DORM AUTH ST PERSO REGD N/C B/E 2.20200000                                           | CUSIP: 64990FE42<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   4165000 | NS      | $3175670.06    | 0.02%             | 2034-03-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q45458 4% 08/01/46                             | FREDDIE MAC GOLD POOL P#Q45458 4.00000000                                                        | CUSIP: 3132WKB49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    927540 | NS      | $889434.18     | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LPMS 2021-2A A 1.75% 01/15/29                          | LP LMS 2021-2 ASSET SECURITIZATION TRUST SER 2021-2A CL A REGD 144A P/P 1.75000000               | CUSIP: 50214JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3929830 | NS      | $3797939.87    | 0.02%             | 2029-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SDART 2021-2 C 0.9% 05/15/24                           | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-2 SER 2021-2 CL C REGD 0.90000000                    | CUSIP: 80286XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | NS      | $3891144.80    | 0.02%             | 2026-06-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| FHR 3153 EO ZCP 05/15/36                               | FREDDIE MAC REMICS SER 3153 CL EO ZCP 0.00000000                                                 | CUSIP: 31396RKM8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26267 | NS      | $21923.60      | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019 4.55% 08/25/31                         | UNITED AIR 2019-1 A PTT REGD SER A 4.55000000                                                    | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1780453 | NS      | $1495718.19    | 0.01%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHR 3611 PO ZCP 07/15/34                               | FREDDIE MAC REMICS SER 3611 CL PO ZCP 0.00000000                                                 | CUSIP: 31398LSE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     53837 | NS      | $45482.17      | 0.00%             | 2034-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL1  S/UP 12/26/50                          | VCAT 2021-NPL1 LLC SER 2021-NPL1 CL A1 S/UP REGD 144A P/P 2.28910000                             | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1471104 | NS      | $1388660.33    | 0.01%             | 2050-12-26      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| UMBS P#995425 6% 01/01/24                              | FANNIE MAE POOL UMBS P#995425 6.00000000                                                         | CUSIP: 31416BYW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       984 | NS      | $980.47        | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7767 2.5% 12/20/51                         | GINNIE MAE II POOL P#MA7767 2.50000000                                                           | CUSIP: 36179WTY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7873174 | NS      | $6829296.50    | 0.04%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C03466 5.5% 03/01/40                           | FREDDIE MAC GOLD POOL P#C03466 5.50000000                                                        | CUSIP: 31292KZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11735 | NS      | $12182.66      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6524 3.5% 10/01/42                            | FANNIE MAE POOL UMBS P#AB6524 3.50000000                                                         | CUSIP: 31417DHA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    293493 | NS      | $274570.63     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNA 2018-M3 A2 V/R 02/25/30                            | FANNIE MAE-ACES SER 2018-M3 CL A2 V/R 3.06900000                                                 | CUSIP: 3136B1LF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2455064 | NS      | $2258364.11    | 0.01%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| SAINT JOHNS CN 2.538% 10/01/30                         | SAINT JOHNS CNTY FL INDL DEV A REGD B/E AGM 2.53800000                                           | CUSIP: 790417AQ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  10000000 | NS      | $8097576.00    | 0.05%             | 2030-10-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09044 3.5% 07/01/43                           | FREDDIE MAC GOLD POOL P#C09044 3.50000000                                                        | CUSIP: 31292SBM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    219816 | NS      | $205759.13     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#782760 V/R 11/01/36                            | FREDDIE MAC NON GOLD POOL P#782760 V/R 4.30300000                                                | CUSIP: 31349UB56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39261 | NS      | $40025.10      | 0.00%             | 2036-11-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7473 3% 01/01/43                              | FANNIE MAE POOL UMBS P#AB7473 3.00000000                                                         | CUSIP: 31417EJT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    666918 | NS      | $606823.09     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARMX 2019-1 A 3.26% 08/15/24                          | CARMAX AUTO OWNER TRUST 2019-1 SER 2019-1 CL A4 REGD 3.26000000                                  | CUSIP: 14315NAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    888501 | NS      | $886563.39     | 0.01%             | 2024-08-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| CRAIT 2021-1 A1X V/R 03/24/23                          | CONSUMER RECEIVABLES ASSET INVESTMENT TRUST 2 SER 2021-1 CL A1X V/R REGD 144A P/P 8.20760000     | CUSIP: 21056K104<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3024594 | NS      | $3024581.88    | 0.02%             | 2024-03-24      | Variable      | 8.21%                 | No            |                  2 | On Loan: No      |
| GCAR 2021-1A D 1.68% 01/15/27                          | GLS AUTO RECEIVABLES ISSUER TRUST 2021-1 SER 2021-1A CL D REGD 144A P/P 1.68000000               | CUSIP: 36261AAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | NS      | $1133229.36    | 0.01%             | 2027-01-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TO 2.574% 04/01/31                         | BAY AREA CA TOLL AUTH TOLL BRI REGD N/C B/E 2.57400000                                           | CUSIP: 072024WS7<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |   6700000 | NS      | $5869360.80    | 0.04%             | 2031-04-01      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| FHR 1709 FA V/R 03/15/24                               | FREDDIE MAC REMICS SER 1709 CL FA V/R 2.94000000                                                 | CUSIP: 3133T4U79<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        27 | NS      | $27.25         | 0.00%             | 2024-03-15      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF N 5.647% 11/01/40                         | PORT AUTH OF NEW YORK & NEW JE REGD N/C B/E GO OF A 5.64700000                                   | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   1260000 | NS      | $1315758.40    | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FHR 3704 ET 7.5% 12/15/36                              | FREDDIE MAC REMICS SER 3704 CL ET 7.50000000                                                     | CUSIP: 3137A0YK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    216849 | NS      | $234502.21     | 0.00%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS &  3.5% 08/15/46                         | BALTIMORE GAS & ELECTRIC REGD 3.50000000                                                         | CUSIP: 059165EH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | NS      | $278096.15     | 0.00%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOL 4.6% 04/06/27                         | KEYSIGHT TECHNOLOGIES REGD 4.60000000                                                            | CUSIP: 49338LAE3<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |  13000000 | NS      | $12613712.02   | 0.08%             | 2027-04-06      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GNR 2018-160 PA 3.5% 07/20/46                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-160 CL PA 3.50000000                           | CUSIP: 38381AH74<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    953696 | NS      | $925516.34     | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TPMT 2017-6 A1 V/R 10/25/57                            | TOWD POINT MORTGAGE TRUST 2017-6 SER 2017-6 CL A1 V/R REGD 144A P/P 2.75000000                   | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2490905 | NS      | $2375456.65    | 0.02%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 01/27/32                         | GOLDMAN SACHS GROUP INC REGD V/R 1.99200000                                                      | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   7395000 | NS      | $5633633.46    | 0.04%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES 2.35% 01/15/32                         | QUANTA SERVICES INC REGD 2.35000000                                                              | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   2965000 | NS      | $2251412.89    | 0.01%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04949 6.5% 11/01/37                           | FREDDIE MAC GOLD POOL P#G04949 6.50000000                                                        | CUSIP: 3128M6ZN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22098 | NS      | $23039.42      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 3852 CE 4.5% 05/15/41                              | FREDDIE MAC REMICS SER 3852 CL CE 4.50000000                                                     | CUSIP: 3137AB5N7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    399163 | NS      | $390074.64     | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA 6.582% 05/15/39                         | LOS ANGELES CA DEPT OF ARPTS REGD N/C B/E 6.58200000                                             | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1585000 | NS      | $1727678.21    | 0.01%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN 4.45% 11/21/44                         | PARKER-HANNIFIN CORP REGD MTN 4.45000000                                                         | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    333000 | NS      | $285144.81     | 0.00%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| HART 2021-C A3 0.74% 01/15/25                          | HYUNDAI AUTO RECEIVABLES TRUST 2021-C SER 2021-C CL A3 REGD 0.74000000                           | CUSIP: 44935FAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3887000 | NS      | $3671480.23    | 0.02%             | 2026-05-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0934 2% 04/01/51                              | FREDDIE MAC POOL UMBS P#SD0934 2.00000000                                                        | CUSIP: 3132DNBB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3946549 | NS      | $3224721.80    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM4830 3.5% 02/01/47                            | FANNIE MAE POOL UMBS P#BM4830 3.50000000                                                         | CUSIP: 3140J9LL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3045809 | NS      | $2842939.00    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD OPERAT 2.85% 01/15/32                         | SAFEHOLD OPERATING PARTN REGD 2.85000000                                                         | CUSIP: 78646UAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4308000 | NS      | $3269533.47    | 0.02%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| RALI 2002-QS16 A V/R 10/25/49                          | RALI SERIES 2002-QS16 TRUST SER 2002-QS16 CL A3 V/R REGD 7.44633400                              | CUSIP: 76110GW49<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       102 | NS      | $0.10          | 0.00%             | 2049-10-25      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM7516 3.55% 02/01/30                           | FANNIE MAE POOL UMBS P#AM7516 3.55000000                                                         | CUSIP: 3138L8K60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | NS      | $1416653.27    | 0.01%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHR 2430 WF 6.5% 03/15/32                              | FREDDIE MAC REMICS SER 2430 CL WF 6.50000000                                                     | CUSIP: 31339NW36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20226 | NS      | $21099.62      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SAMI 2005-AR5 A3 V/R 07/19/35                          | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2005-AR5 SER 2005-AR5 CL A3 V/R REGD 4.83914000   | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    216249 | NS      | $192033.49     | 0.00%             | 2035-07-19      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC 2.65% 12/01/31                         | DOLLAR TREE INC REGD 2.65000000                                                                  | CUSIP: 256746AJ7<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |  15340000 | NS      | $12407420.29   | 0.08%             | 2031-12-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GNR 2008-7 SP V/R 10/20/37                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-7 CL SP V/R 4.69428000                         | CUSIP: 38375PQ61<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10932 | NS      | $9895.87       | 0.00%             | 2037-10-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHR 3077 TO ZCP 04/15/35                               | FREDDIE MAC REMICS SER 3077 CL TO ZCP 0.00000000                                                 | CUSIP: 31396FZ71<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12047 | NS      | $11475.98      | 0.00%             | 2035-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CO 3.734% 09/25/40                         | BAT CAPITAL CORP REGD 3.73400000                                                                 | CUSIP: 05526DBT1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1240000 | NS      | $841987.61     | 0.01%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| FNR 1994-63 PK 7% 04/25/24                             | FANNIE MAE REMICS SER 1994-63 CL PK 7.00000000                                                   | CUSIP: 31359HNW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5345 | NS      | $5362.62       | 0.00%             | 2024-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 3085 WF V/R 08/15/35                               | FREDDIE MAC REMICS SER 3085 CL WF V/R 5.11786000                                                 | CUSIP: 31396FSM6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25219 | NS      | $25216.59      | 0.00%             | 2035-08-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q42018 3.5% 07/01/46                           | FREDDIE MAC GOLD POOL P#Q42018 3.50000000                                                        | CUSIP: 3132WFG45<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1537734 | NS      | $1428775.27    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1K0046 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1K0046 V/R 4.48000000                                                | CUSIP: 3128NUBP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20591 | NS      | $20350.01      | 0.00%             | 2036-10-01      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN S 4.4% 02/12/52                         | UNITED MEXICAN STATES REGD 4.40000000                                                            | CUSIP: 91087BAS9<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   4507000 | NS      | $3313397.85    | 0.02%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNS 345 6 V/R 12/25/33                                 | FANNIE MAE INTEREST STRIP SER 345 CL 6 V/R 5.00000000                                            | CUSIP: 3136FCCH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5649 | NS      | $795.24        | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-H11 LI V/R 05/20/67                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H11 CL LI V/R 1.81362000                       | CUSIP: 38376R3Z7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8460365 | NS      | $719621.70     | 0.00%             | 2067-05-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8042 2.5% 05/20/52                         | GINNIE MAE II POOL P#MA8042 2.50000000                                                           | CUSIP: 36179W5B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1999999 | NS      | $1732704.65    | 0.01%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP5502 2.5% 06/01/50                            | FANNIE MAE POOL UMBS P#BP5502 2.50000000                                                         | CUSIP: 3140KDDG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    977482 | NS      | $831770.77     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER C 1.5% 01/31/28                         | AMERICAN TOWER CORP REGD 1.50000000                                                              | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2660000 | NS      | $2200895.12    | 0.01%             | 2028-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM7041 3.5% 02/01/46                            | FANNIE MAE POOL UMBS P#BM7041 3.50000000                                                         | CUSIP: 3140JBZF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1121624 | NS      | $1047563.74    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-C8 3.126% 03/15/27                          | CSAIL 2017-C8 COMMERCIAL MORTGAGE TRUST SER 2017-C8 CL A3 REGD 3.12658000                        | CUSIP: 12595BAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15024970 | NS      | $13491331.89   | 0.09%             | 2050-06-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXIC 6.35% 02/12/48                         | PETROLEOS MEXICANOS REGD SER WI 6.35000000                                                       | CUSIP: 71654QCL4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   4537000 | NS      | $2773241.25    | 0.02%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| CMLTI 2004-UST1  V/R 08/25/34                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2004-UST1 CL A6 V/R REGD 3.91115700                        | CUSIP: 17307GLD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5150 | NS      | $4607.02       | 0.00%             | 2034-08-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FHR 3793 AB 3.5% 01/15/26                              | FREDDIE MAC REMICS SER 3793 CL AB 3.50000000                                                     | CUSIP: 3137A5DZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    402341 | NS      | $394021.20     | 0.00%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2011-75 SM V/R 05/20/41                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-75 CL SM V/R 2.24714000                        | CUSIP: 38377WFA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    147734 | NS      | $8637.14       | 0.00%             | 2041-05-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A1 1A V/R 02/25/37                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 SER 2007-A1 CL 1A3 V/R REGD 3.49181200               | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13930 | NS      | $13335.16      | 0.00%             | 2037-02-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNR 1993-225 UB 6.5% 12/25/23                          | FANNIE MAE REMICS SER 1993-225 CL UB 6.50000000                                                  | CUSIP: 31359GDE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       344 | NS      | $344.33        | 0.00%             | 2023-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 03/11/27                         | BANK OF AMERICA CORP REGD V/R SER N 1.65800000                                                   | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    950000 | NS      | $840468.38     | 0.01%             | 2027-03-11      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| BPCE SA 1% 01/20/26                                    | BPCE SA REGD 144A P/P 1.00000000                                                                 | CUSIP: 05578AAP3<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   3225000 | NS      | $2827162.26    | 0.02%             | 2026-01-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ANZ NEW ZEALAND 3.45% 01/21/28                         | ANZ NEW ZEALAND INTL/LDN REGD 144A P/P 3.45000000                                                | CUSIP: 00182EBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    500000 | NS      | $458708.48     | 0.00%             | 2028-01-21      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHR 2720 PC 5% 12/15/23                                | FREDDIE MAC REMICS SER 2720 CL PC 5.00000000                                                     | CUSIP: 31394MYB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1370 | NS      | $1363.83       | 0.00%             | 2023-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN S 4.6% 02/10/48                         | UNITED MEXICAN STATES REGD 4.60000000                                                            | CUSIP: 91087BAD2<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   1482000 | NS      | $1142882.25    | 0.01%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2707 3% 08/01/36                              | FANNIE MAE POOL UMBS P#MA2707 3.00000000                                                         | CUSIP: 31418CAH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    538566 | NS      | $499646.90     | 0.00%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH C 4.35% 04/15/47                         | RAYTHEON TECH CORP REGD SER WI 4.35000000                                                        | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    970000 | NS      | $824962.39     | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS P#896463 V/R 10/01/34                             | FANNIE MAE POOL UMBS P#896463 V/R 4.32000000                                                     | CUSIP: 31410S5Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18479 | NS      | $18687.33      | 0.00%             | 2034-10-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T2 1A 7.5% 11/25/43                          | FANNIE MAE GRANTOR TRUST 2004-T2 SER 2004-T2 CL 1A4 7.50000000                                   | CUSIP: 31393X7D3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    120072 | NS      | $124752.45     | 0.00%             | 2043-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN9486 3.57% 06/01/28                           | FANNIE MAE POOL UMBS P#AN9486 3.57000000                                                         | CUSIP: 3138LNRG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8361000 | NS      | $8004366.65    | 0.05%             | 2028-06-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERA 3.625% 03/01/41                         | SOCIETE GENERALE REGD 144A P/P 3.62500000                                                        | CUSIP: 83368RBB7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   6000000 | NS      | $3893897.46    | 0.02%             | 2041-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPE 4.42% 12/15/46                         | KEURIG DR PEPPER INC REGD 4.42000000                                                             | CUSIP: 26138EAY5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   4032000 | NS      | $3311486.76    | 0.02%             | 2046-12-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T1 1A 6.5% 01/25/44                          | FANNIE MAE GRANTOR TRUST 2004-T1 SER 2004-T1 CL 1A2 6.50000000                                   | CUSIP: 31393XFT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13422 | NS      | $13789.15      | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4184 4% 01/01/45                              | FANNIE MAE POOL UMBS P#AS4184 4.00000000                                                         | CUSIP: 3138WDUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2722158 | NS      | $2607407.40    | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AK4025 3.5% 02/01/42                            | FANNIE MAE POOL UMBS P#AK4025 3.50000000                                                         | CUSIP: 3138E8PK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    164694 | NS      | $154170.49     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2008-42 AO ZCP 09/25/36                            | FANNIE MAE REMICS SER 2008-42 CL AO ZCP 0.00000000                                               | CUSIP: 31397LPC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7495 | NS      | $6161.30       | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CARMX 2021-2 C 1.34% 02/16/27                          | CARMAX AUTO OWNER TRUST 2021-2 SER 2021-2 CL C REGD 1.34000000                                   | CUSIP: 14314QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4180000 | NS      | $3778219.65    | 0.02%             | 2027-02-16      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| DRB 2017-C A2B 2.81% 11/25/42                          | LAUREL ROAD PRIME STUDENT LOAN TRUST 2017-C SER 2017-C CL A2B REGD 144A P/P 2.81000000           | CUSIP: 518889AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    349679 | NS      | $342831.38     | 0.00%             | 2042-11-25      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INT 3.5% 04/06/28                         | ENEL FINANCE INTL NV REGD 144A P/P 3.50000000                                                    | CUSIP: 29278GAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   5845000 | NS      | $5113875.96    | 0.03%             | 2028-04-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC3740 5.5% 09/01/39                            | FANNIE MAE POOL UMBS P#AC3740 5.50000000                                                         | CUSIP: 31417NEN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22169 | NS      | $22288.58      | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A46987 5.5% 07/01/35                           | FREDDIE MAC GOLD POOL P#A46987 5.50000000                                                        | CUSIP: 3128K7XQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42835 | NS      | $44114.63      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIO 2.6% 06/15/31                         | COX COMMUNICATIONS INC REGD 144A P/P 2.60000000                                                  | CUSIP: 224044CN5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15920000 | NS      | $12677964.75   | 0.08%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| WFCM 2020-C58  1.81% 09/15/30                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C58 SER 2020-C58 CL A3 REGD 1.81000000                | CUSIP: 95002UAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23000000 | NS      | $18284429.60   | 0.12%             | 2053-07-15      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0109 4% 01/01/49                              | FREDDIE MAC POOL UMBS P#SD0109 4.00000000                                                        | CUSIP: 3132DMDN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3086734 | NS      | $2943223.05    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SRFC 2019-3A B 2.75% 08/20/36                          | SIERRA TIMESHARE 2019-3 RECEIVABLES FUNDING LLC SER 2019-3A CL B REGD 144A P/P 2.75000000        | CUSIP: 82652NAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1130779 | NS      | $1066133.73    | 0.01%             | 2036-08-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9732 2.5% 12/01/51                            | FANNIE MAE POOL UMBS P#FM9732 2.50000000                                                         | CUSIP: 3140XDY67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13674194 | NS      | $11641977.28   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SEMT 2004-10 A1A V/R 11/20/34                          | SEQUOIA MORTGAGE TRUST 2004-10 SER 2004-10 CL A1A V/R REGD 4.97286000                            | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19879 | NS      | $17579.54      | 0.00%             | 2034-11-20      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS SER 2007-1                           | FANNIE MAE REMICS SER 2007-109  CL AI V/R 2.01129000                                             | CUSIP: 31396XY73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98302 | NS      | $6077.22       | 0.00%             | 2037-12-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY  4.45% 06/20/25                         | NEXTERA ENERGY CAPITAL REGD 4.45000000                                                           | CUSIP: 65339KCG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5994000 | NS      | $5919821.79    | 0.04%             | 2025-06-20      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GRO 3.5% 08/15/39                         | UNITEDHEALTH GROUP INC REGD 3.50000000                                                           | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1675000 | NS      | $1368951.44    | 0.01%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 2835 QO ZCP 12/15/32                               | FREDDIE MAC REMICS SER 2835 CL QO ZCP 0.00000000                                                 | CUSIP: 31395FEZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9713 | NS      | $8216.33       | 0.00%             | 2032-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN E 6.95% 01/15/38                         | KINDER MORGAN ENER PART REGD MTN 6.95000000                                                      | CUSIP: 494550AW6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8490000 | NS      | $8982560.42    | 0.06%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM7037 V/R 03/01/32                             | FANNIE MAE POOL UMBS P#BM7037 V/R 1.75400000                                                     | CUSIP: 3140JBZB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14996517 | NS      | $12077800.48   | 0.08%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| SDART 2022-1 C 2.56% 03/15/25                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-1 SER 2022-1 CL C REGD 2.56000000                    | CUSIP: 80286EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6590000 | NS      | $6295713.67    | 0.04%             | 2028-04-17      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| UMBS P#459097 7% 01/01/29                              | FANNIE MAE POOL UMBS P#459097 7.00000000                                                         | CUSIP: 31381E7J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       477 | NS      | $475.99        | 0.00%             | 2029-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATI 2.75% 04/06/30                         | SHELL INTERNATIONAL FIN REGD 2.75000000                                                          | CUSIP: 822582CG5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   3300000 | NS      | $2895435.64    | 0.02%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| KSBA 2012-2 A V/R 08/25/38                             | KGS-ALPHA SBA COOF TRUST 2012-2 SER 2012-2 CL A V/R 144A P/P 0.71555700                          | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1101903 | NS      | $17192.77      | 0.00%             | 2038-08-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| GNR 2007-36 HO ZCP 06/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-36 CL HO ZCP 0.00000000                        | CUSIP: 38375KKT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11088 | NS      | $9957.54       | 0.00%             | 2037-06-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLOR 4.2% 07/15/48                         | DUKE ENERGY FLORIDA LLC REGD 4.20000000                                                          | CUSIP: 26444HAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3636000 | NS      | $3047419.77    | 0.02%             | 2048-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7052 2.5% 12/20/50                         | GINNIE MAE II POOL P#MA7052 2.50000000                                                           | CUSIP: 36179VZR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4068778 | NS      | $3542710.96    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3172 3% 10/20/45                           | GINNIE MAE II POOL P#MA3172 3.00000000                                                           | CUSIP: 36179RQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    964591 | NS      | $878101.14     | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SDART 2022-5 B 4.43% 04/15/25                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 SER 2022-5 CL B REGD 4.43000000                    | CUSIP: 80287HAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3463000 | NS      | $3367310.73    | 0.02%             | 2027-03-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNW 2007-W7 1A4 V/R 07/25/37                           | FANNIE MAE REMIC TRUST 2007-W7 SER 2007-W7 CL 1A4 V/R 15.08316000                                | CUSIP: 31396WVA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8904 | NS      | $10337.09      | 0.00%             | 2037-07-25      | Variable      | 15.08%                | No            |                  2 | On Loan: No      |
| FNMA P745948  6.50% 10/01/36                           | FNMA P745948  6.50% 10/01/36 6.50000000                                                          | CUSIP: 31403DWH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16230 | NS      | $17018.52      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMP 3% 04/22/26                         | WELLS FARGO & COMPANY REGD 3.00000000                                                            | CUSIP: 949746RW3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2125000 | NS      | $1987534.98    | 0.01%             | 2026-04-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2006-65 SA V/R 11/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-65 CL SA V/R 2.44714000                        | CUSIP: 38374N3Q8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     69472 | NS      | $1490.01       | 0.00%             | 2036-11-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMO 5.319% 11/15/38                         | DUPONT DE NEMOURS INC REGD 5.31900000                                                            | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   5665000 | NS      | $5444395.04    | 0.03%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/N 3.4% 05/01/30                         | NXP BV/NXP FDG/NXP USA REGD 3.40000000                                                           | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2970000 | NS      | $2566508.24    | 0.02%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK  1.96% 06/27/30                         | NIAGARA MOHAWK POWER REGD 144A P/P 1.96000000                                                    | CUSIP: 65364UAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2150000 | NS      | $1699545.48    | 0.01%             | 2030-06-27      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FNA 2018-M10 A2 V/R 07/25/28                           | FANNIE MAE-ACES SER 2018-M10 CL A2 V/R 3.35800000                                                | CUSIP: 3136B2HA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6977000 | NS      | $6642825.42    | 0.04%             | 2028-07-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ9278 3.5% 12/01/41                            | FANNIE MAE POOL UMBS P#AJ9278 3.50000000                                                         | CUSIP: 3138E2JY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    185158 | NS      | $173318.09     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 1993-165 SK V/R 09/25/23                           | FANNIE MAE REMICS SER 1993-165 CL SK V/R 12.50000000                                             | CUSIP: 31359D5S8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       107 | NS      | $107.82        | 0.00%             | 2023-09-25      | Variable      | 12.50%                | No            |                  2 | On Loan: No      |
| GNMA II P#AU0744 3.5% 06/20/46                         | GINNIE MAE II POOL P#AU0744 3.50000000                                                           | CUSIP: 36194MZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1803112 | NS      | $1670782.43    | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL  1.8% 10/15/25                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P 1.80000000                                                 | CUSIP: 44891ABN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1190000 | NS      | $1070307.44    | 0.01%             | 2025-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q44963 3.5% 12/01/46                           | FREDDIE MAC GOLD POOL P#Q44963 3.50000000                                                        | CUSIP: 3132WJQR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3070611 | NS      | $2853378.69    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4281 2% 03/01/51                              | FANNIE MAE POOL UMBS P#MA4281 2.00000000                                                         | CUSIP: 31418DXK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22115697 | NS      | $18061328.89   | 0.12%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08681 3.5% 12/01/45                           | FREDDIE MAC GOLD POOL P#G08681 3.50000000                                                        | CUSIP: 3128MJXK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1512676 | NS      | $1407189.41    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2008-44 PO ZCP 05/25/38                            | FANNIE MAE REMICS SER 2008-44 CL PO ZCP 0.00000000                                               | CUSIP: 31397LMA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1214 | NS      | $1005.46       | 0.00%             | 2038-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#920954 V/R 01/01/37                             | FANNIE MAE POOL UMBS P#920954 V/R 4.78900000                                                     | CUSIP: 31412CE30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19621 | NS      | $19744.94      | 0.00%             | 2037-01-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC 2.4% 02/01/31                             | WP CAREY INC REGD 2.40000000                                                                     | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1800000 | NS      | $1434185.44    | 0.01%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| TPMT 2021-SJ1 A1 V/R 06/25/24                          | TOWD POINT MORTGAGE TRUST 2021-SJ1 SER 2021-SJ1 CL A1 V/R REGD 144A P/P 2.25000000               | CUSIP: 89180FCD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8882007 | NS      | $8226681.21    | 0.05%             | 2068-07-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNR 2003-75 ZX 6% 09/16/33                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-75 CL ZX 6.00000000                            | CUSIP: 38374CDG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     57769 | NS      | $58566.10      | 0.00%             | 2033-09-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G1554 V/R 02/01/37                            | FREDDIE MAC NON GOLD POOL P#1G1554 V/R 2.33500000                                                | CUSIP: 3128QJWP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14424 | NS      | $14123.31      | 0.00%             | 2037-02-01      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| TPMT 2020-4 A1 1.75% 08/25/30                          | TOWD POINT MORTGAGE TRUST 2020-4 SER 2020-4 CL A1 REGD 144A P/P 1.75000000                       | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2512204 | NS      | $2219147.55    | 0.01%             | 2060-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FREMF 2014-K40 C V/R 09/25/24                          | FREMF 2014-K40 MORTGAGE TRUST SER 2014-K40 CL C V/R REGD 4.07367100                              | CUSIP: 30285FAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2273000 | NS      | $2181917.03    | 0.01%             | 2047-11-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.5% 02/15/46                             | UNITED STATES TREASURY BOND 2.50000000                                                           | CUSIP: 912810RQ3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  14435000 | NS      | $10800312.04   | 0.07%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AHOLD FINANCE  6.875% 05/01/29                         | AHOLD FINANCE USA LLC REGD 6.87500000                                                            | CUSIP: 008685AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3280000 | NS      | $3434143.34    | 0.02%             | 2029-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC 2.55% 12/01/33                                | AT&T INC REGD 2.55000000                                                                         | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   5020000 | NS      | $3857918.94    | 0.02%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P50531 6.5% 01/01/37                           | FREDDIE MAC GOLD POOL P#P50531 6.50000000                                                        | CUSIP: 31288LSU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6469 | NS      | $6283.20       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERG 7.375% 10/15/45                         | ENBRIDGE ENERGY PARTNERS REGD 7.37500000                                                         | CUSIP: 29250RAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2600000 | NS      | $2904131.65    | 0.02%             | 2045-10-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MEMORIAL HEALT 3.447% 11/01/49                         | MEMORIAL HEALTH SERVICES REGD 3.44700000                                                         | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |   3040000 | NS      | $2205345.02    | 0.01%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U90402 3.5% 11/01/42                           | FREDDIE MAC GOLD POOL P#U90402 3.50000000                                                        | CUSIP: 3132H3NT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     78999 | NS      | $73856.63      | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SDART 2022-4 A 4.05% 10/15/23                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-4 SER 2022-4 CL A2 REGD 4.05000000                   | CUSIP: 80286FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7159332 | NS      | $7131163.21    | 0.05%             | 2025-07-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A86141 5% 05/01/39                             | FREDDIE MAC GOLD POOL P#A86141 5.00000000                                                        | CUSIP: 312932ZE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4611 | NS      | $4659.44       | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MRFC 2000-TBC2 A V/R 06/15/30                          | MRFC MORTGAGE PASS-THROUGH TRUST SERIES 1999-TBC2 SER 2000-TBC2 CL A1 V/R REGD 4.79786000        | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     69194 | NS      | $66695.30      | 0.00%             | 2030-06-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL R 6.25% 03/15/38                         | CANADIAN NATL RESOURCES REGD 6.25000000                                                          | CUSIP: 136385AL5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   5000000 | NS      | $4946593.65    | 0.03%             | 2038-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHG 8 ZA 7% 03/25/23                                   | FHLMC-GNMA SER 8 CL ZA 7.00000000                                                                | CUSIP: 3129145M2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         8 | NS      | $8.02          | 0.00%             | 2023-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LMT 2006-2 1A1 V/R 04/25/36                            | LEHMAN MORTGAGE TRUST 2006-2 SER 2006-2 CL 1A1 V/R REGD 5.90879000                               | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41134 | NS      | $27008.49      | 0.00%             | 2036-04-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & CO 4.9% 11/17/45                         | WELLS FARGO & COMPANY REGD MTN SER GMTN 4.90000000                                               | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1571000 | NS      | $1352428.78    | 0.01%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| LENNOX INTERNATI 1.7% 08/01/27                         | LENNOX INTERNATIONAL INC REGD 1.70000000                                                         | CUSIP: 526107AF4<br>LEI: S7DWAC87RDMPBF77GJ92 | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1714350.96    | 0.01%             | 2027-08-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#AI2465 4.5% 05/01/41                            | FANNIE MAE POOL UMBS P#AI2465 4.50000000                                                         | CUSIP: 3138AFW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3305365 | NS      | $3276685.31    | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 10/27/28                             | CITIGROUP INC REGD V/R 3.52000000                                                                | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3846000 | NS      | $3509076.05    | 0.02%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| VENDE 1996-1 1 6.75% 02/15/26                          | VENDEE MORTGAGE TRUST 1996-1 SER 1996-1 CL 1Z 6.75000000                                         | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34994 | NS      | $35688.68      | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNR 2011-31 DB 3.5% 04/25/31                           | FANNIE MAE REMICS SER 2011-31 CL DB 3.50000000                                                   | CUSIP: 31397SHK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    386562 | NS      | $371420.92     | 0.00%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY  5.55% 01/15/28                         | DIGITAL REALTY TRUST LP REGD 5.55000000                                                          | CUSIP: 25389JAV8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5673000 | NS      | $5710507.61    | 0.04%             | 2028-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#AI8069 4% 10/01/41                              | FANNIE MAE POOL UMBS P#AI8069 4.00000000                                                         | CUSIP: 3138AM6F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    358649 | NS      | $344427.32     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-11 PS V/R 03/25/36                            | FANNIE MAE REMICS SER 2006-11 CL PS V/R 8.47473400                                               | CUSIP: 31394V7G9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9166 | NS      | $10598.52      | 0.00%             | 2036-03-25      | Variable      | 8.47%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB1397 2.5% 07/01/50                            | FREDDIE MAC POOL UMBS P#QB1397 2.50000000                                                        | CUSIP: 3133A7RS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22626651 | NS      | $19284448.73   | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08492 4% 05/01/42                             | FREDDIE MAC GOLD POOL P#G08492 4.00000000                                                        | CUSIP: 3128MJRN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6063 | NS      | $5829.38       | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANA 4.5% 01/19/63                         | REPUBLIC OF PANAMA REGD 4.50000000                                                               | CUSIP: 698299BS2<br>LEI: N/A                  | Long             | DBT              | USGA              | PA        |   1514000 | NS      | $1066017.24    | 0.01%             | 2063-01-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 3213 OA ZCP 09/15/36                               | FREDDIE MAC REMICS SER 3213 CL OA ZCP 0.00000000                                                 | CUSIP: 31397B2M2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9587 | NS      | $8050.98       | 0.00%             | 2036-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHMS K078 A2 3.854% 06/25/28                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K078 CL A2 3.85400000           | CUSIP: 3137FGR31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7875000 | NS      | $7648348.05    | 0.05%             | 2028-06-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC 3.4% 02/04/41                         | ALTRIA GROUP INC REGD 3.40000000                                                                 | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   8495000 | NS      | $5634281.74    | 0.04%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE 2.94% 09/30/40                         | GALAXY PIPELINE ASSETS REGD 144A P/P 2.94000000                                                  | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | AE        |   2367998 | NS      | $1901260.03    | 0.01%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| AT&T INC 4.65% 06/01/44                                | AT&T INC REGD 4.65000000                                                                         | CUSIP: 00206RJK9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2145000 | NS      | $1800540.69    | 0.01%             | 2044-06-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4399 2.5% 08/01/51                            | FANNIE MAE POOL UMBS P#MA4399 2.50000000                                                         | CUSIP: 31418D3H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3352313 | NS      | $2846572.18    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE3580 3.5% 06/01/52                            | FREDDIE MAC POOL UMBS P#QE3580 3.50000000                                                        | CUSIP: 3133BC6R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    786533 | NS      | $714790.31     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL 3.7% 06/01/28                         | PARAMOUNT GLOBAL REGD SER WI 3.70000000                                                          | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    870000 | NS      | $775831.21     | 0.00%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WAMMS 2003-MS7 P ZCP 03/25/33                          | WASHINGTON MUTUAL MSC MORTGAGE PASS-THROUGH  SER 2003-MS7 CL P ZCP REGD 0.00000000               | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        25 | NS      | $19.11         | 0.00%             | 2033-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3126 3.5% 03/01/52                            | FANNIE MAE POOL UMBS P#CB3126 3.50000000                                                         | CUSIP: 3140QNPL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1485943 | NS      | $1362042.66    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VALET 2020-1 A 0.98% 09/20/23                          | VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2020-1 SER 2020-1 CL A3 REGD 0.98000000                      | CUSIP: 92868JAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1521154 | NS      | $1500474.72    | 0.01%             | 2024-11-20      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRI 6.875% 06/21/23                         | ISRAEL ELECTRIC CORP LTD REGD P/P 6.87500000                                                     | CUSIP: 46507MAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | IL        |   7780000 | NS      | $7814947.76    | 0.05%             | 2023-06-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HO 5.141% 03/15/52                         | WARNERMEDIA HOLDINGS INC REGD 144A P/P 5.14100000                                                | CUSIP: 55903VAQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3325000 | NS      | $2417163.35    | 0.02%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| FINNVERA PLC 2.375% 06/04/25                           | FINNVERA PLC REGD P/P MTN 2.37500000                                                             | CUSIP: 31808LAA0<br>LEI: N/A                  | Long             | DBT              | USGA              | FI        |    600000 | NS      | $570729.60     | 0.00%             | 2025-06-04      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| TC PIPELINES LP 3.9% 05/25/27                          | TC PIPELINES LP REGD 3.90000000                                                                  | CUSIP: 87233QAC2<br>LEI: 6HL0C5LCIE4TN8UZHL06 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4710418.00    | 0.03%             | 2027-05-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1523 4.5% 12/20/43                         | GINNIE MAE II POOL P#MA1523 4.50000000                                                           | CUSIP: 36179NVQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    671054 | NS      | $677188.21     | 0.00%             | 2043-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0105 V/R 09/01/36                            | FREDDIE MAC NON GOLD POOL P#1Q0105 V/R 4.02500000                                                | CUSIP: 3128S4DJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16848 | NS      | $17092.89      | 0.00%             | 2036-09-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| UMBS P#870770 6.5% 07/01/36                            | FANNIE MAE POOL UMBS P#870770 6.50000000                                                         | CUSIP: 31409GMT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2756 | NS      | $2883.85       | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINA 5.75% 05/01/43                         | BARRICK NA FINANCE LLC REGD 5.75000000                                                           | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4480000 | NS      | $4523913.14    | 0.03%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL9627 1.56% 01/01/31                           | FANNIE MAE POOL UMBS P#BL9627 1.56000000                                                         | CUSIP: 3140J2VV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2275000 | NS      | $1822285.87    | 0.01%             | 2031-01-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| GNR 2008-79 CS V/R 06/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-79 CL CS V/R 2.44714000                        | CUSIP: 38375YNF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63123 | NS      | $57720.52      | 0.00%             | 2035-06-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019 4.15% 08/25/31                         | UNITED AIR 2019-1 AA PTT REGD SER AA 4.15000000                                                  | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2037402 | NS      | $1802090.05    | 0.01%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CO 2.259% 03/25/28                         | BAT CAPITAL CORP REGD 2.25900000                                                                 | CUSIP: 05526DBR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1659845.28    | 0.01%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| GCCT 2022-4A A 4.31% 09/15/25                          | GOLDEN CREDIT CARD TRUST SER 2022-4A CL A REGD 144A P/P 4.31000000                               | CUSIP: 380881FP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |  10250000 | NS      | $10085846.25   | 0.06%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.45% 05/14/46                              | ABBVIE INC REGD 4.45000000                                                                       | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    425000 | NS      | $365257.96     | 0.00%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| WFRBS 2013-C1 3.337% 05/15/23                          | WFRBS COMMERCIAL MORTGAGE TRUST 2013-C14 SER 2013-C14 CL A5 REGD 3.33700000                      | CUSIP: 92890PAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    229750 | NS      | $227184.17     | 0.00%             | 2046-06-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 08/05/25                              | UBS GROUP AG REGD V/R 144A P/P 4.49000000                                                        | CUSIP: 902613AR9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4000000 | NS      | $3931304.80    | 0.03%             | 2025-08-05      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH7861 4.5% 05/01/41                            | FANNIE MAE POOL UMBS P#AH7861 4.50000000                                                         | CUSIP: 3138A9WX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    568946 | NS      | $563284.01     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HERO 2017-1A A 4.46% 09/20/41                          | HERO FUNDING TRUST 2017-1A SER 2017-1A CL A2 REGD 144A P/P 4.46000000                            | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1917578 | NS      | $1816087.88    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC 5% 05/30/38                         | VODAFONE GROUP PLC REGD 5.00000000                                                               | CUSIP: 92857WBL3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   3300000 | NS      | $3036756.13    | 0.02%             | 2038-05-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4963 4% 01/20/48                           | GINNIE MAE II POOL P#MA4963 4.00000000                                                           | CUSIP: 36179TQQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    767758 | NS      | $737076.03     | 0.00%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995504 7.5% 11/01/38                            | FANNIE MAE POOL UMBS P#995504 7.50000000                                                         | CUSIP: 31416B3M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17171 | NS      | $18314.03      | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STAR 2022-1 A1 V/R 12/25/66                            | STARWOOD MORTGAGE RESIDENTIAL TRUST 2022-1 SER 2022-1 CL A1 V/R REGD 144A P/P 2.44700000         | CUSIP: 85573TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15522611 | NS      | $12994390.35   | 0.08%             | 2066-12-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 03/13/28                         | HSBC HOLDINGS PLC REGD V/R 4.04100000                                                            | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3161000 | NS      | $2912974.22    | 0.02%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| FHR 3202 HI V/R 08/15/36                               | FREDDIE MAC REMICS SER 3202 CL HI V/R 2.33214000                                                 | CUSIP: 31397ABD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    263772 | NS      | $23107.35      | 0.00%             | 2036-08-15      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| FSPC T-48 1A V/R 07/25/33                              | FSPC T-48 1A V/R 07/25/33 4.40446000                                                             | CUSIP: 31392UZ56<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    114120 | NS      | $108781.26     | 0.00%             | 2033-07-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07072 3.5% 05/01/42                           | FREDDIE MAC GOLD POOL P#G07072 3.50000000                                                        | CUSIP: 3128M9FM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    361207 | NS      | $338496.26     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROG 4.1% 05/15/42                         | DUKE ENERGY PROGRESS LLC REGD 4.10000000                                                         | CUSIP: 144141DB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    217000 | NS      | $182146.72     | 0.00%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCIN 5.875% 03/27/24                         | SASOL FINANCING USA LLC REGD 5.87500000                                                          | CUSIP: 80386WAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3249000 | NS      | $3176188.90    | 0.02%             | 2024-03-27      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** Bridge Builder Trust

**Signature:** Aaron Masek

**Name of Signer:** Aaron Masek

**Title:** Principal Financial Officer